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CLO Spotlight: CDO Monitor Benchmarks Report For U.S. CLOs: First-Quarter 2021

S&P Global Ratings is publishing performance benchmarks for rated collateralized loan obligation (CLO) transactions. The performance benchmarks provide transparency into our view of CLO collateral credit quality and diversity through the lens of our CLO criteria (see "S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version," published June 21, 2019) and non-model version of our CDO Monitor, which is used by collateral managers to determine compliance with the CDO Monitor Test outlined in their CLO transaction documents. The benchmarks also highlight different CLO manager investment styles--for example, which managers prefer to invest in loans from higher-rated issuers or prefer to maintain more diversified portfolios.

Non-Model Monitor's Benchmarks

Chart 1 summarizes the non-model Monitor's benchmarks.

image

These metrics are calculated based on portfolio information from the recent trustee reports and our ratings on the corporate obligors in the CLO collateral pools as of the end of first-quarter 2021. The metrics below are calculated for the portfolio exposures to obligors with performing ratings (rated 'CCC-' and above). For example, if a CLO has exposure to an obligor that gets downgraded to a nonperforming rating ('CC', 'SD', or 'D'), the monitor metrics of the portfolio will exclude exposure to said obligor.

Non-Model Monitor Benchmarks

U.S. reinvesting broadly syndicated loan (BSL) and middle-market (MM) CLO comparison

Table 1 shows the average first-quarter 2021 metrics for U.S. reinvesting BSL and MM CLOs.

Table 1

Average First-Quarter 2021 U.S. CLO Metrics
SPWARF DRD ODM IDM RDM WAL (years)
BSL CLOs 2722 818 202.93 23.86 1.18 4.86
MM CLOs 3934 645 70.23 14.45 1.02 3.60
CLO--Collateralized loan obligation. BSL--Broadly syndicated loan. MM--Middle-market. SPWARF--S&P Global weighted average rating factor. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. WAL--Weighted average life.

Relative to reinvesting BSL CLO portfolios, reinvesting middle-market CLO portfolios have:

  • Higher average SPWARF (lower credit rating distribution),
  • Shorter average tenor, and
  • Lower average obligor diversity measures (ODM) and industry diversity measures (IDM).

U.S. CLO metrics

Table 2 shows the first-quarter 2021 portfolio metrics for the S&P Global Ratings-rated U.S. CLOs (click to download list). We include a CUSIP of one of the tranches within the capital structure to help identify the listed transactions.

Related Research

Appendix

Appendix

Rating Factor
Rating Rating factor
AAA 13.51
AA+ 26.75
AA 46.36
AA- 63.90
A+ 99.50
A 146.35
A- 199.83
BBB+ 271.01
BBB 361.17
BBB- 540.42
BB+ 784.92
BB 1233.63
BB- 1565.44
B+ 1982.00
B 2859.50
B- 3610.11
CCC+ 4641.40
CCC 5293.00
CCC- 5751.10

The authors would like to thank Ian Chandler for his data analytics contribution to this update.

This report does not constitute a rating action.

Primary Credit Analyst:Daniel Hu, FRM, New York + 1 (212) 438 2206;
daniel.hu@spglobal.com
CLO Sector Lead:Stephen A Anderberg, New York + (212) 438-8991;
stephen.anderberg@spglobal.com
Analytical Manager:Jimmy N Kobylinski, New York + 1 (212) 438 6314;
jimmy.kobylinski@spglobal.com

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