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CLO Spotlight: First-Quarter 2020 CDO Monitor Benchmarks Reveal Relative Credit Quality And Diversity Of CLO Portfolios

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CLO Spotlight: First-Quarter 2020 CDO Monitor Benchmarks Reveal Relative Credit Quality And Diversity Of CLO Portfolios

S&P Global Ratings is publishing its first-quarter 2020 performance benchmarks under its non-model Monitor framework for rated collateralized loan obligation (CLO) transactions (see "How To Build Your Own CDO Monitor E8 (Non-Model Version)," published June 21, 2019). The performance benchmarks provides transparency into our view of CLO collateral credit quality and diversity using the non-model version of our CDO monitor. They also highlight the different CLO manager investment styles (i.e., some managers prefer to invest in loans from higher rated issuers, while others prefer to maintain highly diversified portfolios).

Non-Model Monitor's Benchmarks

Chart 1 summarizes the revised non-model Monitor's benchmarks.

Chart 1

image

These metrics are calculated based on portfolio information from the recent trustee reports and our ratings on the corporate obligors in the CLO collateral pools as of first-quarter 2020. The metrics below are calculated for the portfolio exposures to obligors with performing ratings (rated 'CCC-' and above). For example, if a CLO has exposure to an obligor that gets downgraded to a nonperforming rating ('CC', 'SD', or 'D'), the monitor metrics of the portfolio will exclude the exposure to that obligor.

Non-Model Monitor Benchmarks

U.S. and European reinvesting broadly syndicated loan (BSL) CLO comparison

Table 1 shows the average first-quarter 2020 metrics for reinvesting U.S. and European BSL CLOs.

Table 1

Average First-Quarter 2020 Metrics For Reinvesting BSL CLOs
WAL (years) DRD ODM IDM RDM WARF
European CLOs 5.06 616 114.60 19.63 1.32 2796
U.S. CLOs 4.99 842 204.40 24.68 1.18 2776
CLO--Collateralized loan obligation. BSL--Broadly syndicated loan. WAL--Weighted average life. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. WARF--Weighted average rating factor.

For a comparison between the structure and composition of U.S. and European CLOs, see "European And U.S. CLOs: How Different Are They Really?," published Dec. 1, 2015, on RatingsDirect.

U.S. CLO metrics

Table 2 shows the first-quarter 2020 portfolio metrics for the U.S. CLOs rated by S&P Global Ratings (this list includes middle market CLOs).

