Barclays Says Over 20 CLOs May Top CCC Thresholds on Altice Cut

Approximately 85% of active CLOs have a more than 1% exposure to the Altice/SFR debt complex, and a hypothetical one-notch downgrade of its B3/B- rated securities could cause 15 CLOs rated by Moody’s and 9 rated by S&P to breach caps that limit the share of CCC loans they can hold to 7.5%, according to a report from Barclays.

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• Threshold is critical because holding too much CCC rated debt can lead to CLOs tripping asset-coverage tests, forcing collateral managers to dump under-performing debt to prevent cash-flow streams to ...