Yet more methodology-tweaking by Moody’s and Standard & Poor’s last month brought the prospect of downgrades to the triple-A tranches of cash CLOs ever closer to reality. Moody’s actions early in the month resulted in nearly 3,600 tranches rated double-A and below of 760 US and European CLOs now facing downgrades. S&P’s new approach envisages a 1.6 notch downgrade for senior triple-As, a 4.3 notch downgrade for junior triple-As and a 5.8 notch downgrade for triple-Bs.
"As usual, the rating agencies are light years too late on this," comments one structured credit expert. "The market has already priced this in." But with downgrades of this magnitude, and the continuing deterioration in underlying loan performance, the market is braced for further turmoil...
Please log in now to view.
Enter your username (email address) and password at the top right-hand side of euromoney.com.
If you do not currently have access to this content, visit the subscription page or call our hotline on +44 (0)207 779 8999.
Subscribe online now and save up to 30%
If you are a trialist or subscriber, please enter your username and password at the top right-hand side of euromoney.com
Subscribers to Euromoney benefit from:
- 12 months access in print and online - on euromoney.com, read the latest issue early online, search for specific developments by region or sector, interrogate the results of Euromoney's benchmark polls, and view the archive dating back to 1996
- More than 30 specialist research guides free
- The results of Euromoney’s polls and surveys
- Tailored RSS news feeds direct to your desktop
- News delivered directly to your mobile device or PC
- Personalised email newsfeed of 'Top stories' and 'Breaking news'
Click here to subscribe