CLO Awakening (Second of Two Parts)
From a risk perspective, CLO defaults are rare; no AAA tranche in either US or European CLOs has ever defaulted. The historical default rate for all CLO tranches is just 0.11%, and none occurred post-GFC until 2021. Then only after portfolios had been partially weakened from loan credit quality issues emerging during the Covid-19 pandemic.
In a similar vein, Barclays analysts reported that BSL CLO exposure to S&P-rated CCC assets dipped month-over-month. The median exposure fell to 6.2% in July from 6.5% in June. Only 27.1% of CLOs have in excess of 7.5% of CCC or below rated assets compared to 32.9% in June, according to Barclays.
▶︎ Read July 22nd 2024 Newsletter: here
Latest news
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.