美国CLO经理晴雨表：2026年信用强度展望

US CLO Manager Barometer Credit strength heading into 2026Although soft patches exist in market value metrics and remain a top-of- mind concern at the start of 2026, portfolios are signalling credit strengthheading into the new year Conor O’ Toole, Managing DirectorJamie Flannick, ResearchAnalyst December 2025 ALL DEALS (BSL, inside + outside reinvestment) CREDIT MARKET VALUE Credit metrics through the first week of Decemberremain broadly constructive at the headline acrossportfolios for all deals–a-15 pt reduction in WARF,and a-20 bps drop in CCC exposure for bothMoody’s (Caa1) and S&P. The medians for thesebenchmarks are now at 2728 (WARF), 4.5% (Caa1),and 3.8% (CCC). Loan prices remain challenged, with the LLI headlineof 96.6 being little changed compared to this time amonth ago. Weighted Average Portfolio prices acrossCLOs tend to track higher due to the higher creditquality of loans held, but the December figure of96.73 remains well south compared to a year ago, a97.35 reading at this time in December 2024. And the year-over-year comparison is telling–2810for median WARF and 5.4% for S&P CCC exposure12 months ago. From a credit quality perspective,CLO managers in aggregate have been effective instrengthening the credit quality of portfolios.Trend Summary This has put downward pressure on Equity NAVs,which although saw a MoM bump of 1.5%, remainlower YoY–46% in December vs. 52% a year ago. Additionally, the level of portfolios exposed to loanssub-90 decreased to 9%, while the exposure acrossportfolios to loans priced sub-80 rose to 4.2%. Bothcohorts point to tail risk in the loan market, a featurewhich will likely persist in the year ahead. Additionally, current defaults, a point-in-time metricwhich captures the percentage of loans acrossportfolios that are in default, decreased by 0.1% to0.45%. This is at par with the historical average of0.45% and reverses three consecutive months ofincrementally higher default rates. STRUCTURE Similar tolast month, OC Test fails decreased by0.8% over the month to land at 5.9% for all deals.Similarly, ID test fails decreased by 0.1% to land at0.8%. The compression points to a further decline inthe left tail of CLO portfolios and will provide somemarginal support to equity. This downward trajectory is in-line with the trailing12M default rate that we estimate for loans in CLOs–3.2% par weighted, and 3.4% issuer weightedcompared to 3.5% / 4.0% at the end of October.Although a few high-profile defaults had grabbedheadlines throughout the year, these are the lowestlevels we have tracked since December 2023 andpoint to credit strength heading into 2026. In-line with this trend is the month-over-monthincrease in Jr. OC cushions, a 10-bps gain to 3.8%.However, the 3M and YoY comp remains challenged. A look at the broader loan market points to thesame underlying trend–a 3.7% default rate in theMorningstar, LSTA LLI, the lowest since November2023 and a downgrade to upgrade ratio of 1.73, thelowest level also since March 2024. Exposure to fixed rate assets and high-yield bondsremained flat over the month at 2.2% / 2.7%. In arate cutting environment, fixed rate assets offermanagers and CLO investors relative value. Trend Summary-portfolio metrics Although month-over-month gains tend to be marginal, the 3M and 1 YR comps point to more material trends Distribution comparison The interquartile range (IQR, spread of the middle 50% of observations) is a method for measuring dispersion atdifferent time periods. Although the IQR for Junior OC cushions and CCC exposure has tightened compared tothree months ago, WARF is currently showing greater dispersion across platforms. The 3 month change in Junior OC cushion pointsto par loss for most platforms TOPICPAGEOverviewSummary metrics4Manager summary7Historical trends11 Relative Performance Moody's WARF versus WAS positioning12WARF deltas14Caa1 & less (%) deltas16Rating barbelling: Moody's Caa1 versus WARF18Test cushion vs. current levels20Manager size effects: uniformity across platform size21Top 15 low and high WAS, WARF, Bid Depth22Summary across vintage and quarter of issuance25 Table of ContentsCredit Metrics Moody’s WARFFitch’s WARF26-29Moody's Caa1 & less %30S&P CCC (%)32Defaults (%)34WAS36Moody's WARR38Moody's diversity score40 Although the default rate continues to moderate in theMorningstar, LSTA LLI–reaching 3.7% at the end ofNovember, the lowest since November 2023–levelscontinue to remain well elevated above the 2% CDRmodeled by most CLOs being brought to market. Our estimate for defaulted loans in CLOs at the end ofNovember from a trailing 12M also remains elevated at3.2% / 3.4% (par weighted / issuer weighted) withrecoveries in the low 60s on average. Price Metrics Deutsche BankBB MVOC42Equity NAV44Weighted average portfolio price46Exposure to credits marked < 80 pt (%)48Exposure to credits marked < 95 pt (%)50BB OC Ratio52BB OC Cushion54Leverage (Deal balance/Equity ratio)56Methodology and ca