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

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

S&P Global Ratings is publishing its updated performance benchmarks under its non-model Monitor framework for rated collateralized loan obligation (CLO) transactions (see "S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version," published June 21, 2019). The performance benchmarks provide 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 non-model Monitor's benchmarks.

Chart 1

image

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

Non-Model Monitor Benchmarks

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

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

Table 1

Average Third-Quarter 2020 Metrics For Reinvesting BSL CLOs
WAL (years) DRD ODM IDM RDM SPWARF
European CLOs 4.97 652 111.25 20.56 1.30 2889
U.S. CLOs 4.78 852 198.71 24.12 1.18 2767
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. SPWARF--S&P Global 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.

U.S. CLO metrics

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

Table 2

Third-Quarter 2020 Metrics For U.S. CLOs Rated By S&P Global Ratings
Transaction WAL (years) DRD ODM IDM RDM SPWARF Reinvesting

Golub Capital BDC CLO 2014 LLC

2.32 846 32.86 9.21 1.00 4102 N

Atlas Senior Loan Fund V, Ltd.

4.89 995 166.20 27.13 1.13 2595 Y

ACIS CLO 2014-4 Ltd

2.89 965 42.71 16.85 1.12 3249 N

Benefit Street Partners CLO IV, Ltd.

4.53 848 274.55 26.89 1.15 2718 Y

BlueMountain CLO 2014-2 Ltd.

4.93 841 238.45 28.09 1.24 2857 Y

LCM XVI Limited Partnership

4.47 872 257.82 25.61 1.11 2611 Y

CIFC Funding 2014-III, Ltd.

4.75 842 224.18 21.96 1.15 2742 Y

Peaks CLO 1, Ltd.

4.47 767 122.66 20.69 1.02 3265 Y

OCP CLO 2014-6, Ltd. 2014-6

4.71 907 218.75 27.18 1.27 2729 Y

Neuberger Berman CLO XVII, Ltd.

4.61 813 182.88 23.64 1.29 2720 Y

Cent CLO 21 Limited

4.66 953 238.94 23.34 1.17 2596 Y

Trinitas CLO II, Ltd.

3.23 1074 49.23 14.51 1.20 2681 N

MidOcean Credit CLO III

4.77 868 133.49 23.62 1.18 2959 Y

HPS Loan Management 4-2014, Ltd.

4.66 891 167.42 26.52 1.14 2698 Y

Blue Ridge CLO Ltd. II

3.13 1050 59.07 18.10 1.12 2756 N

OFSI Fund VII, Ltd.

3.05 887 63.16 16.77 1.14 3084 N

Monroe Capital CLO 2014-1, Ltd.

3.22 768 52.99 23.08 1.03 3907 N

Black Diamond CLO 2014-1 Ltd.

2.93 1060 54.04 19.38 1.26 3231 N

Catamaran CLO 2014-2 Ltd.

3.29 974 84.71 21.78 1.28 2971 N

LCM XVII Limited Partnership

4.44 840 226.44 25.27 1.10 2714 Y

Mountain View CLO 2014-1 Ltd.

3.42 985 65.27 18.49 1.38 2466 N

Halcyon Loan Advisors Funding 2014-3 Ltd.

3.18 1098 67.68 20.54 1.18 3079 N

ACIS CLO 2014-5 Ltd.

3.05 917 52.90 17.72 1.11 3220 N

Ivy Hill Middle Market Credit Fund IX, Ltd.

3.95 678 101.01 19.68 1.03 3722 Y

BNPP IP CLO 2014-II, Ltd.

2.70 1072 60.30 21.37 1.08 3663 N

Flagship CLO VIII Ltd

3.33 1047 93.55 27.16 1.20 2984 N

OCP CLO 2014-7, Ltd.

4.62 910 206.84 26.97 1.28 2775 Y

MCF CLO IV LLC

3.40 590 108.41 18.25 1.00 3907 Y

Hull Street CLO Ltd

2.94 1036 59.93 19.67 1.12 3181 N

Marathon CLO VII Ltd.

