Third-Quarter 2020 CLO Snapshot: Performance Summary Covering Morningstar-Rated CLOs
Across the 51 publicly rated collateralized loan obligations (CLOs) that this snapshot captures, Morningstar Credit Ratings (DBRS Morningstar) observed 22 transactions that experienced a decrease in overcollateralization (OC) quarter-over-quarter. The OC declines ranged from as low as 0.04% to as high as 1.06%. While the global Coronavirus Disease (COVID-19) pandemic continues to have an overall negative effect on credit quality, there was improvement in the third quarter of 2020, with more than 50% of the transactions experiencing an OC increase relative to the prior quarter, which saw only two transactions report an OC increase. The average OC change in the third quarter was 0.08%, compared with -1.52% in the second quarter of 2020.
DBRS Morningstar is a global credit ratings business with 700 employees in eight offices globally. DBRS and Morningstar Credit Ratings are committed to empowering investor success, serving the market through leading-edge technology and raising the bar for the industry.
Together, we are the world’s fourth largest credit ratings agency and a market leader in Canada, the U.S. and Europe in multiple asset classes. We rate more than 2,600 issuers and 54,000 securities worldwide and are driven to bring more clarity, diversity and responsiveness to the ratings process. Our approach and size provide the agility to respond to customers’ needs, while being large enough to provide the necessary expertise and resources. For more details visit us at dbrs.com.
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