The rate at which loans backing CLOs default has historically varied “significantly” between managers, according to a study published last month by Moody’s Investors Service.

The wide range of collateral defaults of 18 managers tracked in the study – between just over 5% to well over 8% (see chart) – seems primarily a reflection of the disparate risk levels that managers are willing to undertake, Moody’s researchers noted in a first-of-its-kind look at the long-term trends of default rates specific to particular firms.

Subscribe Now

Access to a full range of industry content, analysis and expert commentary.

30-Day Free Trial

No credit card required. Access coverage of the securitization marketplace, including breaking news updated throughout the day.