CLO Stress in the Time of COVID-19
Peter Sallerson (Senior Director, Moody's Analytics) discusses his Research Paper, CLO Stress in the Time of COVID-19.
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CLO Stress in the Time of COVID-19
Furthering our research on CLO collateral rating transitions, we now explore the implications of applying additional default forecast and stresses to the collateral of US and European BSL CLOs.
CLO Rankings by Vintage (updated as of April 30, 2017)
In this report, Moody's Analytics has updated the prior deal rankings of the non-terminated 2006–2016 CLO's by vintage using a variety of scoring factors. CLO's that have had at least two payment periods are included.
CLO Rankings by Vintage (updated as of September 30, 2016)
In this report, Moody's Analytics has updated the prior deal rankings of the non-terminated 2006–2015 CLO's by vintage using a variety of scoring factors.
CLO Rankings by Vintage (updated as of June 30, 2016)
In this report, Moody's Analytics has updated the prior deal rankings of the non-terminated 2005–2015 CLO's by vintage using a variety of scoring factors. 2015 US CLO's that have had at least twopayment periods are included.
Minimal CLO Exposure to Recent Defaults/Stress
This report shows the CLO Exposures for Linn Energy, Breitburn Energy, Exco Resources, and Penn Virginia. The holdings total only $23 million across 15 CLO and 6 CLO managers. Interestingly, most of the positions are bonds rather than loans.
FMSA Holdings CLO Exposure
This report shows the exposure across CLO's as of the latest available monthly surveillance report on May 9, 2016. Holdings total $652 million across all CLO's with 262 investments by 47 CLO managers in 233 CLO's. Highland has both the highest exposure by Manager and one of the highest maximum exposures by CLO.
CLO Rankings by Vintage (updated as of March 31, 2016)
In this report, Moody's Analytics has updated the prior deal rankings of the non-terminated 2005–2015 CLO's by vintage using a variety of scoring factors. 2015 US CLO's that have had at least twopayment periods are included.
Valeant Pharmaceuticals Updated International CLO Exposure
Valeant continues to make headlines. This report show its exposure across CLO's as of the latest available monthly surveillance reports on March 29, 2015.
Southcross Holdings CLO Exposure
This report shows the exposure across CLO's as of the latest available monthly surveillance report on March 28, 2016. Holdings total $511 million across all CLO's with 315 investments by 46 CLO managers in 226 CLO's which is only a small reduction from the first exposure report in January 2016.
Templar Energy CLO Exposure
Templar Energy is a stressed credit. This report shows its exposure across CLO's as of the latest available monthly surveillance report on March 23, 2016.
