Imark
Forumer storico
Un articolo sempre sul tema dei CLO e della (drastica) riduzione dei rating che Moody's si pronone di compiere. Una circostanza che c'è nel file allegato al post precedente, ma avevo dimenticato di rammentare nel mio breve commento: si parla di 100 mld $ in valore equivalente di soli CLOs bonds europei.
Moody's says may cut ratings of $100 bln in CLOs
Wed Mar 4, 2009 2:07pm GMT
LONDON, March 4 (Reuters) - Moody's Investors Service placed 3,600 tranches of U.S. and European collateralised loan obligations (CLOs) totaling $100 billion on review for possible downgrades on Wednesday.
The action included all but the most senior Aaa-rated tranches out of 760 transactions, and the review is likely to lead to downgrades of at least four notches for those rated single-A and below and of two to four notches on average for Aa and junior Aaa tranches, the rating agency said.
Moody's said it had revised certain key assumptions in rating CLOs to include "default rates that are likely to exceed historical averages and ... heightened interdependence of credit markets in the current global economic contraction".
A CLO is a pool of leveraged loans sliced up by degrees of risk. The riskiest piece -- the equity tranche -- takes the first few percent of default losses from any loan in the portfolio. After it is wiped out, losses move to the next tranche, and so on up the structure to the senior triple-A tranches at the top.
Some senior Aaa tranches still may suffer negative rating actions as Moody's conducts its review, the agency said, even though the top tranche of a typical CLO has enough protection to survive defaults amounting to 50 percent with a recovery rate at 40 percent.
The agency's current forecasting model projects a five-year cumulative default rate for all speculative-grade companies at 30 to 36 percent.
Wednesday's announcement followed Moody's statement last month that it had raised its default probability assumptions for underlying corporate names in CLO portfolios by 30 percent across all rating categories.
It also said it would treat those assets that it had on negative outlooks or on review for possible downgrades as if they had already been downgraded by one or two notches and that it would increase its estimate of correlation of the names in most portfolios.
Moody's said the review would start immediately by using parameters to calibrate the extent of downgrades of tranches rated single-A and below.
"Our sample testing shows that an overwhelming majority of tranches rated single-A or below are expected to experience at least a four-notch downgrade on average, which in the case of the single-As would put them on the boundary between investment grade and speculative grade," it said in the statement.
At the end of March, Moody's plans to start a more comprehensive analysis by modelling each CLO individually and taking actions on Aa and Aaa tranches, because "the unique portfolio characteristics and structural features of the CLOs tend to differentiate performance more at the top end of the capital structure".
The agency said this part of the review is likely to lead to downgrades of two to four notches on average on junior Aaa and Aa tranches as well as downgrades of a small number of senior Aaa tranches.
It expected to finish the second stage of the review by the end of the second quarter.
Moody's says may cut ratings of $100 bln in CLOs
Wed Mar 4, 2009 2:07pm GMT
LONDON, March 4 (Reuters) - Moody's Investors Service placed 3,600 tranches of U.S. and European collateralised loan obligations (CLOs) totaling $100 billion on review for possible downgrades on Wednesday.
The action included all but the most senior Aaa-rated tranches out of 760 transactions, and the review is likely to lead to downgrades of at least four notches for those rated single-A and below and of two to four notches on average for Aa and junior Aaa tranches, the rating agency said.
Moody's said it had revised certain key assumptions in rating CLOs to include "default rates that are likely to exceed historical averages and ... heightened interdependence of credit markets in the current global economic contraction".
A CLO is a pool of leveraged loans sliced up by degrees of risk. The riskiest piece -- the equity tranche -- takes the first few percent of default losses from any loan in the portfolio. After it is wiped out, losses move to the next tranche, and so on up the structure to the senior triple-A tranches at the top.
Some senior Aaa tranches still may suffer negative rating actions as Moody's conducts its review, the agency said, even though the top tranche of a typical CLO has enough protection to survive defaults amounting to 50 percent with a recovery rate at 40 percent.
The agency's current forecasting model projects a five-year cumulative default rate for all speculative-grade companies at 30 to 36 percent.
Wednesday's announcement followed Moody's statement last month that it had raised its default probability assumptions for underlying corporate names in CLO portfolios by 30 percent across all rating categories.
It also said it would treat those assets that it had on negative outlooks or on review for possible downgrades as if they had already been downgraded by one or two notches and that it would increase its estimate of correlation of the names in most portfolios.
Moody's said the review would start immediately by using parameters to calibrate the extent of downgrades of tranches rated single-A and below.
"Our sample testing shows that an overwhelming majority of tranches rated single-A or below are expected to experience at least a four-notch downgrade on average, which in the case of the single-As would put them on the boundary between investment grade and speculative grade," it said in the statement.
At the end of March, Moody's plans to start a more comprehensive analysis by modelling each CLO individually and taking actions on Aa and Aaa tranches, because "the unique portfolio characteristics and structural features of the CLOs tend to differentiate performance more at the top end of the capital structure".
The agency said this part of the review is likely to lead to downgrades of two to four notches on average on junior Aaa and Aa tranches as well as downgrades of a small number of senior Aaa tranches.
It expected to finish the second stage of the review by the end of the second quarter.