- European CLO credit performance in second-quarter 2020 deteriorated further, with an increase in assets rated in the 'CCC' rating category, and a worsening of S&P Global Ratings' weighted-average rating factor and scenario default rates.
- Nevertheless, the level of defaulted assets remains low and overcollateralization cushions are positive. The average credit quality of reinvesting CLO portfolios also appears to have stabilized since May.
- In third-quarter 2020, we have resolved the CreditWatch placements on 25 European CLO ratings, of which 18 were lowered and seven affirmed, with the downgrades largely in the 'BB' rating category and an average change of one notch.
- European CLO structures and documentation continue to evolve, with the most recent significant change being the increased distressed asset flexibility managers are seeking in the form of loss mitigation loans.
S&P Global Ratings' July 9, 2020 webcast "What's Next For European CLOs?," addressed key themes, challenges, and opportunities in the coming months for European collateralized loan obligations (CLOs). Specifically, we discussed CLO trading activity, the impact of COVID-19 on overcollateralization ratios, what could cause interest to start deferring, and key trends in European CLO portfolio overlap (topics covered in our recent publications, see "Related Research").
In the first half of the year, downgrades among speculative-grade companies rose markedly. Following this increase in negative rating actions on nonfinancial corporates in March and April, we looked at their impact on CLO portfolio exposures over 60 days and 180 days.
In this quarterly index publication, we look at some of the key metrics behind our ratings on the CLO notes. A month-to-month negative performance of these parameters could pressure the ratings on the notes.
In table 1 below, we show some selected credit metrics for 111 S&P Global Ratings-rated European CLOs that will be reinvesting for all of 2020 since the beginning of the year. We observe that since May, the average credit quality of reinvesting CLO portfolios has continued to stabilize following the slowdown in corporate rating downgrades and flattening of the 'CCC' curve.
|Selected Average Credit Metrics|
|'B-' (%)||'CCC' category (%)||CLOs with greater than 7.5% 'CCC' assets||Non performing category (%)||CLOs with nonperforming||Junior O/C cushion (%)||WAP||SPWARF||Par change (%)||CreditWatch negative (%)||Negative outlook (%)|
|Jan. 3, 2020||18.44||3.19||2||0.10||15||4.24||98.35||2704||0.00||1.00||20.68|
|Jan. 31, 2020||18.95||2.73||1||0.10||16||4.27||99.00||2708||0.00||0.88||19.19|
|March 6, 2020||19.48||1.91||0||0.04||9||4.31||99.54||2698||0.00||3.69||22.39|
|April 3, 2020||19.28||6.57||38||0.08||16||4.09||88.91||2827||(0.07)||5.23||25.09|
|May 1, 2020||23.74||9.39||70||0.10||17||3.59||85.78||2926||(0.13)||6.74||35.26|
|May 29, 2020||24.59||8.68||62||0.09||16||3.53||86.19||2922||(0.15)||6.02||36.88|
|June 5, 2020||24.88||8.56||59||0.11||22||3.42||87.73||2920||(0.15)||6.42||37.05|
|June 12, 2020||24.69||8.75||61||0.17||32||3.35||88.38||2926||(0.16)||6.51||38.55|
|June 19, 2020||25.09||8.91||63||0.22||34||3.35||88.08||2923||(0.16)||6.76||38.93|
|June 26, 2020||25.52||8.90||63||0.23||35||3.35||88.02||2929||(0.16)||7.52||38.89|
|July 3, 2020||25.52||8.90||63||0.23||35||3.50||88.02||2929||(0.16)||7.51||39.24|
|July 10, 2020||25.06||9.80||71||0.32||50||3.50||90.96||2956||(0.16)||7.79||40.27|
|July 17, 2020||25.18||9.08||70||0.26||48||3.41||93.72||2941||(0.19)||7.50||39.17|
|July 24, 2020||25.43||8.54||63||0.42||42||3.44||94.40||2946||(0.22)||7.44||38.91|
|July 31, 2020||25.52||8.34||59||0.47||50||3.41||95.02||2947||(0.21)||7.36||38.90|
|Aug. 7, 2020||25.85||7.87||53||0.59||57||3.41||95.15||2949||(0.20)||7.38||38.86|
|Aug. 14, 2020||25.90||7.86||53||0.59||56||3.43||95.20||2952||(0.20)||7.37||38.86|
|Aug. 21, 2020||25.70||7.84||52||0.59||56||3.42||95.35||2949||(0.19)||7.42||38.68|
|Aug. 28, 2020||25.70||7.77||51||0.61||59||3.41||95.45||2948||(0.19)||7.41||38.70|
|Sept. 4, 2020||25.73||7.77||51||0.62||59||3.41||95.33||2951||(0.20)||7.41||38.70|
|Sept. 11, 2020||25.75||7.59||51||0.58||59||3.41||94.45||2946||(0.20)||7.42||38.62|
|Sept. 18, 2020||25.66||7.63||51||0.52||52||3.41||94.54||2942||(0.20)||7.41||38.23|
|Sept. 25, 2020||24.97||7.99||51||0.55||64||3.46||94.54||2946||(0.19)||7.31||38.12|
|CLO--collateralized loan obligation. O/C--Overcollateralization. SPWARF--S&P Global Ratings weighted average rating factor. WAP--Weighted average price. Pricing information is based on over 90% of the loans.|
Nevertheless, speculative-grade corporate ratings are exposed to downside risk, particularly those within sectors that are most vulnerable to social distancing such as retail, consumer products, transportation, and leisure. We expect the European trailing 12-month speculative-grade corporate default rate to rise to 8.5% by June 2021 from 3.4% at the end of June 2020 (which has increased by nearly 50% from 2.3% over the last 12 months).
S&P Global Ratings acknowledges a high degree of uncertainty about the evolution of the coronavirus pandemic. The current consensus among health experts is that COVID-19 will remain a threat until a vaccine or effective treatment becomes widely available, which could be around mid-2021. We are using this assumption in assessing the economic and credit implications associated with the pandemic (see our research here: www.spglobal.com/ratings). As the situation evolves, we will update our assumptions and estimates accordingly.
Eighteen CLO Tranches Downgraded By An Average Of One Notch
To date, we have placed 39 ratings from 29 European CLOs on CreditWatch negative (see "Related Research"), comprising 3% of our rated European CLO universe. In third-quarter 2020, we resolved the CreditWatch placements on 25 ratings, of which 18 (72%) were downgraded and 7 (28%) affirmed (see table 2 below and "Related Research").
|EMEA CLO CreditWatch Resolutions|
|Through Sept. 30, 2020|
|Rating category||Affirmed||One-notch downgrade||Two-notch downgrade||Total no. of actions|
The downgrades have largely been in the 'BB' space with an average of a one notch change. These reflected a combination of factors, primarily a decline in portfolio credit quality following downgrades, an increased exposure to 'CCC' category loans, as well as par loss from trading losses and defaults leading to lower credit enhancement. Although credit deterioration, which may be indicated by an increasing S&P Global Ratings' weighted-average rating factor (SPWARF), has been a key rating factor, the impact on CLO transactions has varied, depending on the initial structure and manager's subsequent strategy in managing the portfolios. For instance, some transactions were structured with higher levels of starting cushions. In others, a higher weighted-average spread or shorter weighted-average life compensated for the portfolio credit deterioration or increased risk of a higher WARF.
