...as interest deferral looms for Spanish CLOs

Caixa Catalunya’s GAT FTGencat 2007 is likely to become the first Spanish SME CLO to hit an interest deferral trigger later this year, according to Moody’s. The deal’s cumulative defaults and 90 day delinquencies exceed the trigger level of 5.6%, which is based on defaults. The reserve fund has also been fully depleted. Consequently the most junior tranche, currently rated Ca by Moody’s, may start deferring interest as early as the next payment date.