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Non-Rating Action Commentary

STABLE WARF IN EMEA CLOS DESPITE ‘CCC’ INCREASE

Wed 13 Nov, 2024 - 07:05 ET

Related Content: Monthly European CLO Index – October 2024

Fitch Ratings-Milan/London-13 November 2024: Despite the recent increase in
exposure to ‘CCC’ assets above the long-term average, which is now at 4.6%, the
Fitch weighted average rating factor (WARF) for EMEA CLOs was stable at 25.2,
Fitch Ratings says in its latest Monthly European CLO Index report. The average
credit quality of obligors remains at the ‘B’/’B-’ level with assets rated ‘B+’
or above accounting for 25% of the total EMEA CLO portfolio. Assets rated ‘B-’
on Negative Outlooks or Rating Watch Negative accounted for 1% compared to 3%
during the first half of 2024, with exposure to Fitch’s Market Concern Loans
list at roughly 3.4% in line with the rest of the year.

Distressed issuers in portfolios rated ‘CC’, ‘C’, and ‘D’ accounted for 0.23% of
the total notional amount, across 15 different names. One issuer, iQera Group,
with a notional value of EUR173 million, represented about half of the defaulted
bucket. Overall exposure to defaulted assets was mostly unchanged from the
previous month when 17 distressed companies represented 0.24% of total issuers.
The average market value for senior secured instruments from these issuers was
estimated at approximately 47% at the end of October, compared to 61% a month
earlier because of two names, no longer in the bucket, which were trading close
to par.

Deleveraging was the primary driver behind the 38 upgrades across 10 different
transactions out of the 246 EMEA CLO tranches reviewed in October. Overall,
performance was stable, with no negative rating changes. Fitch also improved the
Outlooks of seven tranches to Positive, reflecting increased default rate
cushions against refinancing risk from near-term loan maturities. None of the
reviewed tranches resulted in a revision to a Negative Outlook.

The full report, Monthly European CLO Index - October 2024, provides further
details and can be
accessed at www.fitchratings.com or by clicking the link above.

Contact:

Luca Reddavide
Associate Director
+39 02 3055 3119
luca.reddavide@fitchratings.com

Diana Ilaria Leone, CFA
Director, European Structured Credit
+39 02 9475 6983
diana.leone@fitchratings.com

Matthias Neugebauer
Managing Director
+44 20 3530 1099
matthias.neugebauer@fitchratings.com

Media Relations: Athos Larkou, London, Tel: +44 20 3530 1549, Email:
athos.larkou@thefitchgroup.com

Additional information is available on www.fitchratings.com

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Structured Finance: Structured Credit
Structured Finance
Europe

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