Lower default rate boosts CLO credit quality

triple-A rating sign
By Paola Aurisicchio
15 Apr 2021

The credit quality of CLOs has strongly improved since April 2020, with default rates and watchlist exposure falling rapidly, Fitch said this week.

In Fitch's latest monthly US CLO Index, the agency highlighted that the default rate of 0.3% of par principal as of March is the lowest level since the second quarter of 2019 and that 'watchlist exposure', which tracks loans to companies in difficulty, has declined to 9.6% as of ...

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