Fitch U.S. MM CLO Spotlight – May 2024

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Defaults and Deferring Exposure Flat

Twenty-five CLOs had exposure to at least one defaulted or deferring issuer at the end of May 2024. Average defaulted and deferring exposure across middle market (MM) CLOs remained at 0.7%. There were no new defaulted or deferring issuers in May, while two prior defaults were upgraded post DDE, one was sold and one emerged from bankruptcy.

Deferrable Obligations Contained

Exposure to deferrable and permitted deferrable obligations, which include issuers that are allowed to defer interest and those paying part of their interest due in cash while deferring the rest, reduced slightly by 10 basis points (bps) on average compared to the prior month. Five new deferrable issuers were offset by seven issuers that were no longer reported as deferrable or sold at 81 to 100.