Summary。    Second lien loan exposures are decreasing among collateralized loan obligations (CLOs) we rate, even though such loans could helpoffset the decline of CLO portfolios' weighted average spreads (WAS). This trend is credit positive because the spread pick-up thatsecond lien loans offer does not sufficiently compensate for the risks of their low expected recovery rates relative to first liens.。    Second lien exposure is falling along with WAS. Second lien loans currently represent a smaller proportion of performing CLOcollateral than in November 2015.。    Second lien loan spreads do not sufficiently offset low recovery rates. Spread pick-up does not offset the risk of lowrecoveries for second lien loans, which we expect to be only slightly better than those of similarly structured unsecured debt.。    The largest second lien exposures are still within deal limits. The largest second lien exposures by manager are close to 5%,which is within typical allowance of 5% to 10% of par.。    Second lien loan exposure is falling along with WAS。    Although second lien loans offer a way to boost CLOs' declining WAS, second lien exposure has also been falling, down 35% sinceNovember 2015. For CLOs outstanding between January 1, 2014and December 31, 2016, the median second lien loan holding amongCLOs we rate decreased to 2.04% as of June 2017, from 3.12% in November 2015. Meanwhile, over that same period, WAS has fallento 3.68% from 3.85%.。

声明：如本站内容不慎侵犯了您的权益，请联系邮箱：wangshiyuan@epins.cn 我们将迅速删除。