Fitch Ratings upgrades 109 classes across U.S. CLOs, affirms 445

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Fitch upgrades U.S. CLOs

Highlights

Fitch upgraded 109 and affirmed 445 classes from 82 U.S. BSL and two MM CLOs, driven by updated criteria and portfolio performance as of June 1, 2026.
Ratings reflect portfolio quality, with BSL CLOs' average weighted rating factors ranging from 20.8 (B+/B) to 25.6 (B/B-) and MM CLOs at 32.1–32.4 (B-).
Potential future downgrades or upgrades depend on realized losses, credit enhancement sufficiency, actual recovery rates, and portfolio credit quality changes.

Rating review reflects updated criteria and portfolio performance

As reported by Fitch Ratings, the agency upgraded 109 and affirmed 442 classes from 82 U.S. broadly syndicated loan, or BSL, collateralized loan obligations, and also affirmed three classes from two U.S. middle market CLOs. Of the upgraded classes, 78 were raised by one notch and 31 by two notches, with Stable Rating Outlooks assigned.

The rating actions are primarily driven by a combination of portfolio performance and Fitch's updated CLOs and Corporate CDOs Rating Criteria published on June 1, 2026. Fitch says rating actions and performance metrics for each transaction are detailed in the related rating action report.

This review covers 82 U.S. BSL CLOs and two MM CLOs secured primarily by first-lien senior secured leveraged loans. All of the transactions remain within their reinvestment periods except Dryden 55 CLO, Ltd., which exited in April 2023.

Portfolio quality and credit enhancement remain key drivers

Fitch says it conducted an updated cash flow analysis based on the Fitch Stressed Portfolio for transactions still in their reinvestment periods. The rating actions were mostly in line with model implied ratings, although 97 classes are rated one notch below their respective model implied ratings and 49 classes are rated two notches below them.

Across the BSL CLO transactions, overall portfolio quality remains in the 'B' rating category, with Fitch-calculated weighted average rating factors ranging from 20.8, or B+/B, to 25.6, or B/B-. For MM CLOs, the Fitch weighted average rating factor ranges from 32.1 to 32.4, in the B- category, while weighted average recovery rates range from 70.3% to 74.3% for BSL CLOs and from 74.8% to 74.9% for MM CLOs.

Reinvesting BSL CLO portfolios also show broad diversification, with 197 to 466 obligors across transactions and top 10 obligor concentrations ranging from 5.2% to 11.1% of portfolios. Fitch says negative rating pressure could emerge if realized or projected portfolio losses exceed initial assumptions or if credit enhancement proves insufficient, while upgrades may follow better-than-expected credit quality, rising credit enhancement, and deleveraging.

Fitch’s rating of Hainan Rubber’s proposed subordinated perpetual sustainable securities highlighted how subordination and coupon-deferral features can push an instrument’s rating below the issuer level. Our earlier coverage also outlined Fitch’s view of the group’s leverage and liquidity profile, including the role of state support and funding access in its overall credit assessment.

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