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

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 improvement in leveraged loan credit metrics for certain sectors. However, the overall percentage of assets that would be considered currently in default has also been steadily increasing 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 July 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 August 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.

Related Publications

• Coronavirus (COVID-19): U.S. BSL CLO Sector Exposure Map: June 2020

About KBRA and KBRA Europe

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.

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