KBRA Releases Research – Coronavirus (COVID-19): U.S. BSL CLO Sector Exposure Map: August 2020

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) releases a report which details U.S. broadly syndicated loan (BSL) collateralized loan obligation (CLO) exposure to sectors that have experienced negative credit migration as a result of the ongoing coronavirus (COVID-19) pandemic.

U.S. BSL CLOs continue to show month-over-month (MoM) improvement in leveraged loan credit metrics for certain sectors, while MoM defaults are flat. Further, most corporate sectors experienced peak levels of credit deterioration between May and June, according to data collected since March.

In this report, we provide an update on U.S. CLO sector exposure and overall industry credit quality, based on reported data from March through August 2020 trustee reports for a representative sample of transactions. The publication is a follow-up to prior KBRA reports which discussed corporate exposure within BSL transactions. Portfolio information was sourced from Intex on September 4. The sample uses the latest reported trustee data for approximately 500 BSL CLOs issued since January 2018. Key data points analyzed include minimum reported rating, par balance, and issuer name.

Click here to view the report.

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KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

Contacts

Analytical Contacts
Sean Malone, CFA, Director

+1 (646) 731-2436

[email protected]

Stevyn Schutzman, Managing Director, Corporates

+1 (646) 731-2485

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Steven Zheng, Senior Analyst

+1 (646) 731-3379

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Eric Hudson, Senior Managing Director

+1 (646) 731-3320

[email protected]

Business Development Contact
Jason Lilien, Managing Director

+1 (646) 731-2442

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