Credit Estimates and Assessing Borrower Default Probabilities in CLOs
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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