Moody's puts turbo CLOs on watch for upgrade

Moody’s gave its first indication that it may be about to start reversing its recent wave of CLO downgrades on Friday when it put junior tranches from five of the market’s best performing deals on review for upgrade. It said that Atrium V (managed by Credit Suisse Alternative Capital), Callidus Debt Partners CLO Fund VII (managed by Callidus, but soon to be taken over by GSO), Blue Mountain CLO II (BlueMountain), Denali Capital CLO IV (Denali) and Mayport CLO (Pimco) all benefit from strong and increasing cushion to their par value triggers. In addition, the deals all have a turbo amortisation feature which may allow them to be paid down quicker than more senior notes. None of the deals has ever suffered a breach of its overcollateralisation tests.