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Leveraged Finance: Rated U.S. BSL CLOs: Six Graphical Insights On Second-Quarter 2020 Rating Actions For Widely Referenced Corporate Obligors

After peaking in late March and early April 2020, the number of negative rating actions related to COVID-19 containment measures and oil price declines we've taken on U.S. corporate entities has moderated. Since early March, we've lowered or placed on CreditWatch our ratings on just under 31% of loan collateral in U.S. broadly syndicated loan collateralized loan obligations (BSL CLOs).

In this inaugural quarterly commentary, we illustrate how rating actions affected the most widely held corporate loans in CLOs (the Top 250) in the second quarter. To learn how these actions affected CLO tranche ratings, see the list of U.S. CLO tranche downgrades in 2020 and ratings on CreditWatch negative as of July 29, 2020.

Affirmations, Including Outlook Revisions, Made Up Most Of The Rating Actions

Chart 1


We Downgraded Companies In Nearly Every Sector

Chart 2


We Downgraded Fewer In The Top 50 Than In The Rest Of The Top 250

Chart 3


The 'B' Category Was Most Affected

Chart 4


Downgrades Greater Than One Notch Were Limited

Chart 5


Stable Outlooks Represent Slight Majority

Chart 6


Related Research

This report does not constitute a rating action.

Primary Credit Analysts:Robert E Schulz, CFA, New York (1) 212-438-7808;
Daniel Hu, FRM, New York (1) 212-438-2206;
Secondary Contacts:Minni Zhang, New York;
Zoya Alam, New York;

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