Middle Market & Private Credit – 8/7/2023

How Might MM CLO Note Ratings Fare Amid
High Rates and EBITDA Pressures?


To assess the effect of higher interest rates, Fitch applied a rate of 5.5%, and 6.5% to represent a longer rate hike cycle. These rate stresses were combined with EBITDA haircuts to represent cost pressures on loan issuers as a result of persistent inflation.