Harvest CLO XXII DAC note upgrades reflect stronger credit enhancement
Harvest CLO XXII DAC's latest rating review comes after the collateralized loan obligation continued to deleverage following the end of its reinvestment period in April 2024. The changes lift three note classes while leaving the remaining tranches unchanged, as higher credit enhancement and revised CLO criteria support the transaction's current rating profile.
Highlights
- Fitch upgraded Harvest CLO XXII DAC’s class B notes to AAAsf, class C-R to AA+sf, and class D-R to BBB+sf following significant deleveraging.
- Class A-R notes paid down by about EUR152 million at the October 2026 payment date due to unscheduled repayments, enhancing credit for all upper tranches.
- Revised CLO criteria increased the weighted average recovery rate to 65.5% from 58.7%, prompting immediate application to existing transaction documents.
Upgrade drivers and revised criteria
As reported by Fitch Ratings, the agency has upgraded Harvest CLO XXII DAC's class B notes to AAAsf from AAsf, class C-R notes to AA+sf from Asf and class D-R notes to BBB+sf from BBB-sf, while affirming the class A-R, E and F notes. Fitch says the transaction has deleveraged since its last review in January 2026, with the class A-R notes paying down by about EUR152 million at the October 2026 payment date, mainly due to unscheduled repayments.That amortisation increases credit enhancement for the senior and mezzanine notes and is the main factor behind the upgrades of the class B through D-R tranches. Stable Outlooks on the class A-R to F notes reflect what Fitch describes as a large default-rate cushion at their current ratings.
The rating actions also incorporate Fitch's updated CLOs and Corporate CDOs Rating Criteria, published on 1 June 2026, together with portfolio performance. Under the revised criteria, the weighted average recovery rate rises to 65.5% from 58.7% in May 2026.
Fitch says the notes were not placed on Under Criteria Observation in June 2026 because the CLO manager had previously indicated it intended to amend transaction documents, particularly collateral quality test matrices, to align with the updated criteria. Fitch no longer expects those amendments to be made and has therefore applied the revised criteria to the existing documentation.
Our earlier article on Hainan Rubber’s proposed subordinated perpetual sustainable securities explained why Fitch assigned a BBB- rating to the planned notes issued via its majority-owned unit Halcyon Agri. We outlined how subordination and coupon-deferral features shaped the rating, and summarised Fitch’s view of the group’s leverage, liquidity, and state-linked support considerations that underpin its access to funding.
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