...Ballyrock CLO 2019-2 Ltd. (Ballyrock 2019-2 or the CLO) is a typical cash-flow CLO transaction managed by Ballyrock Investment Advisors LLC (Ballyrock or the manager). The CLO is backed by a $400 million portfolio of non-investment-grade broadly syndicated loans and other assets that the manager purchases from and trades in the primary and secondary markets. In our credit analysis, we considered the attributes of the CLO's underlying assets, including the assets' average default probability, average recovery rate, diversity score, average life and average spread. The CLO has issued several classes of notes that receive quarterly interest payments and, after the reinvestment period, principal payments, in order of seniority. In addition, the CLO has issued subordinated notes that receive only residual interest and principal payments. We measured the credit risk of the CLO's notes using our Moody's CDOEdge...