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KBRA Releases Research - Coronavirus (COVID-19): U.S. BSL CLOs' At-Risk Sector Exposure Takes Shape
[March 24, 2020]

KBRA Releases Research - Coronavirus (COVID-19): U.S. BSL CLOs' At-Risk Sector Exposure Takes Shape

Kroll Bond Rating Agency (KBRA) releases a report which details U.S. broadly syndicated loan (BSL) collateralized loan obligation (CLO) exposure in sectors that, in KBRA's opinion, are the most at risk due to the coronavirus (COVID-19) pandemic.

As the virus has implications for a multitude of issuers across a wide swathe of corporate sectors, KBRA is assessing the potential impact on CLOs. The transactions are generally collateralized by portfolios of leveraged loans that are diversified across corporate sectors. While issuers in defensive sectors may continue to perform through this challenging period, we do see intense coronavirus-related pressure on certain cyclical and other non-defensive industries due to the ongoing social and economic fallout from this rapidly changing global crisis.

KBRA continues to monitor high-level performance metrics for our rated CLO transactions (overcollateralization ratios, CCC exposures, collateral quality tests, and concentration limits) as additional credit degradation, particularly across sensitive sectors, is inevitable-and such deterioration will take time to manifest in the trustee reports. To that end, we are conducting sensitiity testing on our rated portfolio based on the assumption there will be credit drift, particularly in at-risk sectors, which will be used when considering the need to effectuate watch downgrade placements or rating actions.

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.

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