ABS Research: Fourth Quarter 2019 CLO Snapshot

Across the 50 publicly rated collateralized loan obligations that this snapshot captures, Morningstar Credit Ratings (DBRS Morningstar) observed 36 transactions that experienced a decrease in overcollateralization (OC) quarter-over-quarter. The OC declines were marginal, ranging from as low as 0.05% to as high as 1.55%. Defaulted assets primarily drove OC drops for several deals, while for others, the decline was attributed to management trading.