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Moody’s hits CLOs with $100bn global review for downgrade

04 Mar 2009

Moody’s has placed all but the most senior triple-A rated CLO tranches on review for downgrade across the US and EMEA. The action, affecting $100bn of issuance, could show that the impact of Moody’s new CLO rating methodology, announced last month, is more severe than originally thought. Junior triple-As and double-A rated tranches are expected to be downgraded by two to four notches on average while single-A tranches in deals with more than 5% triple-C assets in their portfolio should be downgraded by five to eight notches on average. Euroweek on Friday assesses the impact on the structured credit market.

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04 Mar 2009