DBRS Morningstar Updates Rating CLOs and CDOs of Large Corporate Credit and Cash Flow Assumptions for Corporate Credit Securitization Methodologies

DBRS Morningstar finalized its “Rating CLOs and CDOs of Large Corporate Credit” and “Cash Flow Assumptions for Corporate Credit Securitizations” methodologies. These methodologies present the criteria for which U.S. and European collateralized loan obligation (CLO) ratings are assigned and/or monitored.

These methodologies supersede the prior versions published on February 28, 2020, and are effective as of July 21, 2020.

The publication follows the closure of a request for comment (RFC) period that ended on July 16, 2020.

DBRS Morningstar updated its CLO methodology to address a wider variety of structural provisions in assigning and monitoring ratings on U.S. and European CLOs. For more background, please refer to the DBRS Morningstar press release, “DBRS and Morningstar Credit Ratings Updates U.S. Structured Credit Collateralized Loan Obligation Asset Class Coverage and Requests Comments on Proposed CLO Methodology Updates” available here: https://www.dbrsmorningstar.com/research/362733

DBRS Morningstar received no comments on the methodologies during the RFC period. There are no changes to the methodologies that were published as RFC on June 16, 2020.

All comments received during the RFC period have been published to the DBRS Morningstar website, except in cases where confidentiality is requested by the respondent.

The methodologies are effective as of today. DBRS Morningstar has determined that no current DBRS Morningstar ratings will be changed as a result of the publication of the methodologies.

Notes:
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

DBRS Morningstar methodologies are publicly available on its website www.dbrsmorningstar.com under Methodologies & Criteria.

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