Table 2

First-Quarter 2020 Metrics For U.S. CLOs Rated By S&P Global Ratings
Transaction WAL (years) DRD ODM IDM RDM WARF Reinvesting
Benefit Street Partners CLO XIV, Ltd. 4.98 827 292.61 27.91 1.14 2690 Y
HPS Loan Management 6-2015, Ltd. 6-2015 4.97 985 180.48 26.83 1.13 2675 Y
AMMC CLO 22, Limited 4.69 950 319.36 29.51 1.12 2745 Y
Cook Park CLO, Ltd. 5.05 833 232.78 23.99 1.18 2827 Y
Atlas Senior Loan Fund IX, Ltd. 4.58 968 170.77 28.55 1.12 2852 Y
Ares XLVII CLO Ltd. 5.09 720 226.19 20.46 1.20 2874 Y
Octagon Investment Partners 36, Ltd. 5.20 855 198.50 21.44 1.23 2660 Y
Voya CLO 2018-1, Ltd. 5.08 896 319.79 22.52 1.17 2667 Y
Madison Park Funding XXX, Ltd. 4.99 838 228.24 24.65 1.24 2854 Y
Palmer Square CLO 2018-1, Ltd. 5.09 843 229.71 19.99 1.12 2561 Y
Anchorage Capital CLO 1-R, Ltd. 1-R 5.20 709 137.98 25.50 1.24 3162 Y
Octagon Investment Partners 18-R, Ltd. 5.27 933 221.84 25.35 1.21 2619 Y
Cedar Funding IX CLO, Ltd. IX 4.79 870 217.94 28.61 1.10 2809 Y
Woodmont 2018-4 Trust 3.51 603 75.03 16.24 1.00 3872 Y
Barings CLO Ltd. 2018-II 5.17 857 188.94 25.41 1.18 2619 Y
Ivy Hill Middle Market Credit Fund XIV, Ltd. 4.24 388 88.45 13.12 1.02 3649 Y
Greywolf CLO VI, Ltd. 5.42 741 140.26 28.87 1.23 2827 Y
Fortress Credit Opportunities XI CLO Limited 4.01 1012 52.83 12.17 1.04 4060 Y
Ares XXXIIR CLO Ltd. 4.99 749 233.46 21.63 1.21 2877 Y
Antares CLO 2018-1, Ltd. 3.93 256 128.59 22.04 1.00 3623 Y
Chenango Park CLO, Ltd. 4.97 856 211.69 21.47 1.15 2791 Y
Romark WM-R Ltd. 4.94 851 238.58 24.82 1.13 2814 Y
Madison Park Funding XIII, Ltd. 4.76 863 213.53 24.79 1.28 2942 Y
NewStar Fairfield Fund CLO Ltd. 4.00 772 83.12 21.10 1.03 4007 Y
Voya CLO 2014-1, Ltd. 4.92 902 329.09 22.99 1.16 2774 Y
RR 4 LTD 4.78 818 150.67 21.45 1.26 2918 Y
Bain Capital Credit CLO 2018-1 Ltd 5.21 758 271.15 25.38 1.21 2833 Y
TCW CLO 2018-1, Ltd. 5.16 816 218.10 22.73 1.20 2776 Y
Northwoods Capital XI-B, Limited 4.76 899 136.16 24.60 1.09 2848 Y
Benefit Street Partners CLO V-B, Ltd. V-B 4.80 855 291.50 27.81 1.16 2729 Y
GoldenTree Loan Management US CLO 3, Ltd. 4.92 776 123.75 23.05 1.30 2771 Y
Neuberger Berman Loan Advisers CLO 28, Ltd. 28 5.01 750 175.04 24.84 1.30 2715 Y
NewStar Arlington Senior Loan Program LLC 3.79 591 84.03 21.84 1.00 3833 Y
MARANON LOAN FUNDING 2018-1, LTD. 2018-1 3.87 544 58.34 15.29 1.02 3817 Y
Carlyle Global Market Strategies CLO 2014-2-R, Ltd. 4.79 947 228.86 30.48 1.19 2733 Y
Apidos CLO XXIX 4.93 815 236.00 28.24 1.25 2692 Y
Ares XXXIR CLO Ltd. 5.00 756 238.10 21.69 1.21 2868 Y
Ares XLVIII CLO Ltd. 5.14 708 221.62 20.85 1.22 2844 Y
Dryden 55 CLO, Ltd. 4.97 942 296.76 27.68 1.16 2704 Y
MCF CLO VIII Ltd. 3.59 359 101.12 14.75 1.02 3726 Y
Dorchester Park CLO DAC 4.60 824 213.69 23.31 1.18 2871 Y
Voya CLO 2018-2, Ltd. 5.09 890 312.94 21.41 1.16 2679 Y
HPS Loan Management 12-2018, Ltd. 5.04 901 181.11 27.10 1.10 2631 Y
ORCC Financing II LLC 3.77 496 27.81 17.00 1.02 3660 Y
Octagon Investment Partners 37, Ltd. 5.51 890 181.87 23.65 1.21 2629 Y
Madison Park Funding XXVIII, Ltd. 5.03 800 228.35 23.79 1.26 2886 Y
Barings CLO Ltd. 2018-III 4.91 892 192.97 26.10 1.19 2753 Y
OCP CLO 2018-15, Ltd. 5.14 784 223.26 27.87 1.30 2620 Y
Carlyle Global Market Strategies CLO 2014-3-R, Ltd. 4.82 907 241.87 30.02 1.21 2747 Y
Apollo Credit Funding IV Ltd 4.81 854 85.61 17.24 1.26 2986 Y
Carlyle Global Market Strategies CLO 2014-4-R, Ltd. 4.77 920 223.78 29.46 1.19 2792 Y
Golub Capital Partners CLO 30(M), Ltd. 3.86 886 60.96 7.75 1.00 4228 Y
THL Credit Wind River 2018-1 CLO Ltd. 5.07 806 183.26 22.33 1.22 2786 Y
OFSI BSL IX, Ltd. 5.01 733 183.36 24.65 1.13 2689 Y
Mariner CLO 6, Ltd. 4.97 803 215.42 20.49 1.16 2765 Y
Crown Point CLO 5 Ltd. 4.71 876 176.01 31.18 1.12 2744 Y
Fillmore Park CLO, Ltd. 5.19 778 204.80 23.13 1.15 2766 Y
BlueMountain CLO XXII Ltd. 5.25 812 186.70 26.62 1.20 2870 Y
Ares XLIX CLO Ltd. 5.12 718 223.99 20.40 1.18 2823 Y
CFIP CLO 2018-1, Ltd. 4.78 915 132.22 18.80 1.12 2389 Y
Golub Capital Partners CLO 38(M), Ltd. 3.79 853 67.20 6.41 1.00 4150 Y
Race Point X CLO, Limited 5.20 781 262.58 24.83 1.22 2851 Y
Bain Capital Credit CLO 2018-2, Limited 5.25 785 270.15 26.36 1.21 2772 Y
Octagon Investment Partners 38, Ltd. 5.35 883 208.21 23.14 1.20 2694 Y
Neuberger Berman Loan Advisers CLO 33, Ltd. 5.35 703 181.59 25.40 1.24 2658 Y
OZLM XXIV, Ltd. 5.47 896 143.01 24.90 1.26 2711 Y
PennantPark CLO I, Ltd. 4.22 332 47.88 19.12 1.00 3669 Y
Golub Capital Partners CLO 45(M), Ltd. 4.02 801 59.40 8.30 1.00 4035 Y
Tralee CLO VI, Ltd. 5.19 833 159.15 24.71 1.11 2694 Y
CIFC Funding 2016-I, Ltd. 4.94 826 238.23 23.72 1.18 2790 Y
Park Avenue Institutional Advisers CLO Ltd 2019-2 5.16 698 129.93 22.18 1.08 2649 Y
KKR CLO 27 Ltd. 5.06 909 194.99 24.56 1.17 2715 Y
Oaktree CLO 2019-4, Ltd. 5.23 876 238.82 27.64 1.14 2635 Y
GCPF Loan Funding D L.P. 4.05 824 57.21 6.70 1.00 4077 Y
Ares LIV CLO Ltd. 5.44 648 187.49 18.98 1.21 2887 Y
OHA Loan Funding 2015-1 Ltd. 5.02 832 156.30 26.43 1.21 2852 Y
First Eagle Commercial Loan Funding 2016-1 LLC 3.88 612 77.34 20.63 1.00 3840 Y
Grayson CLO Ltd 1.23 398 3.37 3.20 1.00 5518 N
Brentwood CLO Ltd 1.00 439 4.58 4.00 1.00 5484 N
Eastland CLO Ltd 1.29 551 2.99 2.93 1.00 5405 N
Madison Park Funding XXVI, Ltd. 4.87 820 209.21 24.59 1.27 2936 Y
Westchester CLO Ltd 1.43 611 3.49 3.24 1.00 5294 N
Greenbriar CLO Ltd 0.80 0 3.79 2.96 1.00 5751 N
Cedar Funding II CLO Ltd 4.64 917 211.07 27.24 1.09 2858 Y
Benefit Street Partners CLO III, Ltd. 4.93 854 287.33 26.78 1.15 2708 Y
Flagship VII LTD 2.80 1127 48.30 14.24 1.13 3329 N
Cedar Funding IV CLO, Ltd. 4.70 904 229.23 27.57 1.11 2818 Y
Palmer Square CLO 2015-2 Ltd 5.06 862 224.36 21.08 1.12 2603 Y
Madison Park Funding XXIII, Ltd. 4.92 789 223.03 23.52 1.27 2904 Y
Atlas Senior Loan Fund XII, Ltd. 5.19 962 184.53 27.31 1.16 2743 Y
Diamond CLO 2019-1 Ltd. 4.05 453 58.97 25.29 1.12 3406 Y
CIFC Funding 2019-IV, Ltd. 5.41 701 195.75 21.80 1.10 2726 Y
Guggenheim CLO 2019-1 Ltd. 5.51 825 130.84 25.67 1.16 2722 Y
ALM V LTD 4.09 898 2.76 2.76 1.00 3143 N
California Street CLO IX Limited Partnership 4.90 803 178.91 20.97 1.18 2836 N
OZLM Funding Ltd 5.02 1037 188.41 26.03 1.27 2720 Y
JFIN CLO 2012 Ltd. 4.74 992 160.73 21.64 1.18 2771 N
Halcyon Loan Advisors Funding 2012-1 Ltd. 1.98 1416 12.45 6.86 1.22 3868 N
Carlyle Global Market Strategies CLO 2012-3 Ltd. 4.87 905 240.05 30.17 1.18 2725 Y
OZLM Funding II, Ltd. 5.00 1021 187.32 26.90 1.30 2742 Y
ALM VII, Ltd. 4.99 794 126.96 19.85 1.23 2859 Y
AMMC CLO XI, Limited 4.50 1005 289.42 29.81 1.13 2730 Y