We expect to resolve the remaining CreditWatch placements within 90 days of the rating action after we complete a cash flow analysis and committee review for each of the affected transactions.
Updates On European CLO Documentation: Managers Seek Greater Distressed Asset Flexibility
After a sharp slowdown in March to May, European CLO issuance picked up from June bringing year-to-date issuance volume to €15.5 billion from 46 deals compared with €23.4 billion from 56 deals in the same period last year. Most of the new issue activity resulted from the terming out of existing warehouses with pre-COVID loans where the focus was to launch deals, even if the economics were not ideal. Nevertheless, investor appetite seems to be returning and arbitrage conditions improving with 'AAA' liability spreads significantly tightening away from the 200 basis points (bps) seen earlier in the year with the last couple of transactions pricing at 110 bps.
Within that, CLO documentation continues to evolve. Given the focus on overcollateralization tests, we are seeing proposed variations in certain definitions that would affect overcollateralization haircuts--for example, what would constitute a 'CCC' asset or a discount obligation. As negative rates look set to stay, we have also seen proposed changes to interest smoothing amount definitions to allow managers to reduce the amount of interest required to be trapped in the interest smoothing account.
The most significant change recently introduced to European CLO documentation is the increased distressed asset flexibility managers are seeking in anticipation of increased defaults in the next downturn. Standard CLO documentation has historically limited the ability of CLOs to participate in loan restructurings involving injection of new money, which has allowed non-CLO distressed debt investors to take advantage of such restrictions to extract value from CLOs through certain restructuring practices (see "Acosta Inc.'s Modern Day Bankruptcy: A CLO-Distressed Funds Clash," published May 7, 2020). The introduction of loss mitigation loans hence aims to lessen this risk and help CLOs maximize recoveries on their distressed credits.
Under the transaction documents of recent European CLO transactions with this feature, loss mitigation loans are typically defined as assets of an existing collateral obligation held by the issuer offered in connection with the bankruptcy, workout, or restructuring of such obligation, purchased to improve the recovery value of such related collateral obligation.
The purchase of loss mitigation loans is generally not subject to the reinvestment criteria or the eligibility criteria although it may be subject to some criteria such as senior or pari passu to the existing obligation. Often, the purchase receives no credit either in the principal balance definition or par coverage tests, although where the loss mitigation loan meets the eligibility criteria with certain exclusions, it is sometimes accorded defaulted treatment.
While the overall objective of loss mitigation loans is positive, it can also lead to par erosion, as additional funds will be placed with an entity that is under distress or in default. In addition, rather than the use of funds to deleverage, the purchases of such loans would also increase the level of nonperforming assets in the portfolio, which could increase the credit risk in the transaction despite the prospect of higher recoveries. Hence, this may cause greater volatility in our ratings if the positive effect of such loans do not materialize. The presence of a bucket, restrictions on the use of principal proceeds to purchase such assets, and limitations in reclassifying proceeds received from such assets from principal to interest in the transaction documents, help to mitigate the risk, in our view.
CLOs may purchase loss mitigation loans using either interest proceeds, principal proceeds, or amounts standing to the credit of the supplemental reserve account. To date, we have generally seen in recent European CLO transactions the usage of principal proceeds subject to (1) passing par coverage tests and the manager having built sufficient excess par in the transaction so that (2) the principal collateral amount is equal to or exceeding the portfolio's target par balance after the reinvestment.
In the transactions we have reviewed, interest proceeds may also be used to purchase loss mitigation loans. As these purchases are made directly from the interest account without going through the interest priority of payments, such payments are effectively senior in the waterfall. This may lead to insufficient interest to pay noteholders on the following interest payment date and also less interest to cure the coverage test hence affording less protection to senior noteholders. To mitigate this risk, transaction documents reviewed to date typically include the use of interest proceeds subject to (1) all coverage tests passing following the purchase, and (2) the manager determining there are sufficient interest proceeds to pay interest on all the rated notes on the upcoming payment date.
To protect the transaction from par erosion, we note that the transaction documents typically provide that any distributions received from loss mitigation loans which are either (1) purchased with the use of principal, or (2) purchased with interest or amounts in the supplemental account, but which have been afforded credit in the coverage test, to irrevocably form part of the issuer's principal account proceeds and cannot be recharacterized as interest.
As the ability to purchase loss mitigation loans is a fairly new concept in European CLOs, we expect more proposed variations in CLO documentation and for the language to continue to evolve. Therefore, it is important for investors and market participants to review the definitions and flow of funds in detail. Some particular factors to consider are what proceeds may be used to purchase such obligations and the limitations to such purchases. Another factor is the treatment of such assets in key CLO tests and which account the loss mitigation loan proceeds go to (principal, interest, or supplemental reserve account), as this also ultimately determines the risk-benefit balance of loss mitigation loans between debt and equity noteholders.
Measuring CLO Performance Using Key Metrics
CLO issuance has gained momentum over the past five years, and investors have become more familiar with CLO structures and the associated risks, as well as assessing and suitably measuring credit and cash flow risks.
Credit risk, which includes default risk and an increase in 'CCC' category rated assets in the portfolio, among others, can be mitigated by better measures on the cash flow side, like increased available credit enhancement, weighted-average spread, and recoveries, for example.
In this article, we display how these individual parameters have evolved over the last few months to broadly gauge the performance of European CLOs.
CLO Collateral Performance Deteriorates Further In Second-Quarter 2020
Overall, CLO performance in second-quarter 2020 deteriorated further since the previous three quarters, with an increase in defaulted and 'CCC' category rated assets, and worsening of the S&P Global Ratings' weighted-average rating factor (SPWARF), credit enhancement and overcollateralization cushions. Most of the other metrics we capture showed stable performance.
Collateral portfolios of older vintage cohorts are becoming more concentrated as the assets wind down and they approach their final maturities, while newer vintages are benefiting from still being in their reinvestment phases, when collateral managers can actively mitigate default risk through active trading. We attribute these trends more to the stage in a transaction's life cycle than to significant changes in the portfolios at the collateral level.
European CLO 2.0 collateral ratings
While CLOs enjoy the senior secured status of leveraged loans in the portfolio, it is important to note that these loans are issued to speculative-grade companies.
Underlying collateral ratings contribute significantly to the ratings on transactions that have closed since January 2013. Below we show the rating distribution of the CLO collateral portfolio for the different vintages in European CLO 2.0 transactions over a one-year period (see charts 1 to 7). Note that we have considered transactions that have been refinanced to be in the original vintage as when it was first issued. The CLO portfolio rating performance across all CLO vintages indicates stable performance.
