CLOs: S&P rapidly downgrades CLO assets and debt
admin | April 3, 2020
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As of March 29, 9.9% of US BSL CLO collateral came from borrowers with negative outlooks on CreditWatch, more than six times the share at the start of March. Meanwhile, ‘CCC’ buckets in U.S. BSL CLOs more than doubled in size during March to 8.4%. In excess of the ‘CCC’ bucket limits, ‘CCC’ loans got marked at market value, such that the average junior OC cushions declined to 3.73%. Collateral downgrades affect CLO ratings. As of March 30, 59 tranches across 39 U.S. BSL CLOs had ratings on CreditWatch with negative implications. S&P will continue to update its estimates as the uncertainty around the coronavirus pandemic falls. The S&P article is here (subscription only). Sources: S&P, APS
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