JPMorgan's early amortization of one of its CLOs is yet another sign that diversity scores are becoming more and more of an issue for managers when loans are prepaid or downgraded and can't be replaced so easily in the collateral pool. The banks' Chase Loan Obligation USA Trust (Clout) 2000-1A is the second CLO in a month to begin early amortization after tripping its diversity trigger.

The $1.05 billion Clout deal comprises a triple-A rated tranche making up 90% of the issue, with another 5% comprising an A-/A3 rated tranche and the remainder an unrated subordinated piece. Although the original ratings on the transaction remained the same as of press time, one investor said last week that his institution had sold its exposure to the single-A-minus piece on mounting concerns about the fate of the subordinated portion.

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