Exposure to 'CCC' rated assets has increased
'CCC' category rated assets are an important measure of European CLO performance because an increase in these assets can indicate that the collateral portfolio's credit quality is worsening. The level of 'CCC' assets can also reduce O/C test cushions because they may not be carried at their full par value.
The percentage of assets rated in the 'CCC' category ('CCC+', 'CCC', or 'CCC-') has shown worse performance for the European CLO cohorts we track. These changes reflect rating migration in the underlying portfolios and may also depend on an individual transaction's pool composition, which is based on the CLO manager's strategy to manage the vehicle.
By vintage, the reported level of 'CCC' rated assets in European cash flow CLOs, as a percentage of total assets in June 2020, was:
- 2013 vintage CLOs: 6.68% of total assets (up from 2.31% in March 2020);
- 2014 vintage CLOs: 7.14% of total assets (up from 4.14% in March 2020);
- 2015 vintage CLOs: 5.51% of total assets (up from 3.39% in March 2020);
- 2016 vintage CLOs: 6.43% of total assets (up from 2.96% in March 2020);
- 2017 vintage CLOs: 6.74% of total assets (up from 3.03% in March 2020);
- 2018 vintage CLOs: 6.39% of total assets (up from 2.62% in March 2020); and
- 2019 vintage CLOs: 4.13% of total assets (up from 1.56% in March 2020).
Individual CLOs exhibited some variances among European CLOs from the same vintages. These CLOs are more likely to breach their thresholds sooner than other types of CLOs.
Exposure to defaulted assets has increased but remains limited
CLOs performed well through the financial crisis and beyond. Defaulted assets were one of the key indicators of CLO performance because a defaulted asset may result in a loss of principal to the CLO and a corresponding decline in credit enhancement.
From March 2020 to June 2020, the percentage of defaulted assets (i.e., assets from obligors rated 'CC', 'C', 'SD' [selective default], or 'D') slightly increased for the all vintages.
As of June 2020, the percentage of defaulted assets in each underlying collateral portfolio was:
- 2013 vintage CLOs: 0.30% of total assets (up from 0.29% in March 2020);
- 2014 vintage CLOs: 0.60% of total assets (up from 0.02% in March 2020);
- 2015 vintage CLOs: 0.61% of total assets (up from 0.16% in March 2020);
- 2016 vintage CLOs: 0.16% of total assets (up from 0.00% in March 2020);
- 2017 vintage CLOs: 0.31% of total assets (up from 0.05% in March 2020);
- 2018 vintage CLOs: 0.28% of total assets (up from 0.06% in March 2020); and
- 2019 vintage CLOs: 0.08% of total assets (up from 0.04% in March 2020).
These calculations show the proportion of assets that are currently in default, over total assets (not including principal cash).
S&P Global Ratings' weighted-average rating factor (SPWARF) worsens
Although CLOs are generally restricted to eligibility criteria that govern what assets can be part of their portfolios and set their limitations, it is challenging to size a portfolio's default risk during the typical four-year reinvestment period in which the collateral manager is allowed to actively trade assets. These trading activities could change the asset portfolio's composition significantly, thus increasing its risk profile and possibly the required par subordination.
The SPWARF provides an indication of the portfolio's overall credit quality. It is each asset's five-year default rate assumed in our corporate collateralized debt obligation (CDO) criteria, weighted by each asset's par balance, and multiplied by 10,000 (see the "Related Criteria" and "Related Research" sections).
In second-quarter 2020, the overall SPWARF increased to 2,917 from 2,915.
Weighted-average life (WAL) decreased
The WAL is the number of years between the current date and the maturity date of assets in the CLO portfolio.
At 4.96, the WAL is decreasing quarter on quarter.
Scenario default rates (SDRs) slightly improved
Together with the SPWARF and WAL, we use four other benchmarks (the three diversity measures and the default rate dispersion [DRD]) to produce the approximate 'AAA' SDR (i.e., the expected default levels for the portfolio under the 'AAA' stress scenarios).
While the SPWARF only looks at the credit rating on the assets, SDRs (or the expected target default rate) look into all six components when measuring the overall risk profile of a CLO portfolio (SPWARF + DRD + WAL + the three diversity measures).
On average, the current portfolio credit risk ('AAA' SDRs) has slightly improved since first-quarter 2020, decreasing to 64.36% from 64.56%.
Cash Flow Metrics
Credit enhancement has slightly worsened
Our analysis of CDO transactions, as in our other structured finance ratings, focuses on how much credit enhancement is needed for a given level of credit risk to achieve a specific rating. Typically, credit enhancement is provided by a combination of overcollateralization/subordination and cash collateral. In this case, credit enhancement is the percentage of total performing assets plus cash, minus the tranche balance (including senior and pari passu note balance), divided by total performing assets, plus cash plus recovery on defaulted assets. The credit enhancement across the capital structure has slightly worsened due to a combination of trading losses and an increase in defaulted assets since first-quarter 2020.
|Credit Enhancement By Rating Level|
|Vintage||Q3 2019 yearly average||Q4 2019 yearly average||Q1 2020 yearly average||Q2 2020 yearly average|
|Vintage||Q3 2019 yearly average||Q4 2019 yearly average||Q1 2020 yearly average||Q2 2020 yearly average|
|Vintage||Q3 2019 yearly average||Q4 2019 yearly average||Q1 2020 yearly average||Q2 2020 yearly average|
|Vintage||Q3 2019 yearly average||Q4 2019 yearly average||Q1 2020 yearly average||Q2 2020 yearly average|
|Vintage||Q3 2019 yearly average||Q4 2019 yearly average||Q1 2020 yearly average||Q2 2020 yearly average|
|Vintage||Q3 2019 yearly average||Q4 2019 yearly average||Q1 2020 yearly average||Q2 2020 yearly average|
Weighted-average spread followed recent quarterly trends
Spreads vary based on a variety of factors, including the levels of relative liquidity for leveraged loans or the actual and perceived level of credit risk in the leveraged loan market, among others.
Over the past two to three years, leveraged loans have refinanced at a lower cost, leading to increased difficulty in managing the weighted-average spread test in CLOs and in maintaining the weighted-average cost of debt and a healthy return to equity. Consequently, weighted-average spreads are monitored closely in CLOs. If this measure decreases significantly, the risk of a negative rating action on the notes would increase.
On average, the weighted-average spread has remained stable over the past three quarters, which has helped CLO managers manage their weighted-average spread tests.
Senior O/C ratios have worsened
The senior O/C ratio test is a par value test to protect senior noteholders. Declines in the senior O/C ratio test results can indicate decreasing credit quality of the CLO. The O/C ratio is the difference between the O/C test calculated for a particular tranche and the trigger associated with it. Breach of these triggers will mean that senior notes are repaid (until the tests are met again), or if the transaction is in its reinvestment period, the proceeds due on junior notes are either invested in substitute collateral or used to repay the notes.
