KBRA Releases Research – Coronavirus (COVID-19): U.S. BSL CLO Sector Exposure Map: May 2020

NEW YORK--()--Kroll Bond Rating Agency (KBRA) releases a report which details U.S. broadly syndicated loan (BSL) collateralized loan obligation (CLO) exposure to sectors that have experienced negative credit migration as a result of the ongoing coronavirus (COVID-19) pandemic.

KBRA continues to monitor the impact of COVID-19 on the issuers of corporate leveraged loans, including those in U.S. BSL CLOs. One of the biggest unknown variables that will influence economic conditions and corporate credit performance is whether the spread of new infections can remain muted as localities hit milestones in the phased economic reopenings underway. As more performance data materializes, trends may emerge that will indicate whether credit deterioration has hit some form of plateau or whether uncertainty persists.

In this report, we provide an update on U.S. CLO sector exposure and overall industry credit quality based on reported data from March through May 2020 trustee reports for a representative sample of transactions. The publication is a follow-up to prior KBRA reports which discussed corporate exposure within BSL transactions. Portfolio information was sourced from Intex on June 3. The sample uses the latest reported trustee data for approximately 500 BSL CLOs issued since January 2018. Key data points analyzed include minimum reported rating, par balance, and issuer name.

Click here to view the report.

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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 is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

Contacts

Analytical Contacts

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

Stevyn Schutzman, Managing Director, Corporates
+1 (646) 731-2485
sschutzman@kbra.com

Steven Zheng, Senior Analyst
+1 (646) 731-3379
szheng@kbra.com

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

Business Development Contact

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

Contacts

Analytical Contacts

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

Stevyn Schutzman, Managing Director, Corporates
+1 (646) 731-2485
sschutzman@kbra.com

Steven Zheng, Senior Analyst
+1 (646) 731-3379
szheng@kbra.com

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

Business Development Contact

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