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

Global banking and finance news 28

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 see positive trends emerging for corporate leveraged loans held by U.S. broadly syndicated loan (BSL) collateralized loan obligations (CLOs), even as various localities report new records of cases of the novel coronavirus (COVID-19). For the first time since we began tracking month-over-month (MoM) average credit metrics by sector in March-April, we have observed widespread (albeit small) increases in overall credit quality for most of KBRAs 25 corporate sectors.

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 June 2020 trustee reports for a representative sample of transactions. This publication is a follow-up to prior KBRA reports which discussed corporate exposure within BSL transactions. Portfolio information was sourced from Intex on July 9. 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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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 is registered with ESMA as a CRA. Kroll Bond Rating Agency Europe is located at 6-8 College Green, Dublin 2, Ireland.

Analytical Contacts

Sean Malone, CFA, Senior Director

+1 (646) 731-2436

Stevyn Schutzman, Managing Director, Corporates

+1 (646) 731-2485

Steven Zheng, Senior Analyst

+1 (646) 731-3379

Eric Hudson, Senior Managing Director

+1 (646) 731-3320

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Jason Lilien, Managing Director

+1 (646) 731-2442


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