Frontier bankruptcy dials up pressure for 90 CLOs
Nine CLO managers hold $217 million of Frontier Communications’ debt across 90 CLOs, as the telecommunications company filed for Chapter 11 protection in the US Bankruptcy Court Southern District of New York

Putting low rates under a microscope
Cho-Hoi Hui suggests using a double square-root process with a non-linear drift term to capture recent near-zero interest rates more accurately when pricing corporate bonds

CDO sells off distressed CDO assets
Structured Asset Investor's Sagittarius CDO I, which has suffered an event of default, will see further assets liquidated through a 10-CDO bid list due today