Leveraged Finance & CLO Essentials

Private Credit & Middle Market CLOs

Private Credit And Middle-Market CLO Quarterly: The Times They Are A-Changin'
(Q4 2024)

The pace of U.S. middle-market collateralized loan obligation (CLO) issuance continues to fuel the growth of credit estimates. For the third quarter, a total of 870 credit estimates were issued, of which 183 were new and 687 were refreshes of existing credit estimates. Year to date, S&P Global Ratings has completed an aggregate of 2590 credit estimates, of which 634 are new and the remaining refreshes of existing estimates. Our view on credit estimates serves as a good proxy for our perspective on the broader direct lending market as portions of loans held in the middle - market CLOs we rate are allocated by CLO managers/GPs to other funds and vehicles they manage. We estimate the aggregate value of committed senior first-lien debt from companies we’ve credit estimated over the past 12-months to be more than $640 billion, an indication of the size of the direct portion of the private credit market.

This quarter, for the first time, we've broken out corporate credit metrics (EBITDA, leverage, and interest coverage) by the number of managers that hold the loan, providing an interesting view of how metrics vary between widely-held obligors and less widely-headl ones.

U.S. CLOs & Leverage Finance

Scenario Analysis: Stress Tests Show U.S. BSL CLO Ratings Able To Withstand Significant Loan Defaults And Downgrades (2024 Update)

Following two years of "higher-for-longer" interest rates and economic uncertainty, in September, the Federal Reserve provided a tailwind to corporate credit with a 50-basis-point rate cut that should be broadly supportive of corporate credit going forward and benefit CLO collateral.
As we've done in previous years, we have generated a series of stress scenarios to see how our BSL CLO ratings would perform under different economic environments. For this year's stress scenarios, we added scenarios with a 30% recovery assumption for defaulted assets alongside the 45% recovery assumption modeling we've published in prior years.

Credit Metrics

U.S. CLO Insights Dashboard

Europe CLOs & Leverage Finance

CLO Pulse Q2 2024: Movers And Shakers In The Top 50 Obligors In European CLOs' Portfolios

European collateral loan obligations (CLOs) typically benefit from portfolio diversification, from both an issuer and a sector perspective.

In this publication, we examine the aggregate asset quality held by European CLOs, observed through key credit metrics and consolidated by S&P Global Ratings' CLO industry sectors. Specifically, this edition of sector average metrics for European CLO assets focuses on loans issued by 634 corporate issuers, which represents over 95% of the assets under management (AUM) held in reinvesting European CLOs rated by S&P Global Ratings as reported up to March 31, 2024, in the second quarter of 2024.

Relevant Insights

Explore more of our CLO & Leveraged Finance content:

• – Global Leveraged Finance Handbook
• – 2022 Annual U.S. Corporate Default & Rating Transition Study
• – 2022 Annual Global Leveraged Loan CLO Default And Rating Transition Study
• – 2022 Annual European Corporate Default And Rating Transition Study
– Leveraged Finance: Fifth Annual Study Of EBITDA Addbacks Finds Management Continues To Regularly Miss Projections