The full impact of higher base rate interest costs has arrived, and with it, credit migration. This inaugural quarterly compendium provides statistics related to KBRA’s surveillance of 462 middle market (MM) corporate credit assessments1 in Q4 2023 and 450 assessments in Q1 2024 (see Figure 1). We also provide data on the 127 new assessments assigned in Q1 2024. KBRA performed nearly 3,500 corporate credit assessments over the past two years, and the data related to these assessments continue to provide unique insight into the otherwise opaque direct lending landscape (see Figure 2). KBRA monitors these credit assessments as part of our surveillance of hundreds of KBRA-rated private credit feeder note, collateralized loan obligations (CLO), and private credit NAV/leverage facility transactions (see Figure 3).
While Q4 2023 and Q1 2024 assessments are not perfect statistical samples of the broader portfolio, they provide a worthwhile view into the…