Standard & Poor’s has cut the ratings on 156 CLO tranches totaling $10.44 billion.
The rating agency said it downgraded the tranches, affecting 31 CLOs, because the assets in the collateral pools have deteriorated.
In addition to the downgrades, it affirmed ratings on 10 tranches of six CLOs and removed eight of those tranches from its watch for downgrade list.
CLO managers this year have been challenged by deteriorating credit quality in their portfolio.
In November, Moody’s Investors Service downgraded 2,909 tranches, worth $180 billion, of 530 cash-flow CLO transactions.
Moody’s said those downgrades were largely the result of realized credit deterioration in underlying portfolios. That meant that the downgraded CLOs experienced a credit event such as a default or the failure of certain tests.