AAA CLOs would have buffered banks during the 2023 banking crisis
Shiloh Bates · Shiloh Bates – CLO Investing at Flat Rock Global (EP.379) · Apr 11, 2024 · at 7:09
Shiloh Bates, CIO at Flat Rock Global, highlights the lack of interest rate duration in floating-rate AAA CLOs compared to fixed-rate investment-grade bonds.
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“If you look at the banking crisis of the spring of last year, look, if banks would have owned AAA rated CLOs instead of some of the bonds that might be in the Bloomberg aggregate bond index, CLO AAAs might've traded to 97 cents on the dollar or something like that. Investment grade IG bonds traded into the eighties and sometimes lower.”
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