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In July 2026, portfolio credit quality in reinvesting Fitch-rated U.S. BSL CLOs remained broadly stable from June. Net portfolio losses held at 0.5%. The Fitch weighted average rating factor also held at 23.1. The Fitch weighted average recovery rate declined slightly by 0.1%, while the weighted average spread fell by 0.01%.
Performance in the U.S. MM CLO sector was similar. Net portfolio losses held at 0.3%. The Fitch weighted average rating factor remained at 30.5, and the Fitch weighted average recovery rate stayed at 74.9%. The weighted average spread declined by 0.01%. Fitch recorded one obligor default in Fitch-rated MM CLOs in July.
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PE exit activity
Exit value fell to $102.6 billion in the second quarter—down 46.3% from the prior quarter and 7.4% YoY—while exit count dropped to 353, a 14.1% quarterly decline and a 5.4% rise against Q2 2025.
Middle market debt held by BDCs vs High yield vs Treasury yields
The blue line is the dividend yield of the VanEck BDC Income ETF (BIZD), currently at 11.4% as of 14…