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All Fitch-rated MM CLOs include a Fitch Test Matrix as part of a CLO’s Collateral Quality Tests (CQTs) in MM CLOs, including Fitch weighted average recovery rate (WARR), Fitch weighted average rating factor (WARF), weighted average spread (WAS) and weighted average life (WAL), generally remain in compliance against test limits for deals in reinvestment. The median cushion to limits were 1.9% for WARR, 2.0 points WARF, 0.3% WAS and 2.4 years WAL. One MM CLO in reinvestment is not in compliance with both the Fitch WARR and WARF test limits at the end of August 2024.
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Q2'26 BDC analysis shows additional 184 bps of nonaccruals at cost
In a universe of 173 business development companies, or BDCs, Octus identified a total of $9.5 billion of debt (at cost) in nonaccrual status reported in the second quarter of 2026, a slight decline of 5% from $10 billion in the first quarter of 2026.
Reading the Board
The story changes depending on which numbers you’re counting.
Private Credit Defaults 101: Different Numbers, Different Stories
In Season 2 of Billions, Bobby Axelrod takes his lawyer Orrin Bach to an empty Yonkers racetrack in the dead of night.