3.08 1083 65.39 19.07 1.22 3413 N

Telos CLO 2014-6, Ltd.

3.81 881 60.25 17.21 1.07 3125 N

Dryden 36 Senior Loan Fund

4.73 964 292.12 26.67 1.14 2663 Y

Octagon Investment Partners XXII, Ltd.

4.86 915 207.02 23.16 1.20 2656 Y

Ocean Trails CLO V

4.33 963 192.72 27.21 1.22 2784 Y

Golub Capital Partners CLO 21(M)-R, Ltd.

3.30 841 79.09 9.73 1.00 4246 Y

Figueroa CLO 2014-1, Ltd.

3.69 831 86.39 17.47 1.21 3193 N

Neuberger Berman CLO XVIII Ltd.

4.58 800 178.75 24.23 1.28 2751 Y

KKR CLO 10 Ltd.

4.57 974 179.69 26.12 1.15 2808 Y

Bowman Park CLO Ltd.

3.31 892 93.38 18.07 1.14 3110 N

HPS Loan Management 5-2015, Ltd.

4.52 860 155.38 25.19 1.17 2740 Y

Madison Park Funding XV, Ltd.

3.58 905 108.67 23.58 1.30 3145 N

Signal Peak CLO 1, Ltd.

4.45 865 211.81 22.45 1.16 2676 Y

Wind River 2014-3 CLO Ltd.

4.66 813 142.51 20.68 1.19 2987 Y

Galaxy XIX CLO Ltd

4.74 884 196.33 25.45 1.29 2786 Y

NewStar Exeter Fund CLO LLC

3.18 619 49.30 20.09 1.00 3874 N

MidOcean Credit CLO IV

2.94 1052 53.26 20.10 1.06 2933 N

BlueMountain CLO 2015-1 Ltd.

3.46 947 102.68 19.62 1.22 2881 N

LCM XVIII Limited Partnership

4.44 865 248.03 26.05 1.10 2639 Y

Madison Park Funding XVI, Ltd.

3.69 897 119.40 24.03 1.35 2967 N

Benefit Street Partners CLO VI Ltd.

4.65 861 282.49 25.57 1.15 2760 Y

ACIS CLO 2015-6 Ltd.

3.24 1016 60.86 18.39 1.10 3067 N

Signal Peak CLO 2, LLC

4.49 844 216.46 21.72 1.15 2743 Y

Venture XX CLO, Limited

4.09 955 336.77 27.05 1.16 2833 N

Fortress Credit Opportunities VI CLO Limited

3.48 969 48.57 12.26 1.04 3898 Y

GREYWOLF CLO V LTD

5.06 858 135.03 26.33 1.19 2865 Y

JFIN CLO 2015 Ltd. 2015

3.64 1019 137.22 20.33 1.09 2965 N

Elevation CLO 2015-4, Ltd.

3.48 968 98.79 14.83 1.07 2993 N

Golub Capital Partners CLO 24 (M)-R Ltd.

3.31 829 70.69 10.97 1.00 4240 Y

Catamaran CLO 2015-1 Ltd

3.60 1040 116.62 22.14 1.24 2977 N

OCP CLO 2015-8, Ltd.

3.42 870 100.45 26.23 1.29 2935 N

Palmer Square CLO 2015-1 Ltd

4.71 884 243.13 20.24 1.12 2662 Y

Stewart Park CLO Ltd.

4.62 886 233.22 21.85 1.20 2704 Y

NXT Capital CLO 2015-1 LLC

2.82 605 52.21 15.28 1.00 3927 N

Allegro CLO III, Ltd.

3.54 819 114.13 22.58 1.25 3344 N

BlueMountain CLO 2015-2 Ltd.

4.75 890 228.41 25.00 1.19 2932 N

Venture XXI CLO, Limited

4.21 995 355.64 28.01 1.17 2751 N

Z Capital Credit Partners CLO 2015-1 Ltd.