The senior O/C ratio test cushions have reduced for all the cohorts due to an increase in defaulted and "CCC" category assets (see chart 14).
The senior O/C ratio test cushions (based on reported information) as of June 2020 were:
- 2013 vintage CLOs: 5.68% (down from 10.78% in March 2020);
- 2014 vintage CLOs: 4.40% (down from 12.73% in March 2020);
- 2015 vintage CLOs: 7.05% (down from 8.65% in March 2020);
- 2016 vintage CLOs: 8.50% (down from 9.71% in March 2020);
- 2017 vintage CLOs: 7.47% (down from 9.52% in March 2020);
- 2018 vintage CLOs: 6.64% (down from 9.26% in March 2020); and
- 2019 vintage CLOs: 8.82% (down from 9.57% in March 2020).
Subordinated O/C ratios have worsened
The subordinated O/C ratio test is the par value test for the junior notes in the CLO. Failure to satisfy this test will typically cause interest and principal to be redirected to pay down the most-senior class of notes until the test is satisfied.
From March 2020 to June 2020, the subordinated O/C ratios has reduced for all the cohorts (see chart 15).
As of June 2020, the subordinated O/C ratio test cushions (based on reported information) were:
- 2013 vintage CLOs: 1.42% (down from 4.17% in March 2020);
- 2014 vintage CLOs: 0.50% (down from 3.86% in March 2020);
- 2015 vintage CLOs: 2.31% (down from 3.43% in March 2020);
- 2016 vintage CLOs: 3.57% (down from 4.47% in March 2020);
- 2017 vintage CLOs: 2.81% (down from 4.05% in March 2020);
- 2018 vintage CLOs: 2.10% (down from 4.08% in March 2020); and
- 2019 vintage CLOs: 3.77% (down from 4.47% in March 2020).
Our European CLO performance index report provides aggregate performance statistics across most of our rated European cash flow CLO transactions backed primarily by corporate loans. We provide this information to help market participants track the overall performance of European cash flow CLO transactions and to benchmark the performance of the transactions they follow against the performance of cohorts of similar transactions.
Our report highlights what we view as a number of key risk areas for the transactions, and which we use as part of our analysis of the credit quality of securitized portfolios and of the transactions' payment structure and cash flow mechanics. These include rating migration within the underlying collateral portfolios, as well as other information relevant to the sector.
We divide the performance information in the CLO indexes into cohorts, each containing data for most of the European CLO transactions we rated and issued in a specific vintage year. We collect the performance information from transaction-level performance data in our CDO surveillance databases.
|EMEA CLO Corporate Rating Actions (From June 20, 2020–Sept. 25, 2020)|
|Action date||Issuer||GIC sector||To||From||No. of European CLOs with exposure||Reason||COVID-19-related|
|June 23, 2020||Comet Bidco Limited||Media||CCC+/Negative||B-/Watch Neg||7||Weaker Liquidity And Delays And Cancellations Of Shows||Yes|
|June 24, 2020||Global Blue Acquisition B.V.||Internet And Catalog Retail||B/Watch Neg||B+/Stable||36||Slow Recovery In International Travel;Refinancing Risk||Yes|
|June 24, 2020||Promotora De Informaciones S.A.||Media||CCC+/Negative||B-/Watch Neg||27||Steep Leverage||No|
|June 25, 2020||Jacobs Douwe Egberts International B.V.||Food Products||BB+/Positive||BB/Watch Pos||37||IPO Completion||Yes|
|June 26, 2020||Ashland Global Holdings Inc.||Chemicals||BB+/Negative||BB+/Stable||8||Weak End-Market Demand||Yes|
|June 26, 2020||Cineworld Group PLC||Entertainment||CCC+/Stable||CCC+/Watch Neg||19||Improving Liquidity||Yes|
|June 29, 2020||Selecta Group B.V.||Internet And Catalog Retail||CCC-/Watch Neg||B-/Negative||12||Tightening Liquidity And Restructuring Risk||Yes|
|June 29, 2020||Traviata B.V.||Media||B/Negative||B/Stable||9||Weaker Credit Metrics||Yes|
|July 1, 2020||Ineos Enterprises Holdings Ltd.||Chemicals||BB/Watch Neg||BB/Negative||95||BP Chemicals Acquisition Announcement||Yes|
|July 1, 2020||Ineos Group Holdings S.A.||Chemicals||BB/Watch Neg||BB/Negative||1||BP Chemicals Acquisition Announcement||Yes|
|July 1, 2020||Inovyn Finance Plc||Chemicals||BB-/Watch Neg||BB-/Stable||78||BP Chemicals Acquisition Announcement||Yes|
|July 3, 2020||DXC Technology Company||IT Services||BBB-/Stable||BBB/Negative||1||Uncertain Long-Term Business Prospects||No|
|July 3, 2020||RGIS Holdings LLC||Commercial Services And Supplies||B-/Negative||D/NM||3||Debt Restructuring||Yes|
|July 3, 2020||Technicolor S.A.||Entertainment||CC/Watch Neg||CCC-/Negative||29||Announced Debt To Equity Swap||Yes|
|July 8, 2020||Coty Inc.||Personal Products||B-/Stable||B/Watch Neg||56||High Leverage||Yes|
|July 8, 2020||Paccor Packaging Gmbh||Containers And Packaging||B/Negative||B/Stable||16||Lower Profitability And Cash Flows||Yes|
|July 9, 2020||Casper Midco SAS||Hotels, Restaurants And Leisure||CCC+/Stable||B-/Watch Neg||54||COVID-19 Effects||Yes|
|July 9, 2020||Mediarena Acquisition B.V.||Entertainment||NR||CCC+/Watch Pos||10||Acquisition By Banijay||Yes|
|July 10, 2020||Pinnacle Bidco PLC||Hotels, Restaurants And Leisure||CCC+/Developing||B-/Watch Neg||1||COVID-19 Impact||Yes|
|July 11, 2020||Carlson Travel Inc.||Hotels, Restaurants And Leisure||CC/Negative||CCC/Negative||12||Debt Exchange Announcement||Yes|
|July 13, 2020||International Park Holdings B.V.||Hotels, Restaurants And Leisure||B-/Negative||B-/Watch Neg||61||COVID-19 pandemic||Yes|
