articles Ratings /ratings/en/research/articles/200803-sf-credit-brief-63-clo-tranches-downgraded-by-1-2-notches-on-average-in-july-2020-11599323 content
Log in to other products

Login to Market Intelligence Platform


Looking for more?

Request a Demo

You're one step closer to unlocking our suite of comprehensive and robust tools.

Fill out the form so we can connect you to the right person.

If your company has a current subscription with S&P Global Market Intelligence, you can register as a new user for access to the platform(s) covered by your license at Market Intelligence platform or S&P Capital IQ.

  • First Name*
  • Last Name*
  • Business Email *
  • Phone *
  • Company Name *
  • City *
  • We generated a verification code for you

  • Enter verification Code here*

* Required

Thank you for your interest in S&P Global Market Intelligence! We noticed you've identified yourself as a student. Through existing partnerships with academic institutions around the globe, it's likely you already have access to our resources. Please contact your professors, library, or administrative staff to receive your student login.

At this time we are unable to offer free trials or product demonstrations directly to students. If you discover that our solutions are not available to you, we encourage you to advocate at your university for a best-in-class learning experience that will help you long after you've completed your degree. We apologize for any inconvenience this may cause.

In This List

SF Credit Brief: 63 CLO Tranches Downgraded By 1.2 Notches On Average In July 2020


Select Servicer List


Summary: FMSbonds Inc. (Series 2020-XF2907); Tender Option Certificates/Bonds


COVID-19 Activity In Global Structured Finance As Of Sept. 18, 2020


Cohen Financial, A Division Of Truist Bank Servicer Rankings Withdrawn

SF Credit Brief: 63 CLO Tranches Downgraded By 1.2 Notches On Average In July 2020

We are providing an update on the CLO Insights 2020 Index on a periodic basis to assess the impact of recent negative rating actions on the obligors held in U.S. broadly syndicated (BSL) collateralized loan obligation (CLO) collateral pools.


CLO Insights 2020 Index

Table 1

CLO Index Metrics (CLO Insights 2020 Index)
As of date 'B-' (%) 'CCC' category (%) Nonperforming category (%) Junior O/C cushion (%) Weighted avg. price of portfolio SPWARF Par change (%) CreditWatch negative (%) Negative outlook Negative outlook or CreditWatch negative
Jan. 1, 2020 19.97 4.11 0.54 3.86 97.45 2644 0.00 1.63 17.36 19.00
Feb. 1, 2020 20.20 4.07 0.56 3.80 97.55 2645 (0.04) 1.33 17.66 18.79
March 1, 2020 20.16 4.13 0.63 3.76 95.83 2639 (0.07) 1.61 17.18 18.79
April 5, 2020 23.47 10.06 0.81 3.73 83.11 2857 (0.10) 10.71 24.37 35.08
May 3, 2020 25.40 12.31 1.61 2.38 86.73 2986 (0.23) 9.82 32.56 42.38
June 8, 2020 25.71 11.86 1.35 1.13 91.90 2960 (0.34) 8.42 36.34 44.76
July 6, 2020 24.82 11.41 1.53 1.39 91.14 2951 (0.39) 6.42 37.60 44.02
July 12, 2020 24.65 11.36 1.53 1.40 91.38 2947 (0.39) 6.13 37.83 43.96
July 19, 2020 24.82 11.29 1.54 1.41 91.79 2948 (0.40) 6.01 38.20 44.22
July 26, 2020 24.33 11.1 1.66 1.5 92.61 2945 (0.44) 5.73 38.08 43.81
Note: The CLO Insights 2020 Index is an index of 410 U.S. BSL CLOs rated by S&P Global Ratings that will be reinvesting for all of 2020. O/C--Overcollateralization. SPWARF--S&P Global Ratings weighted average rating factor.

As trustee reports are being processed, we see that average junior overcollateralization (O/C) cushions have increased to 1.46% from 1.13% in mid-June 2020, after falling from an average of 3.80% at the start of the year. Within the trustee reports we have processed as of July 26, 2020, less than 140 of the U.S. BSL CLOs rated by S&P Global Ratings are failing one or more of their O/C tests (including amortizing CLOs).

After peaking in late March and early April, negative rating actions on U.S. corporate entities have moderated. Since early March, just under 31.00% of U.S. BSL CLO collateral have been downgraded or placed on CreditWatch.

U.S. CLO Rating Actions

On July 24 and 29, 2020, we downgraded 63 CLO tranches from 40 U.S. BSL CLOs by 1.2 notches on average; 496 tranches across 287 CLO transactions are currently still on CreditWatch with negative implications.

The table below summarizes these U.S. CLO rating actions as of July 29, 2020, highlighting those that pertain to the resolution to the COVID-related CreditWatch placements.

Table 2

Result of US CLO Rating Actions On CLOs
Rating Category Prior To Action Three-notch downgrade Two-notch downgrade One-notch downgrade Affirm Grand total Speculative grade 'CCC' category
'AAA' 0 0 0 96 96 0 0
'AA' 0 0 0 83 83 0 0
'A' 0 0 1 68 69 0 0
'BBB' 1 0 6 58 65 7 0
'BB' 2 6 30 26 64 64 0
'B' 0 0 17 20 37 37 17
Grand total 3 6 54 351 414 108 17

Please refer to our full article "U.S. CLO Rating Actions And Exposure To Negative Corporate Rating Actions (As Of July 26, 2020)," published July 29, 2020, to download the list of CLO CUSIPs that have been downgraded or are currently on CreditWatch.

Related Research

This report does not constitute a rating action.

Primary Credit Analyst:Daniel Hu, FRM, New York (1) 212-438-2206;
Secondary Contact:Deegant R Pandya, New York (1) 212-438-1289;

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and and (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: