In October 2023, Morningstar DBRS finalized its “Global Methodology for Rating CLOs and Corporate CDOs” (the CLO Methodology) and Morningstar DBRS CLO Insight Model. We use both to assign new credit ratings and monitor outstanding collateralized loan obligation (CLO) credit ratings globally.
We changed our methodology to expand our analytical approaches to address broadly syndicated loan (BSL) CLOs. We also updated certain assumptions including default probabilities for publicly rated borrowers, recovery rates for covenant-lite loans, country tiering, industry classifications, credit dispersion, amortization and prepayment rates, and our surveillance approach. The updated methodology addresses BSL CLOs, middle market and private credit CLOs, corporate significant risk transfer (SRT) transactions and middle market loan/BSL financing facilities.
Join us on March 7 at 10:00 a.m. EST for a methodology review webinar as we explore Morningstar DBRS’ approach to rating CLOs, presented by Jerry van Koolbergen, Glen Leppert, and Carlos Silva. Our discussion will showcase the new analytical approaches and material changes to the CLO Methodology, including expansion in approaches to address BSL CLOs and MM CLOs.