|July 14, 2020||Inter Media And Communication S.P.A.||Project Leisure And Gaming||B+/Negative||B+/Watch Neg||5||Criteria Correction||Yes|
|July 14, 2020||Mulhacen Pte. Ltd.||Banks||CCC+/Negative||B-/Negative||6||Pressured Debt-Servicing Capacity||Yes|
|July 15, 2020||Asr Media And Sponsorship S.P.A.||Project Leisure And Gaming||B/Negative||B+/Watch Neg||11||Operations and financial conditions have weakened||Yes|
|July 16, 2020||Codere S.A.||Hotels, Restaurants And Leisure||CC/Negative||CCC-/Negative||19||Proposed Debt Restructuring||Yes|
|July 16, 2020||Elis S.A.||Commercial & Professional Services||BB/Stable||BB/Negative||1||Improved Liquidity||Yes|
|July 17, 2020||Stonegate Pub Co. Ltd.||Hotels, Restaurants And Leisure||NR||CCC+/Negative||1||Rating Withdrawn At Issuer's Request||No|
|July 20, 2020||IHO Verwaltungs Gmbh||Auto Components||BB+/Stable||BBB-/Watch Neg||18||Weaker Credit Metrics From COVID-19||Yes|
|July 20, 2020||Schaeffler AG||Auto Components||BB+/Stable||BBB-/Watch Neg||6||Weaker Credit Metrics From COVID-19||Yes|
|July 21, 2020||Boluda Towage S.L.||Marine||BB-/Negative||BB-/Stable||89||Delayed Improvement In Credit Metrics||Yes|
|July 22, 2020||Delachaux S.A.||Machinery||B/Stable||B+/Stable||88||Weaker Profitability And Credit Metrics||Yes|
|July 23, 2020||Diebold Nixdorf Inc.||Technology Hardware, Storage And Peripherals||B-/Stable||B-/Negative||4||Debt Deal||Yes|
|July 23, 2020||Garrett Motion Inc.||Auto Components||BB-/Negative||BB-/Watch Neg||24||Successfully amended its covenants||Yes|
|July 28, 2020||Galaxy Bidco Ltd.||Diversified Consumer Services||B/Negative||B/Stable||38||Delayed Improvement To Cash Generation||Yes|
|July 28, 2020||Netflix Inc||Entertainment||BB/Stable||BB-/Stable||6||Improved Free Operating Cash Flow||Yes|
|July 28, 2020||Novem Group Gmbh||Distributors||B+/Negative||B+/Watch Neg||16||Expected Cash Flow Resilience||Yes|
|July 28, 2020||Koos Holding Cooperatief U.A.||Media||B/Negative||B/Watch Neg||26||Planned Acquisition By KKR||Yes|
|Aug. 4, 2020||Amc Entertainment Holdings Inc.||Entertainment||SD||CC/Negative||1||Distressed Exchange||Yes|
|Aug. 5, 2020||Amer Sports Holding 1 Oy||Leisure Products||B-/Stable||B-/Negative||69||Reduced Risk Of Covenant Breach||Yes|
|Aug. 6, 2020||Aston Martin Holdings (Uk) Ltd.||Automobiles||CCC/Negative||CCC-/Watch Neg||1||Equity Raise||Yes|
|Aug. 6, 2020||Gestamp Automocion S.A.||Auto Components||BB-/Stable||BB/Watch Neg||7||Due To COVID-19 Drop In Earnings||Yes|
|Aug. 6, 2020||Go Wireless Holdings, Inc.||Specialty Retail||B/Negative||B/Watch Neg||1||Anticipated Recovery In Credit Metrics||Yes|
|Aug. 7, 2020||Amc Entertainment Holdings Inc.||Entertainment||CCC+/Watch Neg||SD||1||Debt Exchange||Yes|
|Aug. 7, 2020||Avantor Funding, Inc.||Life Sciences Tools And Services||BB-/Positive||B+/Positive||38||Improving Cashflows||Yes|
|Aug. 7, 2020||Kongsberg Automotive Asa||Distributors||B-/Negative||B-/Watch Neg||12||Better Liquidity And 2020 Forecasts||Yes|
|Aug. 7, 2020||Option Care Health Inc.||Health Care Providers And Services||B-/Positive||B-/Stable||3||Improved Credit Metrics||Yes|
|Aug. 11, 2020||Ford Motor Credit Co. LLC||Consumer Finance||BB+/Negative||BB+/Watch Neg||9||Severe year-over-year revenue decline due to Plant shutdowns during the COVID-19 pandemic||Yes|
|Aug. 11, 2020||General Motors Financial Co. Inc.||Consumer Finance||BBB/Negative||BBB/Watch Neg||1||Plant shutdowns that arose from the COVID-19 pandemic||Yes|
|Aug. 11, 2020||Gtt Communications, Inc.||Diversified Telecommunication Services||CCC+/Watch Neg||CCC+/Negative||52||Delayed Financial Statement Filing||Yes|
|Aug. 12, 2020||Atlantia Spa||Transportation Infrastructure||BB-/Developing||BB-/Watch Neg||5||Potential ASPI Settlement||Yes|
|Aug. 12, 2020||Autostrade Per I'Italia Spa||Transportation Infrastructure||BB-/Developing||BB-/Watch Neg||5||Potential ASPI Settlement||Yes|
|Aug. 13, 2020||Distribuidora Internacional De Alimentacion S.A.||Food And Staples Retailing||CC/Negative||CCC/Negative||1||Announced Bond Tender Offer||Yes|
|Aug. 15, 2020||Carlson Travel Inc.||Hotels, Restaurants And Leisure||NR||CC/Negative||12||Withdrawn At Issuer's Request||Yes|
|Aug. 17, 2020||Tele Columbus AG||Media||B-/Stable||B-/Watch Neg||63||Better Liquidity||Yes|
|Aug. 17, 2020||Aramark||Hotels, Restaurants And Leisure||BB-/Stable||BB/Watch Neg||1||Coronavirus-Related Demand Drop||Yes|
|Aug. 19, 2020||Takko Fashion S.A.R.L.||Specialty Retail||CCC-/Negative||SD||6||Interest Payment Resumption||Yes|
|Aug. 20, 2020||Cirsa Enterprises S.L.U.||Hotels, Restaurants And Leisure||B-/Watch Neg||B-/Negative||73||Negative Free Cash Flow And Uncertain Recovery||Yes|
|Aug. 20, 2020||Tenneco Inc.||Auto Components||B/Negative||B/Watch Neg||35||Flexed its cost structure and achieved positive adjusted EBITDA||Yes|
|Aug. 21, 2020||Edreams Odigeo S.A.||Internet And Catalog Retail||B-/Negative||B/Watch Neg||5||Slower Recovery Prospects ESG Factor: Health & Safety||Yes|
|Aug. 22, 2020||Getty Images Inc.||Interactive Media And Services||B-/Negative||B-/Watch Neg||16||Adequate Liquidity And Cost Cuts||Yes|
|Aug. 24, 2020||Rain Carbon Inc.||Chemicals||B+/Negative||B+/Stable||52||Prolonged Operational Weakness||Yes|
|Aug. 25, 2020||Cemex Inc.||Construction Materials||BB/Negative||BB/Watch Neg||1||Persisting COVID-19 Risks||Yes|
|Aug. 25, 2020||Demire Deutsche Mittelstand Real Estate AG||Real Estate Management And Development||BB/Negative||BB/Stable||3||Planned Dividend Distribution||Yes|
|Aug. 26, 2020||Airxcel Inc.||Machinery||B-/Stable||B-/Watch Neg||2||COVID-19-Related recreational vehicle(RV) Demand||Yes|
|Aug. 28, 2020||Samsonite International S.A.||Textiles, Apparel And Luxury Goods||B/Negative||BB-/Negative||1||Weaker-Than-Expected Recovery||Yes|
|Sep. 1, 2020||The Knot Worldwide Inc.||Interactive Media And Services||B/Negative||B/Watch Neg||1||Disruption To Wedding Season||Yes|
|Sep. 3, 2020||Sappi Ltd.||Paper And Forest Products||BB-/Stable||BB/Negative||10||COVID-19 Stress||Yes|
|Sep. 3, 2020||Teva Pharmaceutical Industries Ltd.||Pharmaceuticals||BB-/Stable||BB/Watch Neg||11||Rising Litigation Risks||Yes|
|Sep. 4, 2020||Adient PLC||Auto Components||B+/Negative||B+/Watch Neg||14||Plant shutdowns arising from the COVID-19 pandemic||Yes|
|Sep. 4, 2020||Garrett Motion Inc.||Auto Components||B/Watch Neg||BB-/Negative||27||News Of Potential Balance Sheet Restructuring||Yes|
|Sep. 4, 2020||Ignition Topco BV||Chemicals||B-/Stable||B/Negative||33||Expected Weaker Earnings||Yes|
|Sep. 4, 2020||Siteone Landscape Supply, Inc.||Trading Companies And Distributors||BB-/Positive||BB-/Stable||1||Improved Leverage||Yes|
|Sep. 4, 2020||Trivium Packaging Finance B.V.||Containers And Packaging||B/Stable||B+/Stable||43||Higher-Than-Expected Leverage||Yes|
|Sep. 5, 2020||Cabot Financial Ltd.||Consumer Finance||BB-/Stable||BB-/Negative||45||Funding Structure Consolidation||Yes|
|Sep. 7, 2020||Global Blue Acquisition B.V.||Internet And Catalog Retail||NR||B/Watch Neg||38||Withdrawn At Company's Request||Yes|
|Sep. 9, 2020||Swissport Financing S.A R.L.||Capital Markets||SD||CCC/Watch Neg||14||Super Senior Secured Debt Issuance||Yes|
|Sep. 9, 2020||The Hut Group Ltd.||Internet And Catalog Retail||B-/Watch Pos||B-/Stable||61||Announced IPO And Prospects Of Debt Reduction||Yes|
|Sep. 10, 2020||Advantage Sales & Marketing Inc.||Media||CCC+/Watch Pos||CCC+/Watch Dev||3||Expected credit metric improvement from debt reduction||Yes|
|Sep. 10, 2020||Keter Group B.V.||Household Durables||B-/Stable||CCC+/Stable||39||Improved Cash Flow And Performance||Yes|
|Sep. 10, 2020||Selecta Group B.V.||Internet And Catalog Retail||CC/Watch Neg||CCC-/Watch Neg||12||Announced Distressed Exchange Offer||Yes|
|Sep. 11, 2020||Iqor Holdings Inc.||Commercial Services And Supplies||D||CC/Negative||2||Chapter 11 Filing Announcement||Yes|
|Sep. 11, 2020||Motion Midco Ltd||Hotels, Restaurants And Leisure||CCC+/Stable||B/Watch Neg||89||Expected Delayed Recovery||Yes|
|Sep. 11, 2020||Piolin Bidco S.A.U.||Hotels, Restaurants And Leisure||CCC+/Negative||B-/Watch Neg||84||Impact of COVID-19||Yes|
|Sep. 11, 2020||Rolls Royce PLC||Aerospace And Defense||BB-/Watch Neg||BB/Negative||2||Impact of COVID-19||No|
|Sep. 11, 2020||Station Casinos LLC||Hotels, Restaurants And Leisure||B+/Negative||B+/Watch Neg||1||Supporting good free operating cash flow and potential leverage improvement||Yes|
|Sep. 14, 2020||Cassini SAS||Media||CCC/Negative||B-/Watch Neg||44||Tight Liquidity After Show Postponements||Yes|
|Sep. 14, 2020||Maxeda Diy Group B.V.||Specialty Retail||CCC+/Watch Pos||CCC+/Negative||2||Reported robust earnings growth over the COVID-19 lockdown period||Yes|
|Sep. 15, 2020||Distribuidora Internacional De Alimentacion S.A.||Food And Staples Retailing||SD||CC/Negative||1||Debt Exchange Completion||Yes|
|Sep. 15, 2020||Europcar Mobility Group||Road And Rail||CC/Negative||CCC+/Negative||5||Intent To Restructure Debt||Yes|
|Sep. 15, 2020||Marcel Lux Iv Sarl||Software||B/Negative||B/Stable||38||Rancher Acquisition||Yes|
|Sep. 18, 2020||Coherent, Inc.||Semiconductors And Semiconductor Equipment||BB/Stable||BB+/Stable||35||Ongoing Performance Weakness||Yes|
|Sep. 18, 2020||GVC Holdings PLC||Hotels, Restaurants And Leisure||BB/Stable||BB/Positive||96||Expected Delay in Deleveraging||Yes|
|Sep. 21, 2020||International Game Technology PLC||Hotels, Restaurants and Leisure||BB/Negative||BB/Watch Neg||36||Better Results despite significant operating pressure from Pandemic||Yes|
|Sep. 23, 2020||Technicolor S.A.||Entertainment||SD||CC/Watch Neg||28||Completion of Debt-to-Equity Swap||Yes|
|Sep. 24, 2020||Garrett Motion Inc.||Auto Components||D/--||B/Watch Neg||26||Filing for bankruptcy protection under Chapter 11 of the U.S. Bankruptcy Code||Yes|
|Sep. 25, 2020||CHG PPC Parent LLC||Food Products||B/Stable||B-/Negative||28||Stronger-than-expected recovery in the foodservice business||Yes|
|Sep. 25, 2020||EasyJet PLC||Airlines||BBB-/Negative||BBB-/Watch Neg||5||Sharp Fall In Air Passenger Traffic Due To COVID-19||Yes|
|Performing Public Issuers Rated 'B-' Or Lower In European CLO Deals As Of Sept 25, 2020|
|Issuer||Issuer credit rating||Outlook/CreditWatch||GIC sector||Country||Principal funded balance (€)||Rank order|
|CAB||B-||Stable||Food And Staples Retailing||France||476,712,387||1|
|Sapphire Bidco B.V.||B-||Stable||Commercial services and supplies||Netherlands||278,691,036||2|
|Speedster Bidco Gmbh||B-||Stable||Internet and catalog retail||Germany||242,168,747||3|
|Rubix Group Finco Ltd.||B-||Negative||Trading companies and distributors||U.K.||227,025,029||4|
|Piolin Bidco S.A.U.||CCC+||Negative||Hotels, restaurants and leisure||Spain||221,090,671||5|
|IGT Holding IV AB||B-||Stable||Software||Sweden||217,462,117||6|
|Ammega Group B.V.||B-||Stable||Machinery||Netherlands||217,369,219||7|
|Sunshine Luxembourg Vii S.A R.L.||B-||Stable||Personal products||Switzerland||197,818,000||8|
