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BofA Expects Share of CCC Loans in CLO Portfolios to Increase

Aug. 8, 2022, 12:35 PM

BofA Securities expects the CCC share of leveraged loans in collateralized loan obligation portfolios to increase by 0.5% to 0.7% in August as a result of a pick up in downgrades.

  • In July, the pace of CCC downgrades in CLOs went up, reversing an 18-month trend of a stable or declining CCC concentration, wrote BofA analysts led by Pratik Gupta in their weekly note
    • Debt issuers including Avaya, Bausch Health Cos. and Weber-Stephen Products LLC were downgraded by S&P Global Ratings
    • The downgrades were driven by “expected weaker operating performance, inflation and supply chain pressure, rising material and labor ...