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In July 2026, portfolio credit quality in reinvesting Fitch-rated U.S. BSL CLOs remained broadly stable from June. Net portfolio losses held at 0.5%. The Fitch weighted average rating factor also held at 23.1. The Fitch weighted average recovery rate declined slightly by 0.1%, while the weighted average spread fell by 0.01%.
Performance in the U.S. MM CLO sector was similar. Net portfolio losses held at 0.3%. The Fitch weighted average rating factor remained at 30.5, and the Fitch weighted average recovery rate stayed at 74.9%. The weighted average spread declined by 0.01%. Fitch recorded one obligor default in Fitch-rated MM CLOs in July.
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