Morningstar DBRS Publishes Updated Global Methodology for Rating CLOs and Corporate CDOs

Morningstar DBRS published an updated version of the "Global Methodology for Rating CLOs and Corporate CDOs."

The updated methodology includes the following non-material updates:
-- Added language regarding the application of recovery assumptions for portfolios with sufficient diversification.
-- Added language to clarify qualified first-lien loans (QFFLs) recovery rates.
-- Added language for detailing stresses to account for the situation where the transaction fails to fully ramp.
-- Added language to clarify the triage approach to surveillance.

Additionally, Morningstar DBRS conducted a periodic review of Global Methodology for Rating CLOs and Corporate CDOs, Appendix II: Mapping Financial Institution Internal Ratings to Morningstar DBRS Credit Ratings for Global Structured Credit Transactions, and CLO Insight Model. This update supersedes the previous version published on and is effective as of February 23, 2024. Morningstar DBRS deems the update not to be material and determined that no ratings are expected to change as a result of this update.

Notes:
Morningstar DBRS methodologies are publicly available on its website dbrs.morningstar.com under Methodologies & Criteria.

For more information on this methodology or on this industry, visit dbrs.morningstar.com or contact us at info-DBRS@morningstar.com.