|Bbd Bidco Ltd.||B-||Negative||Commercial services and supplies||U.K.||196,680,981||9|
|Tele Columbus AG||B-||Stable||Media||Germany||185,413,283||10|
|Solera Holdings Inc.||B-||Negative||Software||U.S.A.||184,563,816||11|
|International Park Holdings B.V.||B-||Negative||Hotels, restaurants and leisure||Spain||179,548,587||12|
|Kloeckner Pentaplast Of America Inc.||B-||Negative||Containers and packaging||U.S.A.||172,002,547||13|
|Perstorp Holding Ab (Publ)||B-||Negative||Chemicals||Sweden||169,558,623||14|
|Coty Inc.||B-||Stable||Personal products||U.S.A.||169,280,750||15|
|Antigua Bidco Ltd||B-||Stable||Pharmaceuticals||U.K.||168,262,444||16|
|Breitling Financing S.A R.L.||B-||Stable||Textiles, apparel and luxury goods||Switzerland||157,010,064||17|
|Hurtigruten Group AS||CCC+||Negative||Marine||Norway||150,241,631||18|
|Informatica LLC||B-||Stable||It services||U.S.A.||149,086,632||19|
|Lernen Bidco Ltd.||B-||Stable||Diversified consumer services||U.K.||143,931,989||20|
|Diamond (Bc) B.V.||CCC+||Negative||Household products||Netherlands||142,069,603||21|
|Awaze Ltd.||B-||Negative||Hotels, restaurants and leisure||U.K.||119,649,568||22|
|Aenova Holding Gmbh||B-||Stable||Pharmaceuticals||Germany||118,960,000||23|
|Keter Group B.V.||B-||Stable||Household durables||Netherlands||116,920,425||24|
|Gamma Infrastructure Iii Bv||B-||Stable||Diversified telecommunication services||Netherlands||114,163,946||25|
|Dexko Global Inc.||B-||Negative||Auto components||U.S.A.||113,846,135||26|
|L1R Hb Finance Ltd||CCC+||Stable||Specialty retail||U.K.||105,315,141||28|
|Saphilux S.A.R.L.||B-||Stable||Capital markets||Luxembourg||104,354,384||29|
|Diebold Nixdorf Inc.||B-||Stable||Technology hardware, storage and peripherals||U.S.A.||101,976,232||30|
|Promotora De Informaciones S.A.||CCC+||Negative||Media||Spain||101,115,419||31|
|Vue International Bidco Plc||B-||Negative||Entertainment||U.K.||98,397,737||32|
|Excelitas Technologies Corp.||B-||Stable||Electronic equipment, instruments and components||U.S.A.||95,036,788||33|
|Haya Real Estate S.A.U||B-||Negative||Real estate management and development||Spain||87,523,000||34|
|Centrient Holding B.V.||B-||Stable||Pharmaceuticals||Netherlands||87,303,866||35|
|Asp Unifrax Holdings, Inc.||CCC+||Negative||Trading companies and distributors||U.S.A.||85,575,403||36|
|Ghd Verwaltung Gesundheits Gmbh Deutschland Gmbh||B-||Stable||Health care equipment and supplies||Germany||82,423,000||37|
|Deerfield Dakota Holding Llc||B-||Stable||Professional services||U.S.A.||80,986,000||38|
|Aruba Investments Inc.||B-||Stable||Chemicals||U.S.A.||79,256,515||39|
|Everest Bidco SAS||B-||Stable||Electronic equipment, instruments and components||France||78,905,565||40|
|Faerch Bidco Aps||B-||Stable||Containers and packaging||Denmark||77,505,180||41|
|Getty Images Inc.||B-||Negative||Interactive media and services||U.S.A.||62,015,220||43|
|Vincent Bidco Bv (Nl)||B-||Stable||Commercial services and supplies||Netherlands||55,605,000||45|
|Rodenstock Gmbh||B-||Stable||Health care equipment and supplies||Germany||46,619,701||46|
|Promontoria Holding 264 B.V.||B-||Negative||Air freight and logistics||Netherlands||43,889,000||47|
|Capri Acquisitions Bidco Limited||B-||Stable||Professional services||U.K.||39,947,393||48|
|Trident Tpi Holdings, Inc.||B-||Negative||Containers and packaging||U.S.A.||39,737,379||49|
|Phm Netherlands Midco B.V.||B-||Stable||Chemicals||Netherlands||31,161,900||50|
|Advanz Pharma Corp||B-||Stable||Pharmaceuticals||Canada||30,165,870||51|
|Flint Holdco S.A R.L.||CCC+||Negative||Commercial services and supplies||Luxembourg||30,015,283||52|
|Naviera Armas, S.A.||B-||Negative||Marine||Spain||28,227,000||53|
|Foodco Bondco SAU||CCC-||Negative||Hotels, restaurants and leisure||Spain||27,668,000||54|
|Catluxe Sarl||CCC+||Negative||Textiles, apparel and luxury goods||Luxembourg||26,500,000||55|
|Grupo Antolin Irausa Sa||B-||Negative||Auto components||Spain||26,090,000||56|
|Mangrove Luxco Iii Sarl||B-||Stable||Machinery||Luxembourg||24,714,870||57|
|Lima Corporate S.P.A.||B-||Stable||Health care equipment and supplies||Italy||24,645,000||58|
|Monitchem Holdco 2 S.A.||B-||Stable||Chemicals||Luxembourg||23,308,000||59|
|Veritas Bermuda Ltd.||B-||Negative||Software||Bermuda||19,887,000||60|
|Comet Bidco Limited||CCC+||Negative||Media||U.K.||14,579,360||62|
|Diaverum Holding Sarl||B-||Stable||Health care providers and services||Luxembourg||13,000,000||63|
|Marcolin SpA||B-||Negative||Health care equipment and supplies||Italy||12,821,000||64|
|Burger King France SAS||B-||Negative||Hotels, restaurants and leisure||France||9,900,000||65|
|Pro.Gest SpA||CCC+||Negative||Containers and packaging||Italy||8,200,000||67|
|Advantage Sales & Marketing Inc.||CCC+||Positive||Media||U.S.A.||7,474,641||68|
|Werner FinCo LP||B-||Negative||Commercial services and supplies||U.S.A.||7,340,903||69|
|Edreams Odigeo S.A.||B-||Negative||Internet and catalog retail||Luxembourg||6,500,000||70|
|Brand Industrial Services, Inc.||B-||Negative||Construction and engineering||U.S.A.||6,458,303||71|
|U.S. Renal Care Inc.||B-||Stable||Health care providers and services||U.S.A.||6,283,613||72|
|Holley Purchaser, Inc.||B-||Stable||Auto components||U.S.A.||6,238,457||73|
|Air Methods Corporation||B-||Stable||Health care providers and services||U.S.A.||6,057,198||74|
|Envision Healthcare Corp.||CCC||Negative||Health care providers and services||U.S.A.||5,821,008||75|