BlueMountain CLO 2012-2 Ltd 5.15 853 227.06 24.04 1.14 2917 Y
OHA Credit Partners VII, Ltd. 5.04 862 145.77 25.55 1.19 2783 Y
Octagon Investment Partners XIV Ltd. 5.24 900 203.73 23.24 1.22 2689 Y
Voya CLO 2012-4, Ltd. 2012-4 4.97 878 325.94 22.82 1.17 2763 Y
Dryden XXV Senior Loan Fund 4.67 944 284.35 27.33 1.16 2695 N
THL Credit Wind River 2012-1 CLO Ltd. 3.43 1008 76.06 21.00 1.14 3226 N
Carlyle Global Market Strategies CLO 2012-4, LTD 4.87 909 237.52 30.70 1.22 2749 Y
Venture XII CLO, Ltd 4.22 961 335.04 27.51 1.17 2887 N
Madison Park Funding X, Ltd. 4.90 803 225.86 23.99 1.27 2876 Y
Magnetite VII, Limited VII 5.27 863 220.40 27.69 1.15 2633 Y
Apidos CLO XI 4.79 862 208.95 29.04 1.21 2672 Y
MidOcean Credit CLO I 2.93 1184 38.76 17.60 1.09 2948 N
Atrium IX 4.88 815 227.21 24.51 1.26 2848 Y
OZLM Funding III, Ltd. 4.82 993 190.41 26.81 1.28 2740 Y
LCM XIII Limited Partnership 4.56 861 246.40 25.72 1.12 2843 Y
Longfellow Place CLO, Ltd. 4.80 920 137.97 26.68 1.13 2863 Y
Carlyle C17 CLO, Ltd. 4.97 864 193.03 32.39 1.20 2771 Y
Marathon CLO V Ltd. 4.20 873 152.46 26.40 1.24 3096 N
Race Point VIII CLO, Limited 5.22 776 277.42 25.37 1.23 2813 Y
Octagon Investment Partners XV, Ltd. 5.19 883 224.12 23.90 1.21 2686 Y
Regatta II Funding L.P. 5.09 782 246.55 20.88 1.21 2789 Y
Jamestown CLO II Ltd 4.96 908 173.53 27.70 1.22 2716 Y
KVK CLO 2013-1 Ltd. 4.37 861 140.26 21.07 1.12 2913 N
CFIP CLO 2013-1, Ltd 4.60 885 129.32 19.54 1.14 2838 Y
Sound Point CLO II, Ltd. 5.26 862 184.48 23.39 1.17 2537 Y
CIFC Funding 2013-I, Ltd. 4.93 840 226.78 25.63 1.21 2835 Y
Galaxy XV CLO, Ltd. 5.03 819 187.92 24.41 1.28 2696 Y
Halcyon Loan Advisors Funding 2013-1 Ltd. 2.45 1262 27.46 12.07 1.07 3452 N
Greywolf CLO II, Ltd. 5.31 826 130.36 29.32 1.23 2941 Y
Dryden XXVI Senior Loan Fund XXVI 4.99 927 275.11 27.30 1.16 2728 Y
JFIN CLO 2013 Ltd. 4.78 1038 129.93 25.20 1.21 2775 Y
Denali Capital CLO X, LTD. 4.39 891 217.36 25.87 1.10 3011 Y
AMMC CLO XII, Limited 4.59 936 285.27 30.85 1.14 2772 N
Voya CLO 2013-1, Ltd. 4.96 917 322.57 24.03 1.18 2703 Y
Tralee CLO II, Ltd. 4.80 919 167.26 24.59 1.10 2872 Y
Carlyle Global Market Strategies CLO 2013-2, Ltd. 2013-2 4.98 909 219.23 31.99 1.16 2749 Y
Shackleton 2013-III CLO, Ltd. 4.84 809 195.76 26.84 1.23 2849 Y
Voya CLO 2013-2 Ltd. 4.92 907 304.59 24.09 1.17 2734 Y
THL Credit Wind River 2013-1 CLO Ltd. 5.02 839 167.26 18.80 1.17 2950 Y
Elevation CLO 2013-1 Ltd. 4.91 893 237.11 24.48 1.13 2740 Y
Mountain View CLO 2013-1 Ltd. 5.10 893 193.56 25.01 1.23 2474 Y
BlueMountain CLO 2013-1 Ltd. 4.90 913 220.58 26.79 1.19 2911 Y
Neuberger Berman CLO XIV, Ltd. XIV 4.91 788 175.06 24.43 1.31 2637 Y
Mountain Hawk II CLO, Ltd. 3.26 917 43.90 10.18 1.04 3524 N
Barings CLO Ltd. 2013-I 4.55 867 189.41 21.26 1.18 2705 N
GLG Ore Hill CLO 2013-1, Ltd. 2.69 1238 38.28 18.95 1.17 3113 N
Octagon Investment Partners XVI, Ltd. 5.38 902 224.87 25.14 1.20 2654 Y
Benefit Street Partners CLO II, Ltd. 4.91 864 289.36 28.29 1.16 2707 Y
CIFC Funding 2013-II, Ltd. 4.94 861 229.22 25.10 1.20 2808 Y
BlueMountain CLO 2013-2 Ltd. 2013-2 5.17 922 206.77 28.79 1.14 2847 Y
Tryon Park CLO, Ltd. Tryon 4.88 844 191.06 21.68 1.15 2777 Y
Dryden XXVIII Senior Loan Fund 4.92 926 306.29 27.89 1.15 2733 Y
OZLM Funding IV, Ltd. 5.00 1036 190.04 27.28 1.28 2721 Y
Carlyle Global Market Strategies CLO 2013-3 Ltd 2013-3 4.90 938 217.42 32.01 1.16 2713 Y
OHA Loan Funding 2013-1, Ltd. 5.16 800 158.41 22.92 1.18 2857 Y
Atlas Senior Loan Fund III, Ltd. 4.89 1014 160.63 27.42 1.12 2762 N
Telos CLO 2013-4, Ltd. 4.58 971 119.66 24.34 1.10 2916 Y
Golub Capital Partners CLO 16 (M) -R Ltd. 3.30 902 70.80 8.12 1.00 4266 Y
Ares XXVII CLO LTD 4.97 785 230.66 22.71 1.21 2824 Y
ALM VII(R)-2, Ltd. 4.89 817 159.36 22.89 1.27 2838 Y
HPS Loan Management 2013-2 Ltd. 4.87 949 165.79 26.85 1.07 2730 Y
Venture XIV CLO Limited 4.84 1014 353.72 30.02 1.13 2678 Y
OHA Loan Funding 2013-2, Ltd. 5.11 869 145.55 23.28 1.17 2822 Y
WhiteHorse VII, Ltd. 1.06 530 4.18 4.18 1.00 4844 N
Ocean Trails CLO IV 3.10 1145 71.15 20.67 1.17 3231 N
Emerson Park CLO, Ltd. 2.91 1006 42.20 9.57 1.04 3237 N
Octagon Investment Partners XVII, Ltd. 5.34 909 217.82 24.37 1.20 2670 Y
NewStar Commerical Loan Funding 2017-1 LLC 3.41 476 66.99 22.78 1.00 3712 N
Palmer Square CLO 2018-3, Ltd. 4.98 851 213.87 20.12 1.12 2631 Y
Madison Park Funding XI, Ltd 4.83 853 210.88 22.46 1.29 2946 Y
Neuberger Berman CLO XV Ltd 4.95 765 180.32 23.62 1.30 2655 Y
Hayfin Kingsland IX, Ltd. 5.38 839 153.26 21.73 1.17 2775 Y
Dryden 30 Senior Loan Fund 4.95 947 294.85 28.23 1.15 2714 Y
West CLO 2013-1 Ltd. 2013-1 2.96 1040 29.23 13.73 1.16 3422 N
OCP CLO 2013-4, Ltd. 4.92 818 223.61 26.80 1.26 2681 Y
Eaton Vance CLO 2013-1 LTD 4.80 895 219.68 26.64 1.18 2728 Y
Apidos CLO XV 4.85 830 217.87 29.76 1.24 2712 Y
BlueMountain CLO 2018-1 Ltd. 5.06 838 207.50 25.83 1.16 2954 Y
LCM 27 Ltd. 4.64 823 237.96 26.79 1.13 2868 Y
Woodmont 2018-5 Trust 3.73 717 62.93 17.28 1.00 4050 Y
Galaxy XXVIII CLO, Ltd. 5.01 815 190.16 24.93 1.29 2761 Y
Palmer Square CLO 2018-2, Ltd. 5.14 842 233.69 20.49 1.12 2557 Y
Voya CLO 2014-4, Ltd. 2014-4 4.90 872 308.03 22.75 1.17 2803 Y
Fortress Credit BSL VI Limited 4.71 767 109.05 19.89 1.10 3087 Y
Atrium XIV 4.95 821 220.75 21.91 1.27 2912 Y
MidOcean Credit CLO IX 5.50 837 166.14 24.50 1.10 2785 Y
Venture 33 CLO, Limited 5.27 916 375.31 29.52 1.17 2725 Y
Ares XXVIIIR CLO Ltd 4.81 763 215.13 21.74 1.20 2869 Y
Apidos CLO XXX 4.95 817 228.38 27.98 1.23 2682 Y
Golub Capital Partners CLO 37(B), Ltd. 4.91 863 170.09 18.04 1.07 2960 Y
Myers Park CLO, Ltd. 5.18 783 201.53 21.73 1.11 2788 Y
VCO CLO 2018-1, LLC 4.89 249 45.71 2.02 1.16 3625 Y
THL Credit Wind River 2018-2 CLO Ltd. 5.10 770 205.47 21.23 1.21 2792 Y
Carlyle US CLO 2018-2 Ltd 4.99 863 226.12 29.66 1.17 2742 Y
GoldenTree Loan Opportunities X, Limited 4.92 795 140.47 23.83 1.26 2686 Y
BlueMountain CLO 2018-2 Ltd. 5.08 795 218.01 25.42 1.16 2868 Y
Carlyle Direct Lending CLO 2015-1R LLC 3.89 502 45.89 12.84 1.02 3711 Y
Antares CLO 2018-2, Ltd. 4.07 170 135.31 21.69 1.00 3602 Y
Diamond CLO 2018-1 Ltd. 3.64 421 57.66 23.56 1.05 3580 N
OHA Credit Funding 1, Ltd. 5.29 825 157.45 23.42 1.19 2797 Y
Dryden 65 CLO, Ltd. 5.09 888 307.83 27.11 1.16 2634 Y
HPS Loan Management 13-2018, Ltd. 5.17 854 170.20 26.56 1.11 2698 Y
Greywolf CLO VII, Ltd. 5.27 779 134.44 28.23 1.26 2777 Y
Marathon CLO XII Ltd. 5.00 817 177.42 24.09 1.23 2855 Y
Anchorage Capital CLO 2018-10, Ltd. 5.26 699 133.82 27.77 1.23 3096 Y
WhiteHorse XII Ltd. 4.98 891 154.11 26.25 1.14 2637 Y
Neuberger Berman Loan Advisers CLO 29, Ltd. 5.03 741 167.35 23.98 1.29 2729 Y
Buttermilk Park CLO, Ltd. 4.76 806 210.69 23.07 1.18 2845 Y
RR 5 LTD 5.00 736 134.55 20.91 1.30 2884 Y
Carlyle Global Market Strategies CLO 2014-5, Ltd. 4.62 931 220.92 26.89 1.20 2778 Y
Cathedral Lake V, Ltd. 4.86 771 110.07 18.06 1.23 2893 Y
BCC Middle Market CLO 2018-1, LLC 4.92 363 44.48 15.16 1.07 3718 Y
Apidos CLO XVIII-R 4.77 869 208.53 28.28 1.21 2702 Y
Catamaran CLO 2018-1 Ltd. 5.15 913 170.78 24.49 1.17 2710 Y
Voya CLO 2018-3, Ltd. 5.11 871 315.83 21.26 1.15 2673 Y
Madison Park Funding XXIX, Ltd. 5.07 773 232.77 21.83 1.27 2921 Y
CIFC Funding 2014-V, Ltd. 4.88 878 241.90 23.64 1.19 2816 Y
BlueMountain CLO 2018-3 Ltd. 5.02 821 226.46 25.76 1.15 2976 Y
GoldenTree Loan Opportunities IX, Limited 4.85 778 130.05 22.77 1.26 2800 Y
LCM 28 Ltd. 4.58 818 225.49 24.43 1.12 2884 Y
Park Avenue Institutional Advisers CLO Ltd 2018-1 5.05 703 134.42 22.92 1.09 2707 Y
Golub Capital Partners CLO 39(B), Ltd. 4.92 859 164.36 17.88 1.06 2965 Y
Oaktree CLO 2018-1 Ltd. 5.26 868 215.34 25.92 1.14 2706 Y
TIAA Churchill Middle Market CLO I Ltd. 4.12 640 60.29 16.94 1.00 3822 Y
Greywolf CLO III, Ltd. (Re-issue) III 5.39 723 136.03 29.16 1.24 2855 Y
THL Credit Wind River 2018-3 CLO Ltd. 5.12 774 185.14 22.58 1.18 2730 Y
Tralee CLO V, Ltd. 4.82 863 190.92 24.12 1.09 2840 Y
Columbia Cent CLO 27 Limited 4.69 926 223.98 22.80 1.19 2712 Y
BlueMountain CLO XXIII Ltd. 5.36 792 200.85 26.84 1.15 2815 Y
CIFC Funding 2014-IV-R, Ltd. 2014-IV-R 4.83 907 240.33 23.19 1.18 2732 Y
Madison Park Funding XXXI, Ltd. 5.02 767 232.74 21.53 1.26 2939 Y
Columbia Cent CLO 28 Limited 4.72 962 233.62 23.40 1.18 2736 Y
OHA Credit Partners XI, Ltd. 5.14 821 161.24 23.99 1.18 2831 Y
Atrium XV 4.91 791 235.87 21.53 1.28 2896 Y
Harbor Park CLO, Ltd. 5.18 795 224.35 19.32 1.14 2778 Y
Halcyon Loan Advisors Funding 2018-2 Ltd. 5.16 874 195.94 27.39 1.30 2632 Y
Voya CLO 2015-3, Ltd. 4.98 901 328.10 23.34 1.16 2704 Y
Golub Capital BDC CLO III LLC 3.19 851 59.29 6.68 1.00 4104 Y
OHA Credit Partners X-R, Ltd. 5.08 838 154.35 25.60 1.20 2850 Y
Guggenheim MM CLO 2018-1 Ltd 2018-1 4.26 677 56.35 13.61 1.12 3713 Y
Barings Middle Market CLO Ltd. 2018-I 4.35 482 54.92 24.75 1.03 3655 Y
GCIC CLO II LLC 3.08 724 77.65 7.69 1.00 4015 Y
Crown Point CLO 6 Ltd. 4.77 978 154.58 29.36 1.16 2835 Y
Antares CLO 2018-3 Ltd. 4.03 273 131.51 20.51 1.00 3650 Y
Golub Capital Partners CLO 33 (M), Ltd. 3.86 699 64.10 8.52 1.00 3961 Y
Peaks CLO 3, Ltd. 4.86 773 126.73 20.04 1.03 3225 Y
Neuberger Berman Loan Advisers CLO 30, Ltd. 5.07 713 167.78 25.68 1.27 2684 Y
Dryden 70 CLO, Ltd. 5.07 891 302.57 27.30 1.17 2653 Y
Voya CLO 2018-4, Ltd. 5.13 905 288.59 22.06 1.12 2617 Y
Madison Park Funding XXXII, Ltd. 5.01 779 215.89 19.40 1.30 2922 Y
TIAA CLO IV Ltd. 5.18 865 153.88 27.38 1.14 2605 Y
Deerpath Capital CLO 2018-1 Ltd. 3.66 444 44.13 11.02 1.00 3805 Y
Symphony CLO XV, Ltd. 4.91 899 183.84 21.49 1.13 2735 Y
Ares LI CLO Ltd. 5.22 658 206.24 19.74 1.23 2851 Y
GoldenTree Loan Management US CLO 4, Ltd. 5.07 761 129.00 23.00 1.27 2755 Y
AIG CLO 2018-1, Ltd. 5.05 688 201.83 22.80 1.19 2805 Y
Neuberger Berman Loan Advisers CLO 32, Ltd. 5.10 766 179.32 26.23 1.25 2603 Y
Buckhorn Park CLO, Ltd. 5.21 740 177.65 19.74 1.13 2746 Y
BlueMountain CLO XXIV Ltd. 5.44 744 191.80 24.96 1.13 2794 Y
Barings CLO Ltd. 2019-I 5.12 733 183.91 22.66 1.16 2774 Y
ABPCI Direct Lending Fund CLO V Ltd. 4.07 425 53.60 7.01 1.00 3827 Y
Octagon Investment Partners 40, Ltd. 5.44 848 171.50 24.84 1.20 2698 Y
Dryden 75 CLO, Ltd. 5.11 882 262.44 29.08 1.15 2637 Y
Voya CLO 2019-1, Ltd. 5.08 873 320.81 23.53 1.15 2688 Y
TCW CLO 2019-1 AMR, LTD. 5.11 780 202.24 24.56 1.15 2803 Y
OHA Credit Funding 2, Ltd. 5.23 816 159.86 21.90 1.17 2844 Y
Ares LII CLO Ltd. 5.18 703 209.16 20.70 1.25 2844 Y
Anchorage Capital CLO 13, Ltd. 5.28 688 132.05 25.57 1.22 3031 Y
OCP CLO 2019-16, Ltd. 5.22 752 210.19 26.10 1.30 2577 Y
THL Credit Wind River 2019-1 CLO Ltd. 5.26 740 178.80 20.39 1.18 2709 Y
ALM XIX, Ltd. 4.88 791 108.84 20.15 1.27 2915 Y
AIG CLO 2019-1, Ltd. 5.08 651 188.19 22.90 1.19 2815 Y
Barings CLO Ltd. 2019-II 5.05 821 181.19 23.95 1.18 2732 Y
Atlas Senior Loan Fund XIII, Ltd. 5.19 938 180.59 27.73 1.14 2747 Y
Ares XXXIX CLO Ltd. 5.01 773 224.39 20.22 1.20 2885 Y
Oaktree CLO 2019-1 Ltd. 5.07 908 214.75 28.33 1.15 2695 Y
Madison Park Funding XXXIV, Ltd. 4.76 781 190.54 21.98 1.25 2949 Y
LCM 30 Ltd. 4.77 719 212.72 25.75 1.13 2854 Y
THL Credit Wind River 2019-3 CLO Ltd. 5.06 797 166.20 22.25 1.16 2819 Y
Bain Capital Credit CLO 2019-1 Ltd 2019-1 5.31 790 282.26 27.07 1.23 2776 Y
Ares LIII CLO Ltd. 5.18 710 205.99 18.05 1.17 2832 Y
Maranon Loan Funding 2019-1, Ltd. 3.89 517 58.63 14.76 1.02 3781 Y
Greywolf CLO IV, Ltd. IV 5.34 757 137.05 28.83 1.23 2896 Y
Mariner CLO 7, Ltd. 5.06 786 176.00 18.37 1.10 2781 Y
Golub Capital Partners CLO 42(M), Ltd. 3.93 825 65.77 9.73 1.00 4144 Y
Apidos CLO XXXI 5.08 795 225.08 26.96 1.22 2707 Y
Magnetite XXII, Limited 5.40 817 207.41 26.49 1.15 2614 Y
Barings CLO Ltd. 2019-III 5.04 740 156.20 24.42 1.16 2799 Y
Oaktree CLO 2019-2 Ltd. 5.12 868 222.37 27.50 1.14 2717 Y
Neuberger Berman Loan Advisers CLO 31, Ltd. 5.12 732 183.27 25.45 1.25 2634 Y
Antares CLO 2019-1, Ltd. 3.97 227 128.96 18.87 1.00 3616 Y
Madison Park Funding XXXV, Ltd. 5.16 731 225.56 20.07 1.22 2864 Y
Ivy Hill Middle Market Credit Fund XV, Ltd. 4.38 705 41.42 12.97 1.00 3771 Y
Cedar Funding XI CLO, Ltd. 4.92 830 177.01 28.80 1.10 2782 Y
LCM 29 Ltd. 4.83 753 203.87 25.30 1.11 2843 Y
MMCF CLO 2019-2, LLC 4.77 380 32.18 14.99 1.00 3297 N
Ocean Trails CLO VII 4.95 833 164.08 29.43 1.20 2782 Y
Park Avenue Institutional Advisers CLO Ltd 2019-1 5.10 688 130.22 23.01 1.09 2704 Y
Great Lakes CLO 2019-1, Ltd. 4.12 187 68.68 18.48 1.00 3620 Y
OWL ROCK CLO I, Ltd. 4.61 375 43.87 16.21 1.03 3611 Y
HPS Loan Management 14-2019, Ltd. 5.32 814 159.81 26.23 1.12 2702 Y
FS KKR MM CLO 1 LLC 3.95 1015 43.20 19.60 1.10 4216 Y
OHA Credit Funding 3, Ltd. 5.34 816 149.61 21.62 1.15 2792 Y
Trimaran CAVU 2019-1 Ltd. 5.35 771 198.08 27.39 1.12 2606 Y
MCF CLO IX Ltd. 3.54 452 106.33 15.91 1.01 3774 Y
Audax Senior Debt CLO I, LLC 4.60 464 108.40 17.39 1.01 3352 Y
Benefit Street Partners CLO XVII, Ltd. 5.15 779 280.47 26.65 1.14 2666 Y
Niagara Park CLO, Ltd. 5.29 740 188.30 20.95 1.11 2753 Y
AIMCO CLO 10, Ltd. 5.25 825 202.99 25.33 1.17 2602 Y
BlueMountain CLO XXV Ltd. 5.53 764 204.03 25.83 1.10 2743 Y
RR 6 Ltd 5.06 734 140.87 21.92 1.25 2829 Y
Madison Park Funding XXXVII, Ltd. 5.27 754 202.39 19.19 1.22 2908 Y
