One of the many lessons to be learnt from the recent turmoil in the US sub-prime mortgage market is that CDOs are only as good as the assets that back them. CDOs backed by the weakest sub-prime loan vintages have been hit hardest, and lurid revelations about underwriting standards in parts of the industry have contributed to the ABS CDO pipeline closing almost overnight.
Things could not look more different in the CLO market, where each month record issuance volumes are racked up and asset managers are still falling over themselves to break into the market.
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