CDO-squared gains upgrade from Moody's following CLO rating sweep

Moody’s upgraded Stuyvesant CDO V at the end of last week with the rating agency pointing towards improvement of the credit quality of the deal’s collateral. The transaction’s senior tranche has had its original Aa2 rating restored having been downgraded to Ba1 back in August 2009.

Stuyvesant CDO V is a synthetic CDO-squared which references a pool of CLO securities. Moody’s completed its rating sweep of CLOs at the end of last year and the rating agency says that all 22 CLO positions used to back Stuyvesant CDO V, now have a Aaa rating. In contrast, when Moody’s last took action on the CDO, the CLO assets carried an average rating of A1.

As well as improved credit quality of the underlying collateral, Moody’s states that the CDO’s super senior notes have been paid down by 58% since the last rating action was taken.

Stuyvesant CDO V closed in August 2004 with Rabobank in place as the protection buyer.