This CLO Rating Calculator helps investors assess the risk-return profile of CLO tranches by estimating potential credit losses under different stress scenarios. It provides transparency into how structural protections and collateral quality affect tranche ratings. The calculator is a simplified implemented of Moody's Binomial Expansion model. It doesn't incorporate all CLO structural features, but rather is meant to allow market participants to test the sensitivity of the ratings to various changes in assumptions.
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A CLO Rating Calculator estimates how a collateralized loan obligation (CLO) tranche's credit profile might respond to changes in the underlying loan pool's assumptions. TPE Hub's calculator lets you test how factors like default risk, recovery rates, and structural protection affect a tranche's risk profile, rather than reporting an official rating.
The calculator is a simplified implementation of Moody's Binomial Expansion Technique (BET), which models the loan pool as a set of independent, uncorrelated credits based on a diversity score, then estimates potential portfolio losses under different default and recovery assumptions. It doesn't model every structural feature of a real CLO, but is built to show how sensitive a rating outcome is to changes in your assumptions.
TPE Hub's calculator takes a Default Rating Factor (WARF), a Diversity Score as a proxy for correlation, a Recovery Rate, a Default Stress Factor, the collateral pool's Average Life, and the tranche's Credit Support level, with an optional dynamic recovery toggle — the same categories of inputs used in Moody's BET model.
A CLO tranche's rating reflects the estimated likelihood that it will experience credit losses, based on the quality and diversification of the underlying loan pool and how much credit support protects that tranche. Understanding what drives a rating, rather than treating it as fixed, helps investors judge how sensitive a tranche is to a weaker collateral pool or a stress scenario.
For other fixed-income analysis, the Bond Calculator and Fixed Income Dashboard cover bond-level pricing and portfolio views. If you're researching credit risk in a related asset class, BDC Credit Intelligence covers the loan portfolios and debt stacks of Business Development Companies, which are also frequent CLO collateral obligors.
