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EMEA Structured Finance Losses Remain Very Low

Total losses on EMEA structured finance (SF) are low and are concentrated in certain crisis-era transactions, Fitch Ratings says in a new report. More than three-quarters of all expected losses have now been realised. 

Available On-demand: Fitch Discusses EMEA Structured Finance Losses 2000-2018

EMEA CLOs Largely Resilient to Underlying Asset Downgrades

EMEA CLO ratings show high resilience to negative migration in the underlying loan portfolio. Our stress test shows that the CLO rating impact would be limited even if all underlying assets rated 'B-' were downgraded to 'CCC'. The stress scenario is comparable to the aftermath of the global financial crisis in 2008-2009

U.S. Bank TruPS CDO Portfolio Notional Continues to Decline in 1Q19

The number of combined defaults and deferrals for U.S. bank trust preferred securities (TruPS) collateralized debt obligations (CDOs) declined to 8.8% of the original collateral balance of $37.7 billion at the end of first-quarter 2019 (1Q19) from 9.4% at the end of 4Q18


Special report on TruPS CDOs

Global CLO Chart Book

Spreads Dampen CLO Reset Activity in Europe and U.S.

Increasing senior spread on collateralized loan obligation (CLO) notes in the U.S. and Europe has dampened reset and refinancing activity in both markets, Fitch Ratings says in its latest Global CLO Chart Book. New issuance was up slightly in the prior quarter in Europe to EUR6.9 billion in first-quarter 2019 (1Q19), while new and re-issue levels were flat at $26.8 billion in the U.S. 

U.S. LevLoan Chart Book

Limited Loan Activity Logged in 1Q2019

U.S. institutional leveraged loan issuance had an anaemic start to the year, with limited refinancing and repricing activity to supplement the new deals coming to market. 

CLO Asset Manager Handbook

109 CLO managers are profiled in Fitch Ratings’ latest CLO Asset Manager Handbook and accompanying Excel-based data sheet. Profiles include key manager facts such as corporate structure, key personnel, assets under management and the number of CLOs outstanding. The handbook provides profile reports in a standardized manager, providing investors with a consistent framework for evaluating and comparing managers.

European CLOs Start to Amortise as Refinancings, Resets Slow

European CLOs are starting to amortise as higher liability spreads make refinancing and resets less attractive. Until recently, liability repayments have been relatively small due to the limited scheduled and unscheduled principal payments of underlying assets.

Fitch Ratings: Collateral Competition Persists; Four New Defaults in U.S. Middle Markets

Competition for collateral continues to persist, translating in compression of the average weighted average spread (WAS) in Fitch-rated U.S. middle market (MM) CLOs and overlap in portfolios of MM and broadly syndicated loan (BSL) CLOs. These and other trends are reported in Fitch's 1Q19 MM Snapshot.

Auto Sector Downturn Unlikely to Impact U.S. CLOs

A slowdown in global auto demand is unlikely to have an impact on U.S. CLOs through their auto-related exposure. U.S. broadly syndicated loan (BSL) collateralized loan obligations (CLOs) under Fitch's surveillance are underweighted in their exposure to the auto sector compared to the broader market. 


Loan Default Rate Drops, Neiman Debt Exchange, Asset Sale Provisions

The March TTM US institutional leveraged loan default rate is expected to fall to 1.1% from 1.7% last month – the lowest level since 2011. Fitch Ratings looks at leverage-based sweeps of proceeds from asset sales as one example of recent documentation changes in its latest terms and conditions special report series.


IBOR Transition Webinar

Available On-Demand

Fitch’s Chief Credit Officer, Jeremy Carter, and Group Credit Officer, Andreas Wilgen, discuss the progress which has been made to prepare financial markets for the discontinuation of IBOR indices and highlight the risks which still remain.

Listen Now

IBOR Transition Makes Progress, but Key Risks Unaddressed

Substantial progress in recent months will better prepare financial markets for the discontinuation of IBOR indices, but transition risks remain, Fitch Ratings says in a new report. Our ratings address the payment of interest (and principal) in accordance with the underlying terms of an obligation and would not be directly affected by transition from one reference rate to another or any accompanying spread adjustment. 

Stable EU SME Funding Likely Despite Macro Slowdown

European small and medium enterprise (SME) funding conditions are expected to remain strong in 2019 driven by a competitive banking industry, and the positive momentum of alternative lenders that enter business opportunities with more flexible arrangements.

Overlap between European and US CLO Portfolios Remains Limited

The overlap between European and US CLO portfolios remains limited even as leveraged loan issuers cater to both regions through local currency offerings, US managers enter the European CLO market and European CLOs seek diversification from a relatively limited pool of speculative-grade issuers. 

Windstream Widely Held in US CLOs but Exposure Low

Windstream Holdings Inc.'s bankruptcy filing on 25 February increases the number of US broadly syndicated loans CLOs with some default exposure, but aggregate default exposure remains.

