Moody’s is planning to upgrade about 80% of all outstanding CLO tranches, consisting of 4,220 tranches, after amending its CLO rating methodology, Reuters reports. Around 1,067 European tranches from 171 deals worth about $62 billion and 3,153 classes from 611 U.S. issues worth about $175 billion are being reviewed.
The senior tranches may be upgraded by one to three levels, while the mezzanine and junior notes may move up by one to five levels. The temporary 30% default probability stress introduced by the ratings agency has also been eliminated.
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