Golub Capital Partners CLO 44(M), Ltd. 3.82 874 76.55 8.97 1.00 4095 Y
SYMPHONY CLO XXI, LLC 5.38 733 153.33 18.27 1.16 2661 Y
Woodmont 2019-6 LP 3.72 573 52.28 15.47 1.00 3867 Y
Black Diamond CLO 2019-2, Ltd. 5.12 774 149.26 21.70 1.16 2864 Y
Carlyle US CLO 2019-2, Ltd. 5.14 775 215.16 29.01 1.15 2736 Y
Fortress Credit BSL VII Limited 4.96 718 99.21 20.92 1.16 3108 Y
Battery Park CLO Ltd 5.43 848 245.36 24.05 1.21 2582 Y
OCP CLO 2019-17 Ltd. 5.33 735 203.69 24.46 1.29 2579 Y
Octagon Investment Partners 44, Ltd. 5.50 777 186.68 23.98 1.21 2720 Y
Dryden 68 CLO, Ltd. 5.14 837 275.42 26.94 1.14 2673 Y
Anchorage Capital CLO 9, Ltd. 5.25 755 131.75 26.37 1.27 3032 Y
Whitebox CLO I Ltd. 5.65 809 156.98 25.29 1.11 2581 Y
Oaktree CLO 2019-3, Ltd. 5.15 874 213.63 27.53 1.12 2668 Y
Southwick Park CLO, Ltd. 5.38 793 184.85 19.63 1.18 2758 Y
Steele Creek CLO 2019-2 Ltd. 5.42 957 184.28 26.28 1.14 2588 Y
BCC Middle Market CLO 2019-1 LLC 5.18 386 49.52 15.19 1.06 3710 Y
ABPCI Direct Lending Fund CLO VI Ltd. 4.34 329 54.90 7.59 1.00 3738 Y
Voya CLO 2019-2, Ltd. 5.31 846 272.52 21.34 1.14 2594 Y
Bain Capital Credit CLO 2019-2, Limited 5.33 777 271.07 26.48 1.18 2800 Y
GoldenTree Loan Management US CLO 5, Ltd. 5.28 745 114.30 25.76 1.22 2668 Y
Anchorage Capital CLO 11, Ltd. 5.31 706 119.30 24.47 1.24 2996 Y
ORCC Financing IV LLC 4.18 790 20.07 14.85 1.00 3931 Y
Ivy Hill Middle Market Credit Fund VII, Ltd. VII 4.16 504 111.73 20.37 1.02 3600 Y
Cent CLO 19 Limited 3.37 1014 96.78 18.76 1.22 2817 N
OHA Credit Partners IX, Ltd. 3.30 890 44.84 14.60 1.21 2795 N
Golub Capital Partners CLO 17(M)-R, Ltd. 17 3.47 904 74.77 10.14 1.00 4184 Y
Carlyle Global Market Strategies CLO 2013-4, Ltd. 4.93 936 202.89 31.76 1.17 2756 Y
THL Credit Wind River 2013-2 CLO Ltd. 4.92 840 180.12 19.40 1.18 2888 Y
Avery Point III CLO, Limited 2013-3 3.31 825 52.34 17.24 1.16 3001 N
Bain Capital Credit CLO 2017-2, Limited 5.22 824 265.81 26.37 1.18 2779 Y
Figueroa CLO 2013-2, Ltd. 3.95 0 1.00 1.00 1.00 4641 N
APIDOS CLO XVI 2.57 408 4.35 4.35 1.00 4385 N
AMMC CLO XIII, Limited 4.59 1041 265.31 33.07 1.17 2638 Y
Voya CLO 2013-3, Ltd 2013-3 4.87 896 289.19 22.06 1.15 2756 Y
HPS Loan Management 3-2014 Ltd. 3-2014 4.91 962 164.12 25.65 1.11 2708 Y
Allegro CLO I, Ltd. 2.98 892 46.32 10.61 1.13 3365 N
Blue Ridge CLO Ltd. I 1 3.20 979 55.21 16.20 1.25 2889 N
RR 1 Ltd 4.78 805 147.17 22.73 1.29 2853 Y
MidOcean Credit CLO II 4.99 954 157.67 24.76 1.16 2747 Y
Black Diamond CLO 2013-1, Ltd. 2.91 1096 54.71 19.91 1.31 3168 N
Cathedral Lake CLO 2013 Ltd 4.79 848 124.59 20.60 1.16 2859 Y
Oaktree CLO 2014-1 Ltd. 2014-1 4.99 915 180.23 26.44 1.12 2757 Y
ACIS CLO 2014-3, Ltd. 2.96 1041 49.76 15.92 1.05 3207 N
JFIN CLO 2014 Ltd. 3.25 1159 111.56 20.99 1.11 3413 N
CIFC Funding 2014, Ltd. 4.98 852 241.48 25.19 1.21 2773 Y
OFSI Fund VI, Ltd. 2.60 1135 34.72 14.57 1.00 3305 N
Golub Capital Partners CLO 18(M)-R, Ltd. 3.46 866 76.14 10.85 1.00 4150 N
Mountain Hawk III CLO, Ltd. III 3.69 915 81.76 16.15 1.11 3192 N
BNPP IP CLO 2014-1, Ltd. 2.65 1181 48.34 16.47 1.03 3693 N
Zais CLO 1, Limited 4.45 973 160.13 25.05 1.13 2886 Y
Carlyle Global Market Strategies CLO 2014-1, Ltd. 4.85 894 234.08 28.92 1.19 2750 Y
Staniford Street CLO, Ltd. 2.81 1223 44.29 14.93 1.07 3575 N
Canyon Capital CLO 2014-1 Ltd. 5.16 891 146.83 23.64 1.30 2667 Y
Great Lakes CLO 2014-1, Ltd. 3.21 501 81.60 17.26 1.00 3761 Y
CFIP CLO 2014-1, Ltd. 2014-1 4.60 897 128.73 19.67 1.15 2835 Y
Halcyon Loan Advisors Funding 2014-2 Ltd. 3.14 1307 42.85 17.29 1.15 2969 N
Marathon CLO VI Ltd. 4.72 944 162.18 25.27 1.26 3030 N
Trinitas CLO I, Ltd. 2.00 268 1.70 1.70 1.00 5105 N
Telos CLO 2014-5, Ltd. 4.57 924 119.38 23.20 1.15 2787 Y
Avery Point IV CLO, Limited 3.67 825 84.37 19.52 1.17 2941 N
B&M CLO 2014-1, Ltd. 2.72 900 62.22 22.27 1.14 3105 N
Palmer Square CLO 2014-1, Ltd. 4.99 854 221.20 20.79 1.12 2631 Y
Dryden 33 Senior Loan Fund 4.95 943 311.59 27.66 1.15 2705 Y
Golub Capital BDC CLO 2014 LLC 2.67 802 35.32 9.04 1.00 3987 N
Atlas Senior Loan Fund V, Ltd. 5.11 1026 173.28 28.74 1.14 2731 Y
ACIS CLO 2014-4 Ltd 3.19 894 55.48 17.34 1.09 3142 N
Benefit Street Partners CLO IV, Ltd. 4.89 862 292.81 28.01 1.17 2720 Y
BlueMountain CLO 2014-2 Ltd. 2014-2 5.04 826 223.95 27.85 1.21 2837 Y
LCM XVI Limited Partnership 4.65 897 278.92 25.83 1.14 2721 Y
CIFC Funding 2014-III, Ltd. 4.80 877 232.49 22.65 1.23 2779 Y
Peaks CLO 1, Ltd. 4.47 815 121.59 21.70 1.03 3378 Y
OCP CLO 2014-6, Ltd. 2014-6 4.99 836 227.28 28.19 1.28 2692 Y
Neuberger Berman CLO XVII, Ltd. 4.91 790 182.83 24.30 1.30 2656 Y
Cent CLO 21 Limited 4.71 963 227.32 23.15 1.18 2723 Y
Trinitas CLO II, Ltd. 3.44 1172 59.97 15.24 1.19 2880 N
MidOcean Credit CLO III 5.04 888 163.75 21.43 1.20 2878 Y
HPS Loan Management 4-2014, Ltd. 4.92 930 170.47 28.88 1.12 2715 Y
Blue Ridge CLO Ltd. II 3.45 998 70.14 15.69 1.14 2718 N
OFSI Fund VII, Ltd. 3.34 967 74.16 18.07 1.11 3046 N
Monroe Capital CLO 2014-1, Ltd. 3.44 702 61.05 21.51 1.05 3845 N
Black Diamond CLO 2014-1, Ltd. 2014-1 3.15 1035 68.58 19.22 1.31 3118 N
Catamaran CLO 2014-2 Ltd. 3.58 1081 96.97 22.40 1.32 2973 N
Elevation CLO 2014-3, Ltd. 1.93 555 2.00 2.00 1.00 5209 N
LCM XVII Limited Partnership 4.59 872 240.51 25.81 1.13 2831 Y
Mountain View CLO 2014-1 Ltd. 3.47 1054 73.15 18.95 1.37 2481 N
Halcyon Loan Advisors Funding 2014-3 Ltd. 3.39 1164 70.60 19.09 1.14 3071 N
ACIS CLO 2014-5 Ltd. 3.31 945 64.63 17.67 1.09 3046 N
Ivy Hill Middle Market Credit Fund IX, Ltd. 4.12 524 106.49 18.10 1.03 3648 Y
BNPP IP CLO 2014-II, Ltd. 3.07 1191 70.65 23.61 1.07 3522 N
Flagship CLO VIII Ltd 3.63 1006 103.44 26.70 1.18 2928 N
OCP CLO 2014-7, Ltd. 4.88 853 211.04 27.67 1.28 2729 Y
MCF CLO IV LLC 3.52 566 102.35 17.10 1.00 3850 Y
Hull Street CLO Ltd 3.10 1181 68.47 19.58 1.16 3276 N
Marathon CLO VII Ltd. 3.43 1056 71.02 19.19 1.24 3188 N
Telos CLO 2014-6, Ltd. 3.92 911 79.09 17.92 1.12 3065 N
Dryden 36 Senior Loan Fund 4.99 942 300.18 28.31 1.15 2684 Y
Octagon Investment Partners XXII, Ltd. 5.26 907 203.30 23.88 1.21 2683 Y
Ocean Trails CLO V 4.49 941 196.80 29.09 1.19 2826 Y
Golub Capital Partners CLO 21(M)-R, Ltd. 3.57 882 79.59 8.68 1.00 4158 Y
Figueroa CLO 2014-1, Ltd. 3.84 885 97.20 19.26 1.19 3260 N
Neuberger Berman CLO XVIII Ltd. 4.91 772 176.20 24.49 1.30 2678 Y
KKR CLO 10 Ltd. 4.88 976 173.33 26.71 1.16 2851 Y
Bowman Park CLO Ltd. 3.71 948 116.07 16.75 1.13 3070 N
HPS Loan Management 5-2015, Ltd. 4.74 944 152.62 25.94 1.16 2754 Y
Madison Park Funding XV, Ltd. 3.86 871 127.33 22.20 1.28 3007 N
Elm CLO 2014-1 Ltd. 4.75 885 213.34 20.35 1.16 2731 Y
