CLO Weekly Ratings Refresh

Research evidence excerpt

CLO Weekly Ratings Refresh

J P M O R G A N Global Securitized Products

Research

20 July 2026

CLO Weekly

Ratings Refresh

North America Credit Collateralized

Loan Obligations

Rishad Ahluwalia AC

(44-20) 7134-0254

rishad.ahluwalia@jpmorgan.com

J.P. Morgan Securities plc

• We appreciate your support in the 2026 Extel Research Survey categories Aram Lavan

“USA: Structured Securities > Collateralized Loan Obligations (CLOs)” and

(1-212) 622-5385

“Developed Europe: Economics & Strategy > Collateralized Loan Obligations aram.lavan@jpmchase.com

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• Moody’s recently proposed to refresh its CLO methodology by recalibrating

default-probability stresses and adding an actual-portfolio “actual-metric”

analysis alongside covenant-based modeling for tranches Aa1 and below (with

any uplift typically capped at one notch for Aa1–A3 and two notches for Baa1

and lower). Moody’s expects a mostly positive impact—about one-third of

outstanding US and EMEA ratings seeing one- to two-notch upgrades, with up

to three for some low‑leverage BSL CLOs/CBOs (excluding Aaa-only

ratings). In addition, Fitch recently published its updated criteria which

highlights changes around recovery assumptions and other criteria. Fitch

estimates ~5%–15% of its CLO note ratings may change, and expects all

changes to be positive, mostly one to two notches, with potentially affected

notes flagged under Criteria Observation and resolved within six months.

Investors have been asking about implications—particularly for potentially

affected transactions—but any secondary repricing will likely still be driven by