CLO Risk Exposure to the Coronavirus Disease (COVID-19)

Broadly syndicated loan (BSL) collateralized loan obligations (CLOs) and middle-market (MM) CLOs are exposed to risks associated with the economic impact of the Coronavirus Disease (COVID-19) to the extent that underlying companies experience deteriorated financial conditions. As a result of the current pandemic, many companies face extraordinary revenue challenges that affect production and customer behavior, putting pressure on liquidity. DBRS Morningstar assesses the potential risk exposure of CLOs to the coronavirus by examining sensitivity to potential company credit-quality rating downgrades in conjunction with our ongoing assessment of macroeconomic scenarios.