THL Credit Wind River 2014-3 CLO Ltd. 4.85 867 141.73 22.28 1.20 2925 Y
Galaxy XIX CLO Ltd 5.00 814 191.62 24.20 1.28 2719 Y
NewStar Exeter Fund CLO LLC 3.52 563 56.17 21.85 1.00 3819 N
MidOcean Credit CLO IV 3.24 988 60.25 20.61 1.09 2827 N
BlueMountain CLO 2015-1 Ltd. 3.81 894 106.86 19.18 1.20 2985 N
LCM XVIII Limited Partnership 4.61 903 263.03 26.29 1.13 2755 Y
Madison Park Funding XVI, Ltd. 3.88 797 123.19 20.84 1.33 2876 N
Benefit Street Partners CLO VI Ltd. 4.89 853 300.73 25.88 1.15 2771 Y
ACIS CLO 2015-6 Ltd. 3.53 959 76.03 19.47 1.08 2982 N
Mariner CLO 2015-1 LLC 4.76 843 217.48 20.06 1.15 2813 Y
Venture XX CLO, Limited 4.47 981 368.57 27.56 1.15 2788 N
Fortress Credit Opportunities VI CLO Limited 4.02 999 49.14 11.96 1.03 3918 Y
GREYWOLF CLO V LTD 5.35 787 139.16 28.89 1.22 2891 Y
JFIN CLO 2015 Ltd. 2015 4.01 1016 148.58 21.14 1.11 2910 N
Elevation CLO 2015-4, Ltd. 2015-4 3.66 940 113.87 13.90 1.06 2926 N
Golub Capital Partners CLO 24 (M)-R Ltd. 24(M) 3.54 902 72.12 10.65 1.00 4048 Y
Catamaran CLO 2015-1 Ltd 3.86 1048 127.05 23.12 1.24 2954 N
OCP CLO 2015-8, Ltd. 3.62 824 112.25 24.61 1.27 2809 N
Palmer Square CLO 2015-1 Ltd 5.01 888 230.54 20.92 1.11 2597 Y
Stewart Park CLO Ltd. , 4.99 860 252.01 22.94 1.19 2775 Y
NXT Capital CLO 2015-1 LLC 3.17 463 55.65 14.95 1.00 3783 N
Allegro CLO III, Ltd. 3.94 769 127.45 21.40 1.24 3131 N
BlueMountain CLO 2015-2 Ltd. 5.11 863 227.50 25.84 1.18 2929 Y
Venture XXI CLO, Limited 4.50 997 396.70 27.81 1.16 2713 N
Z Capital Credit Partners CLO 2015-1 Ltd. 3.77 1099 84.53 23.75 1.16 3074 N
OCP CLO 2015-9 Ltd 3.71 846 114.72 26.03 1.28 2735 N
Cathedral Lake II, Ltd. 4.83 818 124.40 21.17 1.18 2870 Y
LCM XIX Limited Partnership 4.65 901 263.30 26.73 1.14 2759 Y
Benefit Street Partners CLO VII, Ltd. 3.90 835 192.89 23.85 1.14 2827 N
Ivy Hill Middle Market Credit Fund X Ltd 4.17 511 113.20 18.74 1.02 3650 Y
Cumberland Park CLO, Ltd. 4.65 792 223.66 22.41 1.18 2877 Y
ARES XXXIV CLO Ltd. 4.41 813 179.62 20.52 1.21 2880 N
Golub Capital Partners CLO 25(M)-R, Ltd. 3.58 894 75.58 9.16 1.00 4160 Y
Mountain View CLO X, Ltd. 3.93 978 104.65 24.75 1.30 2363 N
Cent CLO 24 Limited 4.35 920 211.96 22.44 1.20 2752 Y
Oaktree CLO 2015-1 Ltd 4.68 937 183.04 28.70 1.09 2760 N
Madison Park Funding XVIII, Ltd. 4.90 784 232.28 22.78 1.27 2873 Y
Anchorage Capital CLO 7, Ltd 4.53 683 102.16 21.86 1.21 3152 N
Shackleton 2015-VIII CLO, Ltd. 4.76 805 181.93 24.88 1.22 2830 N
BlueMountain CLO 2015-3 Ltd 5.12 844 214.78 24.94 1.15 2888 Y
Apex Credit CLO 2015-II Ltd. 2015-ll 4.50 1009 201.50 25.46 1.19 3023 N
Octagon Investment Partners 25 LTD 3.88 874 130.57 22.93 1.14 2781 Y
OCP CLO 2015-10, Ltd. 2015-10 3.85 894 127.45 27.41 1.25 2670 N
Fortress Credit BSL III Limited 4.86 728 114.33 21.72 1.11 3009 Y
Atrium XII 4.75 819 217.01 22.43 1.29 2875 N
Eaton Vance CLO 2015-1, Ltd. 4.88 904 222.25 26.83 1.18 2729 Y
LCM XX Limited Partnership 4.59 876 244.37 26.22 1.14 2834 Y
HPS Loan Management 7-2015, Ltd. 4.84 931 170.16 24.76 1.08 2713 Y
Cathedral Lake III, Ltd. 4.76 874 124.59 18.99 1.18 2956 Y
Benefit Street Partners CLO VIII Ltd 4.90 848 300.27 26.87 1.17 2738 Y
Ares XXXVIII CLO Ltd. 5.00 759 233.26 21.17 1.20 2862 Y
Apidos CLO XXIII 4.53 876 192.93 25.82 1.22 2669 Y
OHA Credit Partners XII, Ltd. 5.12 809 161.93 25.58 1.17 2827 Y
BlueMountain CLO 2015-4 Ltd. 5.12 838 223.64 25.09 1.18 2860 Y
Webster Park CLO, Ltd. 4.92 840 238.32 23.10 1.19 2821 Y
Barings CLO Ltd. 2016-I 4.95 874 167.04 25.52 1.17 2704 Y
Voya CLO 2016-1Ltd 4.95 940 317.41 24.27 1.17 2691 Y
Neuberger Berman CLO XXI, Ltd 4.88 809 174.31 24.66 1.31 2623 Y
Madison Park Funding XX Ltd 4.90 758 214.59 22.67 1.25 2856 Y
HPS Loan Management 8-2016, Ltd. 4.96 903 179.34 26.03 1.13 2714 Y
Carlyle Global Market Strategies CLO 2016-1, Ltd. 4.77 895 204.55 30.58 1.18 2813 Y
Octagon Investment Partners 26, Ltd. 5.26 882 208.68 22.87 1.22 2707 Y
LCM XXI Limited Partnership 4.40 863 201.39 25.08 1.14 2911 Y
BlueMountain CLO 2016-1 Ltd 4.97 894 201.31 23.32 1.19 2994 Y
OCP CLO 2016-11, Ltd. 4.97 834 217.45 27.06 1.25 2723 Y
Fortress Credit Opportunities VII CLO Limited 4.05 1007 52.29 11.15 1.05 4060 Y
ABPCI Direct Lending Fund CLO I Ltd. 3.74 408 57.69 7.74 1.00 3799 Y
CIFC Funding 2017-I, Ltd. 4.96 891 231.76 24.12 1.20 2785 Y
Ares XLII CLO, Ltd. 4.97 764 216.42 20.51 1.20 2945 Y
Woodmont 2017-1 Trust 3.77 721 65.47 19.02 1.00 3905 Y
Golub Capital Partners CLO 34(M)-R, Ltd. 3.97 754 64.04 7.90 1.00 4090 Y
Marathon CLO IX Ltd. 4.90 847 199.41 26.34 1.23 2923 Y
MCF CLO V LLC 3.40 487 97.52 15.16 1.01 3785 Y
Galaxy XXIII CLO, Ltd. 5.06 839 213.37 26.28 1.23 2667 Y
Dryden 47 Senior Loan Fund 47 4.99 920 309.93 28.31 1.16 2698 Y
AMMC CLO 20, Limited 20 4.62 896 297.76 27.68 1.13 2733 Y
Goldentree Loan Management US CLO 1, Ltd. 4.89 813 130.36 22.46 1.27 2725 Y
TIAA CLO II Ltd. 4.88 892 158.50 28.77 1.15 2770 Y
NXT Capital CLO 2017-1, LLC 3.64 603 77.81 17.33 1.00 3881 Y
Madison Park Funding XXV, Ltd. 4.97 817 211.51 24.27 1.29 2830 Y
Thayer Park CLO, Ltd 4.91 828 221.65 21.95 1.20 2811 Y
Antares CLO 2017-1, Ltd. 3.73 264 163.23 23.27 1.00 3641 Y
Catskill Park CLO, Ltd. 4.88 855 246.97 20.00 1.19 2802 Y
Black Diamond CLO 2017-1, Ltd. 2017-1 4.91 830 164.87 23.05 1.17 2917 Y
Apidos CLO XXVI XXVI 4.80 866 215.49 28.53 1.19 2650 Y
Ivy Hill Middle Market Credit Fund XII, Ltd. 4.13 575 118.10 17.34 1.02 3702 Y
Voya CLO 2017-2, Ltd 5.00 894 332.96 22.56 1.17 2652 Y
Woodmont 2017-2 Trust 3.65 736 94.97 18.40 1.00 3989 Y
BlueMountain Fuji US CLO I, Ltd. 5.13 827 206.64 26.19 1.18 2879 Y
TICP CLO VII, LTD. VII 5.03 884 232.18 20.17 1.19 2717 Y
Dryden 42 Senior Loan Fund 42 4.98 935 294.71 27.25 1.15 2711 Y
Golub Capital Partners CLO 31(M)-R, Ltd. 3.92 846 83.33 9.90 1.00 4138 Y
Carlyle Global Market Strategies CLO 2016-2, Ltd. 4.81 868 210.82 31.27 1.20 2776 Y
HPS Loan Management 9-2016, Ltd. 4.99 967 179.58 28.29 1.14 2641 Y
Black Diamond CLO 2016-1, Ltd 4.85 852 180.07 22.02 1.16 2885 Y
Trinitas CLO IV, Ltd. 4.91 810 187.73 17.94 1.08 2880 Y
Cedar Funding V CLO Ltd 4.68 912 216.48 28.24 1.10 2841 Y
Newfleet CLO 2016-1 Ltd. 4.65 895 148.83 29.04 1.15 2685 Y
Octagon Investment Partners 27, Ltd. 5.25 884 198.95 23.24 1.23 2706 Y
TIAA CLO I Ltd. 4.94 918 156.76 29.15 1.12 2687 Y
ALM XVIII, Ltd. 4.93 768 104.08 19.82 1.26 2916 Y
Galaxy XXII CLO, LTD 5.10 866 213.68 27.40 1.22 2654 Y
Benefit Street Partners CLO IX, Ltd. 4.89 819 284.71 26.94 1.18 2743 Y
GoldenTree Loan Opportunities XII, Limited 4.95 791 127.83 21.70 1.24 2694 Y