3.41 941 75.26 24.09 1.17 3013 N

OCP CLO 2015-9 Ltd

3.43 899 100.57 27.03 1.29 2770 N

Cathedral Lake II, Ltd.

4.56 765 110.44 21.43 1.16 2775 Y

LCM XIX Limited Partnership

4.38 868 237.25 25.77 1.10 2653 N

Benefit Street Partners CLO VII, Ltd.

3.56 879 169.84 26.06 1.13 2896 N

Ivy Hill Middle Market Credit Fund X Ltd

4.02 715 109.18 19.50 1.02 3766 Y

Cumberland Park CLO, Ltd.

4.30 834 209.51 20.99 1.18 2826 N

ARES XXXIV CLO Ltd.

4.65 784 211.99 20.43 1.21 2939 N

Golub Capital Partners CLO 25(M)-R, Ltd.

3.36 753 64.82 8.63 1.00 4081 Y

Mountain View CLO X, Ltd.

3.58 978 96.78 24.97 1.29 2427 N

Cent CLO 24 Limited

4.03 937 211.57 24.57 1.18 2613 N

Oaktree CLO 2015-1 Ltd

4.17 971 160.45 26.21 1.10 2712 N

Madison Park Funding XVIII, Ltd.

4.64 882 234.55 23.16 1.28 2981 Y

Anchorage Capital CLO 7, Ltd

4.61 738 112.49 24.68 1.22 3159 N

Shackleton 2015-VIII CLO, Ltd.

4.20 852 163.10 26.15 1.22 2828 N

BlueMountain CLO 2015-3 Ltd

4.92 867 232.49 26.23 1.17 2848 Y

Apex Credit CLO 2015-II Ltd.

4.12 1038 187.57 25.14 1.20 3114 N

Octagon Investment Partners 25 LTD

3.43 900 113.79 22.00 1.13 2785 N

OCP CLO 2015-10, Ltd.

3.61 959 116.87 28.36 1.27 2767 N

Fortress Credit BSL III Limited

4.41 758 117.64 22.15 1.11 3052 Y

Madison Park Funding XLI Ltd

4.25 896 212.02 25.38 1.30 2919 N

Eaton Vance CLO 2015-1, Ltd.

4.69 907 219.04 25.10 1.17 2672 Y

LCM XX Limited Partnership

4.36 849 228.70 25.22 1.10 2700 Y

HPS Loan Management 7-2015, Ltd.

4.41 881 157.99 25.14 1.09 2711 N

Cathedral Lake III, Ltd.

4.59 781 111.65 21.21 1.14 2782 Y

Benefit Street Partners CLO VIII Ltd

4.66 856 286.78 26.09 1.16 2739 Y

Ares XXXVIII CLO Ltd.

4.74 780 226.30 20.20 1.21 2977 Y

Apidos CLO XXIII

4.38 893 203.05 27.94 1.19 2572 Y

OHA Credit Partners XII, Ltd.

4.78 831 157.92 25.09 1.20 2865 Y

BlueMountain CLO 2015-4 Ltd.

4.86 909 236.36 25.53 1.19 2898 Y

Webster Park CLO, Ltd.

4.58 912 211.94 20.75 1.17 2769 Y

Barings CLO Ltd. 2016-I

4.63 931 172.50 26.57 1.16 2767 Y

Voya CLO 2016-1Ltd

4.76 909 316.39 23.46 1.15 2658 Y

Neuberger Berman CLO XXI, Ltd

4.47 824 171.61 25.11 1.28 2729 N

Madison Park Funding XX Ltd

4.67 868 225.19 23.30 1.26 2958 Y

HPS Loan Management 8-2016, Ltd.

4.60 869 172.89 24.78 1.14 2731 Y

Carlyle Global Market Strategies CLO 2016-1, Ltd.

4.68 915 217.42 30.44 1.17 2768 Y

Octagon Investment Partners 26, Ltd.

