AMR assists CLO managers to cure asset-liabilities mismatch
February 08, 2022
In an interview with Bloomberg, Chief Engagement Officer Jill Scalisi notes that because the auction is a secondary-market transaction, it is exempt from adhering to regulators’ guidance to switch CLO liabilities to SOFR. This allows refinancing to stay with Libor until CLO collateral largely switches to SOFR avoiding costly mismatch for CLO equity.