Moody's Investors Service has completed reviewing its ratings on U.S. CLOs, downgrading almost 65% of the CLOs reviewed.

Moody's said it downgraded 2,909 tranches from 530 cash flow CLO transactions totaling about $180 billion. It reviewed 3,366 tranches worth $238 billion in total. Moody’s downgraded 634 tranches that had a triple-A rating by an average of 2.8 notches. There were 996 triple-A-rated tranches that were reviewed.

Moody’s said the downgrades were largely the result of realized credit deterioration in underlying portfolios. This means that the CLOs downgraded experienced a credit event such as a default or a failure of certain tests. It also said they were a result of the ratings agency’s new ratings model, which Moody’s began revising over a year ago.

However, even as Moody’s downgraded a large swath of CLOs, it said the deterioration in the CLO market has slowed, and in some cases has improved on a relative basis in recent months.

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