KBRA Releases Research – Coronavirus (COVID-19): KBRA U.S. BSL CLO Rating Sensitivity Analysis

NEW YORK--()--Kroll Bond Rating Agency (KBRA) releases a report which outlines several hypothetical stress scenarios for sectors that KBRA believes to be at risk, due to the coronavirus (COVID-19) pandemic and the resulting impact on KBRA’s rated U.S. broadly syndicated loan (BSL) CLO transactions.

KBRA believes that loan issuers will face challenges in the months ahead, particularly in certain sectors, and recently published a paper highlighting U.S. BSL CLO exposure to these at-risk sectors.

In addition, KBRA continues to monitor high-level performance metrics for our rated CLO transactions and notes that additional credit degradation (particularly across sensitive sectors) will take time to manifest itself and appear in trustee reports. To that end, our review incorporates additional sensitivity analysis to test the resiliency of our rated transactions to varying degrees of credit deterioration within at-risk corporate sectors.

Click here to view the report.

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe Limited is located at 6-8 College Green, Dublin 2, Ireland.

Contacts

Analytical Contacts
Sean Malone, CFA, Director
+1 (646) 731-2436
smalone@kbra.com

Kathy Song, CFA, Associate Director
+1 (646) 731-1209
ksong@kbra.com

George Lyons, CFA, Senior Director
+1 (646) 731-3314
gylons@kbra.com

Eric Hudson, Senior Managing Director
+1 (646) 731-3320
ehudson@kbra.com

Business Development Contact
Jason Lilien, Senior Managing Director
+1 (646) 731-2442
jlilien@kbra.com

Contacts

Analytical Contacts
Sean Malone, CFA, Director
+1 (646) 731-2436
smalone@kbra.com

Kathy Song, CFA, Associate Director
+1 (646) 731-1209
ksong@kbra.com

George Lyons, CFA, Senior Director
+1 (646) 731-3314
gylons@kbra.com

Eric Hudson, Senior Managing Director
+1 (646) 731-3320
ehudson@kbra.com

Business Development Contact
Jason Lilien, Senior Managing Director
+1 (646) 731-2442
jlilien@kbra.com