DBRS and Morningstar Credit Ratings Confirm U.S. Structured Credit Collateralized Loan Obligation Asset Class Coverage

On July 11, 2019, Morningstar Credit Ratings, LLC (MCR) and DBRS, Inc. (DBRS, and together with MCR, DBRS Morningstar) published their first announcement regarding the integration of their respective analytical teams focused on the U.S. Structured Finance market. Today’s press release is the fifteenth in a series to keep the market updated on analytical integration decisions and is focused on the U.S. Structured Credit sector.

<a href="https://www.dbrs.com/research/347875/" target="_blank">"DBRS and Morningstar Credit Ratings Announce Analytical Integration Process and Ratings Overlap."</a>

Following a joint analysis of the U.S. Collateralized Loan Obligation (CLO) sector, DBRS Morningstar concluded that, effective November 12, 2019, any new rating engagements in the following U.S. CLO asset classes will be rated by DBRS using the DBRS methodologies listed below.

U.S. CLO ASSET CLASSES
-- Broadly Syndicated Loan CLOs
-- Middle Market CLOs
-- Middle Market CLO Warehouses
-- Middle Market Loan Facilities
-- Collateralized Bond Obligations
-- Collateralized Synthetic Obligations
-- CLO Risk Retention Transactions
-- Static CLOs

DBRS U.S. STRUCTURED CREDIT CLO RATING METHODOLOGIES
-- Rating CLOs and CDOs of Large Corporate Credit
-- Cash Flow Assumptions for Corporate Credit Securitizations
-- Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits

As of today, MCR has placed all outstanding MCR U.S. CLO transactions Under Review – Analytical Integration Review. For more information related to MCR’s rating actions on its outstanding U.S. CLO transactions, please see the following press release:

<a href="https://ratingagency.morningstar.com/PublicDocDisplay.aspx?i=cikhXDs5nfI%3d&m=&s=LviRtUKXqs8kml5dHt7FTeE2SZmY0Fvqd4iX49Mk%2f9UapyiFTEO6TA%3d%3d
" target="_blank">"Morningstar Credit Ratings Places Ratings on U.S. CLO Transactions Under Review"</a>

MCR will continue to monitor outstanding MCR U.S. CLO transactions in accordance with its U.S. CLO Ratings Methodology and U.S. ABS General Ratings Methodology.

DBRS will continue to monitor outstanding DBRS U.S. CLO transactions in accordance with the DBRS methodologies listed above.

The rating opinions on outstanding MCR U.S. CLO transactions, which are monitored in accordance with MCR’s U.S. CLO rating methodologies, may not be of comparable credit quality as rating opinions on outstanding DBRS U.S. CLO transactions or new DBRS ratings that may be assigned to new U.S. CLO transactions engaged on or after November 12, 2019, in each case assigned or monitored, as applicable, in accordance with DBRS’s U.S. CLO methodologies listed above.

DBRS Morningstar will continue to evaluate both rating agencies’ methodologies and analytics and may publish subsequent analytical integration decisions at a future date.

For analytical inquiries regarding this press release, please contact Jerry van Koolbergen, Managing Director, Head of U.S. Structured Credit.

DBRS
Jerry van Koolbergen
jvankoolbergen@dbrs.com
+1 212 806 3260

For rating engagement inquiries regarding the U.S. Structured Credit asset class coverage or any asset classes not listed, please contact Sean O’Connor, Managing Director, Head of Global Business Development.

DBRS
Sean O’Connor
soconnor@dbrs.com
+1 212 806 3252

For more information on the transactions rated by DBRS, please visit www.dbrs.com or contact DBRS at info@dbrs.com. For transactions rated by MCR, please visit www.morningstarcreditratings.com or contact ratingagency@morningstar.com.

DBRS
Stephen Bernard
sbernard@dbrs.com
+1 212 806 3240

Morningstar Credit Ratings
Vanessa Sussman
Vanessa.sussman@morningstar.com
+1 646 560 4541