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Including the 11 U.S. CLO ratings that were on CreditWatch negative before the current downturn, 263 ratings in total are currently on CreditWatch negative. As of April 21, 2020, over a fourth of S&P Global Ratings-rated U.S. CLOs have one or more tranches on CreditWatch negative.

S&P Global Ratings acknowledges a high degree of uncertainty about the rate of spread and peak of the coronavirus outbreak. Some government authorities estimate the pandemic will peak around midyear, and we are using this assumption in assessing the economic and credit implications. In our view, the measures adopted to contain COVID-19 have pushed the global economy into recession. As the situation evolves, we will update our assumptions and estimates accordingly.

The recent CreditWatch negative placements occurred during four separate instances:

• On March 20, 2020, 25 ratings from 15 U.S. CLO transactions were placed on CreditWatch negative. The actions were on CLOs that had relatively larger exposures to loans from companies in various energy-related sectors (oil and gas, consumable fuels, commodities, etc.), and which also had other CLO performance factors that have reduced the cushion available to support the current ratings on the CLO tranches (see "25 Ratings On 15 U.S. CLO Transactions With Larger Exposures To Energy-Related Sectors Placed On Watch Negative").

• On March 27, 2020, 22 ratings from 15 U.S. CLOs were placed On CreditWatch negative. The actions were focused on reinvesting CLOs that had a larger exposure to the stressed sectors and loans from companies that have had recent rating actions (see "22 Ratings On 15 U.S. Reinvesting CLOs Exposed To Downgrades And Stressed Sectors Placed On CreditWatch Negative").

• On April 3, 2020, 48 ratings from 35 U.S. CLOs were placed on CreditWatch negative. While the previous two CreditWatch placement instances were focused predominantly on reinvesting CLOs, this instance was focused on the amortizing CLOs with a large 'CCC' exposure. Amortizing deals are unique in that there cannot be much trades in the portfolio, and concentration risks arise as the portfolio shrinks. Keeping the increased exposure of 'CCC' assets as one of the key factors, we placed some of the amortizing CLOs with a large 'CCC' bucket as of that date on CreditWatch negative (see "48 Ratings On 35 U.S. CLOs With Large Exposure To 'CCC' Rated Assets Placed On CreditWatch Negative").

• On April 17, 2020, 155 ratings from 113 U.S. CLOs were placed on CreditWatch negative. These were focused on reinvesting CLOs and their increased levels of both 'CCC' assets and exposure to the stressed sectors and loan from companies that have had recent rating actions (see "Ratings On 155 Classes From 113 U.S. Reinvesting CLOs Placed On Watch Negative").

For a detailed breakdown of these CreditWatch negative placements, see "A Breakdown Of COVID-19- And Energy-Related U.S. CLO CreditWatch Negative Placements (As Of April 21, 2020)," published today on RatingsDirect.

This report does not constitute a rating action.