2021年9月1日 · Ratings on more than 10% of global leveraged loan collateralized loan obligations (CLOs) were lowered in 2020 as the global pandemic and recession weakened credit quality. Despite credit deterioration, just one CLO tranche defaulted in 2020, down from three in 2019.

As of year-end 2020, U.S. insurers had exposure with a book/adjusted carrying value (BACV) of $192.9 billion to CLOs collateralized predominantly by leveraged bank loans and middle market loans. The year-end 2020 exposure represents a 23% increase from $156.9 billion at …

2021年7月23日 · As of year-end 2020, U.S. insurers’ collateralized loan obligation (CLO) exposure increased by about 23% to $192.9 billion in book/adjusted carrying value (BACV) from about $156.9 billion at year-end 2019. Note this exposure includes CLOs collateralized predominantly by broadly syndicated bank loans (BSLs).

2021年2月4日 · The advent of the COVID-19 pandemic and the resulting shutdowns in early 2020 presented significant performance challenges to many of the companies whose loans were held in U.S. collateralized loan obligation (CLO) transactions.

CLO Performance Larry Cordell, Michael R. Roberts, and Michael Schwert First Draft: May 29, 2020 This Draft: February 4, 2021 Abstract We study the performance of collateralized loan obligations (CLOs) to understand the market imperfections giving rise to these vehicles and the corresponding costs.

The fluctuations in CLO issuances are highly correlated with supply and demand in the underlying leveraged loan market from merger and acquisition activities, and with private equity firms entering the CLO market as both portfolio managers

Looking at loans held only in CLOs, the percentage of US CLO portfolios invested in assets rated CCC and below nearly doubled to 8.4% as of April 28 from 4.3% as of March 31. In Europe, 4.9% of CLO portfolio holdings are rated CCC and below, up from 3.3% as of March 31.

In our current modeling approach to rating collateralized loan obligations (CLOs) we adjust the rating levels of individual corporate obligors where we have assigned negative outlooks or have placed rating on review for upgrade or downgrade.

At the start of 2020, S&P Global Ratings created its U.S. CLO Insights Index, an index of 410 reinvesting U.S. broadly syndicated loan collateralized loan obligations (BSL CLOs) that covered a wide range of CLO portfolios from different vintages and many different managers.

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