Commentary
Credit Estimates and Assessing Borrower Default Probabilities in CLOs
Structured CreditSummary
Individual loan performance can affect collateralized loan obligation (CLO) performance. As such, one of the key quantitative components in analyzing CLOs is assessing the credit risk profile (including default probabilities) of underlying borrowers included in CLO portfolios.
This commentary answers frequently asked questions about Credit Estimates and DBRS Morningstar’s assessment of borrower default probabilities in its CLO methodologies, which can be particularly relevant to middle-market CLO ratings.
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Contacts
Orest Gavrylak
Senior Vice President, Sector Lead - Private Corporate Credit
+(1) 212 806 3235
orest.gavrylak@morningstar.com- Cecilia Pierantoni
Senior Vice President - Methodology Review Function
+(34) 919 036 506
cecilia.pierantoni@morningstar.com - Stephanie Chin
Senior Vice President - Structured Finance Research
+(1) 646 560 4571
stephanie.chin@morningstar.com - Jerry van Koolbergen
Managing Director - US Structured Credit Ratings
+(1) 212 806 3260
jerry.vankoolbergen@morningstar.com