Apidos CLO XXIV 4.82 867 219.29 27.86 1.23 2670 Y
Park Avenue Institutional Advisers CLO Ltd. 2016-1 4.92 686 136.52 23.97 1.07 2725 Y
BlueMountain CLO 2016-2 Ltd 5.07 862 222.50 25.23 1.14 2916 Y
Mariner CLO 2016-3 Ltd 4.79 829 223.69 20.46 1.14 2773 Y
Trinitas CLO V, Ltd. 4.88 792 189.34 17.58 1.08 2866 Y
Neuberger Berman CLO XXll Ltd XXII 4.89 758 175.55 24.25 1.30 2685 Y
Jay Park CLO, Ltd. 4.84 798 226.71 22.31 1.20 2838 Y
Octagon Investment Partners 28 Ltd 5.11 916 215.62 22.16 1.21 2644 Y
LCM XXII Ltd. 4.57 859 220.95 25.11 1.13 2851 Y
OCP CLO 2016-12, Ltd. 4.97 790 220.42 27.43 1.26 2676 Y
Voya CLO 2016-3, Ltd. 4.93 906 328.25 22.40 1.17 2707 Y
Garrison Funding 2018-2 Ltd. 4.52 495 63.86 18.57 1.02 3534 Y
Cathedral Lake IV, Ltd. 4.76 840 122.46 20.08 1.18 2903 Y
BlueMountain CLO 2016-3 Ltd. 5.12 868 212.75 26.15 1.15 2855 Y
AMMC CLO 19, Limited 4.49 951 319.38 29.14 1.14 2779 Y
Shackleton 2016-IX CLO, Ltd. 4.89 839 196.89 25.94 1.21 2782 Y
Cedar Funding VI CLO, Ltd. 4.66 913 224.87 27.94 1.10 2830 Y
Neuberger Berman CLO XXIII, Ltd. 4.95 759 175.17 24.05 1.28 2689 Y
Carlyle US CLO 2016-4, Ltd. 4.83 894 219.45 29.68 1.20 2798 Y
OHA Loan Funding 2016-1, Ltd. 5.02 887 150.74 25.15 1.18 2765 Y
Atlas Senior Loan Fund VII Ltd. 5.18 997 178.06 28.49 1.15 2681 Y
Symphony CLO XVIII, Ltd. XVIII 4.93 791 170.80 20.44 1.14 2813 Y
Benefit Street Partners CLO X, Ltd. X 4.89 849 290.97 27.89 1.15 2713 Y
Madison Park Funding XXIV, Ltd. 4.94 809 223.96 24.21 1.25 2844 Y
HPS Loan Management 10-2016, Ltd. 4.85 1005 124.33 26.95 1.16 2571 Y
Bain Capital Credit CLO 2016-2, Limited 2016-2 5.24 862 264.76 27.07 1.22 2726 Y
TCP Waterman CLO, LLC 3.82 820 58.31 9.88 1.13 4209 Y
Octagon Investment Partners 29, Ltd. 5.08 841 158.93 19.40 1.18 2706 Y
Oaktree EIF III Series I, Ltd. 4.91 956 231.19 27.91 1.13 2618 Y
LCM XXIII Ltd. 4.49 843 200.50 24.85 1.12 2907 Y
ABPCI Direct Lending Fund CLO II Ltd. 3.60 412 56.91 10.13 1.00 3779 Y
MCF CLO VI LLC 3.55 598 90.79 16.94 1.04 3864 Y
Voya CLO 2017-3 Ltd. 2017-3 5.00 888 320.27 22.21 1.19 2660 Y
OCP CLO 2017-13 Ltd. 4.99 785 225.58 27.78 1.28 2692 Y
Bain Capital Credit CLO 2017-1, Limited 2017-1 5.18 793 264.43 25.90 1.21 2796 Y
Carlyle US CLO 2017-3 Ltd 4.96 871 229.12 29.65 1.18 2751 Y
Barings CLO Ltd. 2017-I 4.95 864 194.22 25.03 1.18 2628 Y
Atlas Senior Secured Loan Fund VIII Ltd. 5.22 952 182.39 28.98 1.16 2708 Y
Ares XLIV CLO Ltd. 5.01 734 225.86 20.32 1.23 2896 Y
CVP CLO 2017-1 Ltd 4.89 918 163.30 26.11 1.14 2626 Y
TCW CLO 2017-1, Ltd 2017-1 5.20 846 203.45 22.74 1.19 2735 Y
Octagon Investment Partners 32, Ltd. 5.24 832 215.37 23.74 1.21 2690 Y
OFSI BSL VIII, LTD 4.86 748 181.98 23.17 1.11 2770 Y
TCP Whitney CLO, Ltd 4.22 828 60.81 10.78 1.12 4093 Y
Nassau 2017-I Ltd. 4.90 846 202.75 27.79 1.11 2860 Y
Neuberger Berman Loan Advisers CLO 25, Ltd. CLO 25 4.94 763 182.98 24.12 1.28 2646 Y
Marathon CLO X Ltd X 4.90 818 194.70 25.88 1.23 2895 Y
MCF CLO VII LLC VII 3.16 521 95.04 15.81 1.00 3833 Y
Cedar Funding VIII CLO Ltd VIII 4.70 896 226.44 27.29 1.11 2818 Y
Woodmont 2017-3 LP 2017-3 3.24 524 48.64 14.99 1.00 3813 Y
Battalion CLO XI Ltd. 5.21 896 164.66 23.82 1.21 2689 Y
BlueMountain Fuji US CLO II Ltd. 5.18 808 218.06 26.04 1.18 2899 Y
Oaktree EIF III Series II Ltd 5.24 889 229.89 26.09 1.15 2628 Y
Race Point IX CLO, Limited IX 5.20 796 273.68 25.82 1.20 2808 Y
RR 2 LTD 4.86 750 138.48 21.49 1.29 2868 Y
AMMC CLO 21, Limited 21 4.67 910 316.20 25.83 1.13 2741 Y
Park Avenue Institutional Advisers CLO Ltd 2017-1 5.00 680 141.37 23.12 1.09 2718 Y
KCAP F3C Senior Funding, LLC 4.48 758 63.58 19.94 1.00 3925 Y
Mariner CLO 2017-4, Ltd. 2017-4 4.83 837 226.79 19.97 1.14 2786 Y
NXT Capital CLO 2017-2, LLC 2017-2 3.37 619 65.43 13.79 1.00 3975 Y
OHA Credit Partners XIV, Ltd. 5.11 823 162.38 23.43 1.18 2819 Y
Halcyon Loan Advisors Funding 2017-2 Ltd. 2017-2 5.13 868 197.45 26.68 1.29 2624 Y
Fortress Credit BSL IV Limited IV 4.84 701 109.75 22.45 1.09 2932 Y
Neuberger Berman Loan Advisers CLO 26, Ltd. 4.95 763 184.82 24.06 1.30 2646 Y
VOYA CLO 2017-4, LTD. 2017-4 5.01 855 314.16 22.80 1.17 2765 Y
Atrium XIII XIII 4.87 829 232.28 23.83 1.27 2915 Y
Octagon Investment Partners 34, Ltd. 5.13 850 201.42 22.01 1.22 2710 Y
Fortress Credit Opportunities IX CLO Limited 3.87 1017 54.45 11.44 1.03 4113 Y
Octagon Investment Partners 33, Ltd. 5.39 860 174.27 23.50 1.19 2617 Y
CFIP CLO 2017-1, Ltd. 2017-1 4.67 873 134.81 19.07 1.16 2761 Y
Antares CLO 2017-2, Ltd. 3.75 242 140.50 20.84 1.00 3594 Y
TIAA Churchill Middle Market CLO II Ltd. II 4.52 534 55.43 16.14 1.00 3817 Y
OHA Credit Partners XV, Ltd. 5.20 813 163.83 23.72 1.18 2818 Y
Apidos CLO XXVIII 4.88 850 230.05 28.11 1.23 2685 Y
OCP CLO 2017-14, Ltd. 5.06 791 224.71 27.20 1.30 2654 Y
Long Point Park CLO, Ltd. 5.10 876 212.55 23.28 1.19 2822 Y
ARES XLVI CLO Ltd. 5.04 716 227.47 20.04 1.21 2879 Y
BlueMountain Fuji US CLO III Ltd. 5.22 825 191.14 26.50 1.21 2889 Y
MMCF CLO 2017-1, LLC 2017-1 3.34 300 22.01 11.87 1.00 3636 N
Carlyle US CLO 2017-5, Ltd. 4.96 914 199.32 30.76 1.18 2731 Y
Fortress Credit BSL V Limited N/A 4.82 719 109.18 22.66 1.10 2987 Y
ABPCI Direct Lending Fund CLO IV Ltd 3.58 349 50.16 7.90 1.00 3749 Y
CVP CLO 2017-2, Ltd. 2017-2 4.93 901 165.42 26.79 1.13 2642 Y
LCM 26 Ltd. 4.62 865 269.67 25.48 1.13 2829 Y
Tralee CLO IV, Ltd. 4.91 872 190.76 24.40 1.10 2826 Y
Neuberger Berman CLO XVI-S, Ltd. 4.37 765 140.82 23.07 1.28 2756 N
Anchorage Capital CLO 5-R Ltd 5.16 706 139.54 26.80 1.20 3183 Y
RR 3 LTD 4.73 825 145.87 21.39 1.26 2947 Y
Neuberger Berman Loan Advisors CLO 27, Ltd. 5.01 751 179.96 24.53 1.30 2675 Y
Madison Park Funding XXVII, Ltd. 5.02 795 230.31 23.20 1.29 2844 Y
Octagon Investment Partners 35 Ltd. 5.27 891 216.25 23.56 1.22 2710 Y
Anchorage Capital CLO 3-R, Ltd. 5.21 772 141.05 27.51 1.18 3066 Y
Anchorage Capital CLO 4-R Ltd. 5.24 756 140.28 27.62 1.18 3090 Y
Atlas Senior Loan Fund X, Ltd. 5.16 1006 171.73 28.81 1.15 2751 Y
Cedar Funding VII CLO, Ltd. 4.75 877 225.57 27.78 1.12 2812 Y
Mariner CLO 5, Ltd. 4.90 829 225.52 20.93 1.16 2769 Y
OCP CLO 2014-5, Ltd. 2014-5 4.95 868 212.15 27.80 1.25 2709 Y
ZAIS CLO 8, LIMITED 4.88 951 194.96 23.84 1.11 2877 Y
Garrison Funding 2018-1 LP 4.29 576 69.14 21.38 1.03 3612 Y
MidOcean Credit CLO VIII 5.43 846 176.00 24.02 1.16 2744 Y
Golub Capital Partners CLO 36(M), Ltd. 3.52 941 74.17 10.22 1.00 4255 Y
CLO--Collateralized loan obligation. WAL--Weighted average life. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. WARF--Weighted average rating factor. Y--Yes. N--No.
European CLO metrics

