Voya Euro CLO V DAC notes upgraded as Fitch flags rising risk on class F

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Voya Euro CLO DAC upgrade

Highlights

Fitch upgraded Voya Euro CLO V DAC's class B-1 and B-2 notes to AA+sf from AAsf following EUR32.7 million in cumulative paydowns since July 2026.
Fitch revised the Outlook on the class F notes to Negative from Stable due to weaker credit protection and the class F par value ratio falling to 106.1% from 107.2%.
18.4% of the portfolio is on Negative Outlook and the average credit quality of underlying obligors is assessed at B/B- with a weighted average rating factor of 26.3.

Rating actions follow post-reinvestment deleveraging

As reported by Fitch Ratings, the agency has upgraded Voya Euro CLO V DAC's class B-1 and B-2 notes to AA+sf from AAsf, while affirming the class A notes at AAAsf, class C at A+sf, class D at BBB+sf, class E at BB+sf and class F at B-sf. It also revises the Outlook on the class F notes to Negative from Stable.

The cash flow CLO, which is backed mostly by senior secured obligations, closed in September 2021, is actively managed by Voya Alternative Asset Management LLC, and exits its reinvestment period in April 2026. Fitch says cumulative paydowns of EUR32.7 million on the class A notes since July 2026 increase credit enhancement for senior and mezzanine tranches, even though the transaction remains below par.

Fitch says the benefit from amortization outweighs the portfolio's observed par loss for the class B notes, supporting the upgrades. The agency adds that the senior notes retain sufficient buffers to absorb further defaults and par erosion, with expected deleveraging helping sustain current ratings on the affirmed tranches.

Portfolio deterioration weighs on junior debt outlook

The negative revision on the class F notes reflects weaker credit protection and greater exposure to further deterioration in the underlying portfolio. Fitch says the class F par value ratio falls to 106.1% from 107.2%, while the transaction moves to 1.3% below its target par balance, versus 0.1% at the previous review.

The agency links that erosion to a defaulted asset carried at a low trustee value and losses realized on sales of distressed assets over the past 12 months. It says 18.4% of the portfolio is now on Negative Outlook, leaving room for further negative rating migration, and warns that an additional downgrade of an asset into the CCC category could further weaken the over-collateralization cushion and potentially turn it negative.

Fitch also says the portfolio's current market value is below the outstanding balance of the rated notes, making full repayment of the class F notes through liquidation unlikely. The weighted average life test is failing as of October 2026, although it was passing on the final day of the reinvestment period, allowing reinvestment on a maintain-or-improve basis for that measure.

On portfolio quality, Fitch assesses the average credit quality of underlying obligors at B/B-, with a weighted average rating factor of 26.3 and a weighted average recovery rate of 65.7%. The agency says the portfolio remains diversified across obligors, countries and industries, with the top 10 obligor concentration at 11.9% and fixed-rate assets at 4.8%, within the 5.0% limit.

Fitch’s rating of Hainan Rubber’s proposed subordinated perpetual sustainable securities outlined how the notes’ junior ranking in the capital structure and coupon-deferral features drove a BBB- assessment versus the issuer level. Our earlier coverage also highlighted the group’s elevated leverage and liquidity position, alongside Fitch’s view on parent support and the factors that could influence funding access and credit risk over time.

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