CLOs – US | Moody's Outlooks 2021

OUTLOOK

CLOs-US

2021 Outlook – With collateral still weakened, CLOs will incorporate flexibility for managing assets under stress

Amid continued collateral weakness following a tumultuous 2020, CLOs in 2021 will include structural features for maintaining loan workout and trading flexibility to help manage assets under stress. Speculative-grade defaults will peak in March and decline thereafter under our baseline economic forecast. However, subordination and other structural features such as OC trigger mechanisms will help protect investment grade CLO tranches.

Peter McNally

Vice President – Senior Analyst, ABS and RMBS Research
Moody's Investors Service

INTERACTIVE GRAPHIC

US speculative-grade default rates (actual and forecast)

REPORT

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