Table 3 shows the first-quarter 2020 portfolio metrics for the European CLOs rated by S&P Global Ratings.

Table 3

First-Quarter 2020 Metrics For European CLOs Rated By S&P Global Ratings
Transaction WAL (years) DRD ODM IDM RDM WARF Reinvesting
Providus CLO I DAC 5.38 661 101.09 13.32 1.51 2768 Y
Carlyle Euro CLO 2018-1 DAC 5.01 576 123.30 20.38 1.26 2952 Y
Aurium CLO IV DAC 5.36 632 115.93 21.93 1.27 2652 Y
Voya Euro CLO I DAC 5.21 650 120.57 18.70 1.48 2748 Y
BlueMountain EUR CLO 2016-1 DAC 5.19 611 148.85 20.39 1.45 2718 Y
Avoca CLO XVIII DAC 5.09 536 132.59 17.76 1.37 2768 Y
ALME Loan Funding V B.V. 5.24 579 103.15 17.91 1.20 2741 Y
Toro European CLO 6 DAC 5.39 570 106.99 20.18 1.20 2807 Y
Avoca CLO XVII DAC 5.04 528 139.59 18.27 1.30 2797 Y
Dryden 48 Euro CLO 2016 B.V. 5.16 582 99.51 17.15 1.26 2937 Y
St. Paul's CLO II DAC 5.20 620 111.14 19.80 1.33 2834 Y
Harvest CLO XVII DAC 5.14 590 124.54 19.76 1.32 2734 Y
Ares European CLO VIII B.V. 4.77 517 103.71 20.14 1.26 2808 Y
Holland Park CLO DAC 4.62 710 116.58 17.47 1.35 2819 Y
OCP Euro CLO 2017-1 DAC 5.15 671 92.90 19.19 1.38 2620 Y
Madison Park Euro Funding VIII DAC 4.74 665 131.61 21.85 1.25 2758 Y
Strawinsky I PLC 2.26 749 1.54 1.54 1.54 5267 N
Clontarf Park CLO DAC 5.05 667 134.63 19.54 1.34 2705 Y
Carlyle Global Market Strategies Euro CLO 2013-1 B.V. 5.00 517 118.52 21.12 1.33 2910 Y
Jubilee CLO 2013-X B.V. 4.88 607 106.60 19.91 1.26 2855 Y
Ares European CLO VI B.V. 4.90 517 108.77 22.39 1.31 2812 Y
Harvest CLO VII DAC VII 5.08 571 111.05 19.47 1.42 2836 Y
Dryden 63 GBP CLO 2018 B.V. 5.01 664 60.64 15.69 1.12 2975 Y
RRE 1 Loan Management DAC 5.38 574 112.34 18.44 1.20 2781 Y
Jubilee CLO 2019-XXII B.V. 5.34 478 108.75 20.53 1.14 2813 Y
RRE 2 Loan Management DAC 5.42 565 106.52 18.65 1.20 2764 Y
Black Diamond CLO 2019-1 DAC 5.23 481 142.88 20.49 1.75 2853 Y
Carlyle Euro CLO 2019-2 DAC 5.48 542 88.59 19.88 1.32 2976 Y
Euro-Galaxy III CLO B.V. 4.90 634 127.82 20.28 1.52 2811 Y
North Westerly CLO IV 2013 B.V. 3.89 700 48.42 13.41 1.48 2594 N
Jubilee CLO 2014-XI B.V. 4.89 615 115.54 19.74 1.16 2870 Y
Avoca CLO XI DAC 4.98 519 132.48 18.34 1.32 2801 Y
Harvest CLO X DAC 4.05 617 75.08 17.16 1.35 2815 N
Halcyon Loan Advisors European Funding 2014 B.V. 4.73 708 118.65 21.08 1.33 2724 Y
Lingfield 2014 I PLC 2.40 831 81.97 19.19 1.00 1182 N
Harvest CLO XI DAC XI 5.01 579 110.81 19.76 1.41 2777 Y
Jubilee CLO 2015-XV B.V. 4.55 626 101.78 18.51 1.26 2911 N
Avoca CLO XIV Ltd. 4.98 477 131.32 18.04 1.36 2809 Y
Black Diamond CLO 2015-1 Designated Activity Company 4.58 639 125.55 18.37 1.74 2840 N
Euro-Galaxy IV CLO B.V. 4.92 681 122.11 21.85 1.53 2753 Y
Jubilee CLO 2015-XVI B.V. 4.84 665 104.29 19.06 1.22 2890 N
CVC Cordatus Loan Fund VIII DAC 4.79 762 85.91 17.15 1.20 2701 Y
Dryden 51 Euro CLO 2017 B.V. 5.12 572 104.38 16.10 1.38 2941 Y
Bosphorus CLO III DAC 3.76 704 31.49 15.02 1.56 2512 N
Carlyle Euro CLO 2017-1 DAC 5.09 570 121.72 20.90 1.35 2835 Y
Aqueduct European CLO 1-2017 DAC 5.11 625 114.61 19.37 1.32 2646 Y
BlackRock European CLO III DAC 5.04 717 131.44 19.17 1.41 2753 Y
Aurium CLO III DAC 5.25 665 117.73 22.31 1.28 2664 Y
Cadogan Square CLO IX DAC 4.75 643 118.32 21.16 1.30 2778 Y
BlueMountain Fuji EUR CLO II DAC 5.27 621 137.17 20.16 1.46 2678 Y
Dryden XXVII-R Euro CLO 2017 B.V. 5.15 568 103.66 18.00 1.31 2946 Y
Contego CLO IV DAC 4.97 526 104.00 19.28 1.36 2827 Y
Elm Park CLO DAC 5.06 667 144.63 18.93 1.28 2662 Y
Dryden 44 Euro CLO 2015 B.V. 5.19 586 98.57 16.99 1.33 2917 Y
Aurium CLO II DAC 5.22 660 117.47 22.22 1.28 2665 Y
Dryden 46 Euro CLO 2016 B.V. 5.14 541 101.39 17.85 1.35 2870 Y
Clarinda Park CLO DAC 5.13 653 141.59 18.34 1.30 2730 Y
Euro-Galaxy V CLO B.V. 4.92 638 125.72 19.64 1.43 2804 Y
Carlyle Global Market Strategies Euro CLO 2016-2 DAC 4.86 569 110.82 21.11 1.28 2889 Y
BlackRock European CLO II DAC 5.05 718 134.48 20.07 1.43 2735 Y
OZLME B.V. 5.03 729 127.33 21.43 1.40 2693 Y
Dryden 52 Euro CLO 2017 B.V. 5.17 546 92.32 16.64 1.36 2883 Y
Halcyon Loan Advisors European Funding 2017-1 DAC 4.83 752 115.03 21.77 1.35 2715 Y
Carlyle Euro CLO 2017-2 DAC 5.02 616 121.12 20.91 1.25 2886 Y
CVC Cordatus Loan Fund V DAC 4.93 650 98.85 15.49 1.22 2789 Y
CVC Cordatus Loan Fund IX DAC 4.82 748 93.46 15.52 1.19 2806 Y
Ares European CLO VII B.V. 4.96 566 117.07 21.45 1.25 2718 Y
Cairn CLO V B.V. 4.87 600 90.30 19.99 1.33 2761 Y
GLG Euro CLO III DAC 4.73 610 105.12 22.43 1.16 2846 Y
Armada Euro CLO I DAC 5.49 723 103.06 21.67 1.38 2743 Y
Bain Capital Euro CLO 2017-1 DAC 5.33 656 134.22 23.97 1.34 2875 Y
OZLME II DAC 5.17 697 126.44 21.44 1.40 2726 Y
Accunia European CLO II B.V. 5.45 645 94.73 18.81 1.18 2731 Y
Tikehau CLO III B.V. 4.90 627 111.14 20.49 1.36 2734 Y
Cairn CLO VIII B.V. 4.93 591 90.05 17.78 1.34 2765 Y
BlackRock European CLO IV DAC 5.12 725 140.02 20.05 1.37 2755 Y
Dryden 39 Euro CLO 2015 B.V. 5.22 597 110.38 18.42 1.34 2904 Y
Jubilee CLO 2017-XIX 4.80 577 116.37 21.55 1.17 2846 Y
Dryden 56 Euro CLO 2017 B.V. 5.21 571 103.98 16.39 1.34 2955 Y
Aqueduct European CLO 2-2017 DAC 5.14 621 112.59 19.90 1.36 2637 Y
OCP Euro CLO 2017-2 DAC 5.08 673 94.71 19.53 1.42 2637 Y
Black Diamond CLO 2017-2 DAC 4.87 581 139.21 19.77 1.74 2920 Y
Halcyon Loan Advisors European Funding 2017-2 DAC 5.01 744 126.28 21.08 1.32 2703 Y
Harvest CLO XVIII DAC 4.95 570 118.74 18.70 1.25 2803 Y
Purple Finance CLO 1 DAC 5.07 635 80.64 20.76 1.14 2603 Y
CVC Cordatus Loan Fund X DAC 5.01 652 92.77 17.08 1.18 2778 Y
Carlyle Euro CLO 2017-3 DAC 5.01 547 115.01 22.24 1.24 2956 Y
Dryden 29 Euro CLO 2013 B.V. 5.20 608 97.93 16.65 1.33 2945 Y
Adagio VI CLO DAC 5.02 493 106.68 19.12 1.20 2787 Y
Carlyle Global Market Strategies Euro CLO 2015-3 DAC 4.99 571 145.79 21.70 1.41 2903 Y
Cadogan Square CLO X DAC 4.98 666 130.63 23.72 1.27 2800 Y
Barings Euro CLO 2018-1 B.V. 4.81 750 109.62 20.53 1.45 2970 Y
GLG Euro CLO IV DAC 4.92 618 102.45 22.12 1.12 2870 Y
Harvest CLO VIII DAC 4.98 539 120.55 18.67 1.31 2854 Y
OZLME III DAC 5.22 690 125.89 20.90 1.32 2725 Y
BlackRock European CLO I DAC 5.11 740 140.11 19.61 1.37 2712 Y
Ares European CLO IX B.V. 5.01 507 100.58 20.39 1.17 2769 Y
Toro European CLO 5 DAC 5.19 606 118.81 19.85 1.27 2781 Y
CLO--Collateralized loan obligation. WAL--Weighted average life. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. WARF--Weighted average rating factor. Y--Yes. N--No.

Related Research

  • S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version, June 21, 2019
  • How To Build Your Own CDO Monitor E8 (Non-Model Version), June 21, 2019
  • European And U.S. CLOs: How Different Are They Really?, Dec. 1, 2015

Appendix

Appendix

S&P Rating Factor
S&P rating S&P rating factor
AAA 13.5
AA+ 26.8
AA 46.4
AA- 63.9
A+ 99.5
A 146.3
A- 199.8
BBB+ 271.0
BBB 361.2
BBB- 540.4
BB+ 784.9
BB 1233.6
BB- 1565.4
B+ 1982.0
B 2859.5
B- 3610.1
CCC+ 4641.4
CCC 5293.0
CCC- 5751.1

The authors would like to thank Ian Chandler for his data analytics contribution to this update.

This report does not constitute a rating action.

Primary Credit Analysts:Daniel Hu, FRM, New York (1) 212-438-2206;
daniel.hu@spglobal.com
Matteo Breviglieri, London (44) 20-7176-8495;
Matteo.Breviglieri@spglobal.com
U.S. CLO Sector Lead:Stephen A Anderberg, New York (1) 212-438-8991;
stephen.anderberg@spglobal.com
Analytical Manager, U.S.:Jimmy N Kobylinski, New York (1) 212-438-6314;
jimmy.kobylinski@spglobal.com
Analytical Manager, EMEA:Emanuele Tamburrano, London (44) 20-7176-3825;
emanuele.tamburrano@spglobal.com

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