DBRS Morningstar Releases Commentary on Risk Exposure of CLO Asset Class to Coronavirus Disease (COVID-19)

DBRS Morningstar released a commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19),” which highlights how the ongoing coronavirus pandemic may affect the collateralized loan obligation (CLO) asset class.

We expect CLO transactions to be exposed to risks associated with the economic impact of the coronavirus pandemic. In conjunction with our macroeconomic commentaries, we also consider additional adjustments to assumptions for the CLO asset class.

Key highlights include:

(1) DBRS Morningstar assesses 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.

(2) With these additional coronavirus-related adjustments to assumptions, we aim to identify each transaction’s level of sensitivity to credit deterioration on the respective underlying borrowers.

Notes:
The commentary is available at www.dbrsmorningstar.com.

For more information on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277