|Sgl Carbon SE||CCC+||Stable||Electrical equipment||Germany||5,810,000||76|
|Schoeller Packaging B.V.||B-||Negative||Containers and packaging||Netherlands||5,000,000||77|
|Citgo Petroleum Corp.||B-||Stable||Oil, gas and consumable fuels||U.S.A.||4,986,751||78|
|Mohegan Tribal Gaming Authority||CCC+||Negative||Hotels, restaurants and leisure||U.S.A.||4,937,483||79|
|Groupe Ecore Holding||CCC+||Stable||Commercial services and supplies||France||4,400,000||80|
|Titlemax Finance Corp||B-||Stable||Consumer finance||U.S.A.||4,228,196||81|
|Team Health Holdings, Inc.||B-||Negative||Health care providers and services||U.S.A.||3,847,823||82|
|Option Care Health Inc.||B-||Positive||Health care providers and services||U.S.A.||3,790,070||83|
|Shearer'S Foods, Inc.||B-||Stable||Food products||U.S.A.||3,648,306||84|
|Jazz Acquisition Inc.||B-||Negative||Aerospace and defense||U.S.A.||3,488,304||85|
|Downstream Development Authority||CCC||Negative||Hotels, restaurants and leisure||U.S.A.||3,380,995||86|
|Ht Troplast Gmbh||B-||Stable||Chemicals||Germany||3,000,000||87|
|Amc Entertainment Holdings Inc.||CCC+||Negative||Entertainment||U.S.A.||2,627,050||88|
|First American Payment Systems LP||B-||Negative||It services||U.S.A.||2,530,575||89|
|Transportes Aereos Portugueses, S.A.||B-||Negative||Airlines||Portugal||2,500,000||90|
|Qualtek Usa, LLC||B-||Negative||Construction and engineering||U.S.A.||2,488,131||91|
|Zephyr Midco 2 Ltd.||B-||Stable||Interactive media and services||U.K.||2,270,700||92|
|Raffinerie Heide Gmbh||CCC+||Stable||Oil, gas and consumable fuels||Germany||2,250,000||93|
|Minotaur Acquisition, Inc.||B-||Stable||Capital markets||U.S.A.||2,027,758||94|
|Kirk Beauty One Gmbh||CCC+||Negative||Specialty retail||Germany||1,943,000||95|
|Pregis Topco Corporation||B-||Negative||Containers and packaging||U.S.A.||1,691,278||96|
|Southern Graphics Inc.||CCC+||Negative||Commercial services and supplies||U.S.A.||1,688,000||97|
|Lago Resort & Casino||CCC||Negative||Hotels, restaurants and leisure||U.S.A.||1,660,169||98|
|Nordex Se||B-||Stable||Electrical equipment||Germany||1,600,000||99|
|Safety Products/Jhc Acquisition Corp.||B-||Negative||Metals and mining||U.S.A.||1,252,757||100|
|Forming Machining Industries Holdings, LLC||CCC+||Negative||Aerospace and defense||U.S.A.||1,248,076||101|
|Wireco Worldgroup Inc.||B-||Negative||Metals and mining||U.S.A.||1,207,274||102|
|Dynasty Acquisition Co., Inc.||B-||Negative||Aerospace and defense||U.S.A.||877,515||103|
|Lsf9 Balta Issuer S.A.||B-||Negative||Household durables||Belgium||810,000||104|
|Belk, Inc.||CCC||Negative||Multiline Retail||U.S.A.||639,514||106|
|NA Rail Hold Co LLC||B-||Stable||Transportation infrastructure||U.S.A.||420,389||107|
|Viskase Companies Inc.||CCC||Negative||Containers and packaging||U.S.A.||339,927||108|
- Credit Conditions Europe: Ill-Prepared For Winter, Sept. 29, 2020
- Barings Euro CLO 2020-1 DAC European Cash Flow Notes Assigned Preliminary Ratings, Sept. 29, 2020
- CVC Cordatus Loan Fund XVIII DAC European Cash Flow CLO Notes Assigned Preliminary Ratings, Sept. 29, 2020
- Deer Park CLO DAC European Cash Flow Notes Assigned Ratings, Sept. 17, 2020
- Ratings On Five Classes From Two European CLOs Placed On CreditWatch Negative, Sept. 15, 2020
- 2019 Annual Global Leveraged Loan CLO Default And Rating Transition Study, Sept. 2, 2020
- How the European CLO Market Has Developed Over 180 Days Of COVID-19, Sept. 2, 2020
- CLO Portfolio Overlap: European Managers May Look Beyond Their First Choice Of Assets In The COVID-19 Era, Sept. 1, 2020
- RRE 4 Loan Management European Cash Flow CLO Notes Assigned Ratings, Aug. 27, 2020
- Ratings Recap Of August 2020 European CLO CreditWatch Resolutions, Aug. 18, 2020
- Credit And Economic Deterioration Signals A Rising European Speculative-Grade Default Rate Despite Market Optimism, Aug. 18, 2020
- Ratings On Nine Classes From Seven European CLOs Placed On Watch Negative, July 24, 2020
- Ratings Recap Of July 2020 European CLO CreditWatch Resolutions, July 14, 2020
- European CLOs: The True Impact Of ‘CCC’ Assets On Overcollateralization Ratios, July 9, 2020
- Ratings On Seven Classes From Six European CLOs Placed On Watch Negative, June 9, 2020
- Acosta Inc.’s Modern Day Bankruptcy: A CLO-Distressed Funds Clash, May 7, 2020
- How COVID-19 Changed The European CLO Market In 60 Days, May 6, 2020
- Ratings On 18 Classes From 14 European CLOs Placed On Watch Negative, April 27, 2020
- Redesigning The CLO Blueprint After COVID-19, April 21, 2020
- Europe Braces For A Deeper Recession In 2020, April 20, 2020
- S&P Global Ratings May Add Additional Qualitative Factors When Rating CLO Tranches Due To Changing Credit Dynamics, April 9, 2020
- How Credit Distress Due To COVID-19 Could Affect European CLO Ratings, April 2, 2020
- European CLOs: Assessing The Credit Effects Of COVID-19, March 25, 2020
- Glossary Of Cash Flow CLO Performance Index Fields, Jan. 30, 2009
The author would also like to thank Harshala Koyande, and Sagar Shinde for their help with this report.
This report does not constitute a rating action.
|Primary Credit Analyst:||Rebecca Mun, London (44) 20-7176-3613;|
|Secondary Contacts:||Shane Ryan, London + 44 20 7176 3461;|
|Emanuele Tamburrano, London (44) 20-7176-3825;|
|Research Contributor:||Shubham Verma, CRISIL Global Analytical Center, an S&P Global Ratings affiliate, Mumbai|
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