Fitch Downgrades Windstream's IDR to 'D'


European CLO 2.0: Selected Transaction Features Explained from a Credit Perspective

Listen as our senior analysts from Fitch’s structured credit team discuss a number of structural features observed in European CLO 2.0 deals. During the call we explained the most relevant definition of these features from a credit perspective and explored the reasons behind them.

Listen on Demand

New European Leveraged Credit Taken by CLO, Private Debt Funds

The European leveraged loan market remains supported by a strong pipeline of collateralised loan obligation (CLO) formation and private debt funds' interest and compares favourably to competing high yield bond markets

Global CLO Chart Book

High Issuance, Converging Credit Enhancement Observed

Broadly syndicated loan (BSL), middle market (MM) and European (EU) CLO issuance was strong in 2018, with average 'AAAsf' credit enhancement (CE) levels in U.S. BSL CLOs converging with those of European CLO, according to Fitch Ratings' inaugural Global CLO Chart Book. There is more dispersion in CE levels for U.S. BSL CLOs, and they have longer reinvestment periods on average than CLOs in Europe. 

What Investors Want to Know: Topics in Leveraged Loans and CLOs

Fitch Ratings sponsored and participated in a variety of conferences for broadly syndicated loan (BSL), middle market (MM) and collateralized loan obligation (CLO) participants in September through November. Venues included New York and Los Angeles in the U.S. and Tokyo, Japan and Seoul, Korea in the Asia Pacific region. This research takes up some of the most commonly discussed themes and provides Fitch’s views on these subjects.

Fundamentals Support Stable 2019 Outlook for European CLOs

Fitch Ratings says it expects a stable outlook for European CLOs in 2019 based on strong fundamentals after they ended 2018 on a strong note, with record issuance and robust performance. 

U.S. Bank TruPS CDO Portfolio Notional Continues to Decline in 4Q18

The number of combined defaults and deferrals for U.S. bank trust preferred securities (TruPS) collateralized debt obligations (CDOs) declined to 10.7% of the original collateral balance of $37.7 billion at the end of fourth-quarter 2018 (4Q18) from 11.1% at the end of 3Q18, according to the latest index results published by Fitch Ratings.

Stable Performance of U.S. MM CLOs Persists Through End of 2018

Fitch-rated middle market (MM) CLOs continued to show stable performance during 4Q18, according to a new report by Fitch Ratings. Exposure to defaults remained low, with only one new default in the quarter, held by two MM CLOs. 

U.S. CLO Index: Collateral Test Failures Down; WAS Still Stable in Q4

Broadly syndicated loan CLOs under surveillance posted improvement in meeting collateral quality tests in fourth-quarter 2018, says Fitch Ratings in its most recent CLO Index report. Weighted average spread (WAS) stabilization continued throughout the second half of 2018 while the weighted average life (WAL) metric was also stable. 

Lev Loans and CLO Investors Focused on Downturn, Regulations and Docs

As 2018 comes to a close, leveraged loan and CLO investors are primarily focused on the economic and credit cycle, the time till the next downturn, the effects of regulation and looser documentation, Fitch Ratings says in a report about recently attended conferences.

Outlooks 2019

Global CLO and Leveraged Loans

"Late cycle behavior apparent in loan documentation and demand-driven financing to lower-rated leveraged loan issuers could pressure portfolio credit quality," said Managing Director Kevin Kendra. "However, we are projecting another year of low defaults." Fitch's year-end 2019 default rate for leveraged loans is 1.5%. 

U.S. CLO Interest Coverage Under Pressure

Interest coverage (IC) for U.S. broadly syndicated loan (BSL) collateralized loan obligations (CLOs) has eroded significantly in recent times, Fitch Ratings says. The trend has affected even those managers who preserved weighted average spread (WAS) at stable levels.

CLO Concentration a Potential Risk

Industry- or sector-concentrated portfolios within collateralized loan obligations (CLOs) should cause concern for senior debt investors. Diversification has been a key mitigant to prevent losses from impacting 'AAAsf' investors during past default cycles. It is unlikely that Fitch would assign 'AAAsf' ratings to a structure with un-mitigated concentration risk.


Related Content:

Fitch Ratings U.S. CLO Index

Portfolio Spreads More Stable in Q3

The average weighted average spread (WAS) for broadly syndicated loan (BSL) collateralized loan obligations (CLOs) stabilized in third-quarter 2018, according to our latest U.S. CLO Index. The index covers the period to the end of September 2018. WAS averaged 3.46% at the end of September 2018, 1 bp lower than the average in the previous quarterly Index and the slowest periodic decline since June 2016.

Investors Push Back on Weaker Terms in European CLOs

Investors continue to push back on weaker terms in European collateralised loan obligation (CLO) documentation as the market reaches a post-crisis high, Fitch Ratings says in a new report.


Ben McCarthy


Ben McCarthy


+61 2 8256 0388

Matthias Neugebauer


Matthias Neugebauer


+44 20 3530 1099

Kevin Kendra

North America

Kevin Kendra


+1 212 908 0760

Winnie Fong

North America

Winnie Fong


+1 212 908 9139

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