4.90 920 204.47 23.21 1.21 2659 Y

LCM XXI Limited Partnership

4.15 779 185.15 24.80 1.11 2784 Y

BlueMountain CLO 2016-1 Ltd

4.44 925 220.10 27.02 1.21 2943 Y

OCP CLO 2016-11, Ltd.

4.71 915 213.42 26.88 1.26 2798 Y

Dryden 42 Senior Loan Fund

4.73 957 285.07 26.43 1.14 2657 Y

Golub Capital Partners CLO 31(M)-R, Ltd.

3.55 763 75.38 10.76 1.00 4133 Y

Carlyle Global Market Strategies CLO 2016-2, Ltd.

4.70 881 236.19 30.18 1.18 2735 Y

HPS Loan Management 9-2016, Ltd.

4.61 928 179.09 26.02 1.15 2652 Y

Black Diamond CLO 2016-1, Ltd

4.57 862 162.92 23.27 1.18 2923 Y

Trinitas CLO IV, Ltd.

4.62 819 170.11 18.50 1.07 2779 Y

Cedar Funding V CLO Ltd

4.50 864 205.49 27.83 1.12 2703 Y

Newfleet CLO 2016-1 Ltd.

4.30 919 144.73 27.04 1.16 2659 N

Octagon Investment Partners 27, Ltd.

4.91 938 194.45 23.87 1.23 2644 Y

TIAA CLO I Ltd.

4.69 939 163.86 28.10 1.15 2659 Y

ALM XVIII, Ltd.

4.46 849 100.43 20.08 1.31 2884 Y

Galaxy XXII CLO, LTD

4.72 920 209.72 28.59 1.23 2648 N

Benefit Street Partners CLO IX, Ltd.

4.68 836 276.97 27.11 1.18 2767 Y

GoldenTree Loan Opportunities XII, Limited

4.71 843 132.18 25.52 1.26 2621 Y

Apidos CLO XXIV

4.50 891 207.89 27.90 1.20 2640 Y

Park Avenue Institutional Advisers CLO Ltd. 2016-1

4.63 794 137.70 24.04 1.06 2791 Y

BlueMountain CLO 2016-2 Ltd

4.86 904 244.37 25.99 1.17 2949 Y

Signal Peak CLO 3, Ltd.

4.53 840 224.18 21.74 1.14 2741 Y

Trinitas CLO V, Ltd.

4.52 809 172.32 19.13 1.07 2751 Y

Neuberger Berman CLO XXll Ltd.

4.56 793 181.14 24.38 1.28 2760 Y

Jay Park CLO, Ltd.

4.52 893 208.09 21.04 1.19 2735 Y

Octagon Investment Partners 28 Ltd

4.83 916 216.12 21.97 1.19 2610 Y

LCM XXII Ltd.

4.42 808 217.50 24.77 1.10 2741 Y

OCP CLO 2016-12, Ltd.

4.58 868 211.90 27.75 1.28 2794 Y

Voya CLO 2016-3, Ltd.

4.77 895 315.84 22.98 1.16 2674 Y

Garrison Funding 2018-2 Ltd.

3.80 562 58.22 19.74 1.02 3643 Y

Cathedral Lake IV, Ltd.

4.55 792 112.36 22.05 1.15 2755 Y

BlueMountain CLO 2016-3 Ltd.

4.85 890 227.81 25.78 1.17 2881 Y

AMMC CLO 19, Limited

4.29 926 317.29 29.05 1.14 2767 Y

Shackleton 2016-IX CLO, Ltd.

4.63 821 191.69 26.11 1.21 2821 Y

Cedar Funding VI CLO, Ltd.

4.44 865 211.26 27.83 1.11 2718 Y

Neuberger Berman CLO XXIII, Ltd.

4.55 823 177.89 24.35 1.27 2722 Y

Carlyle US CLO 2016-4, Ltd.

4.82 928 237.17 29.76 1.20 2729 Y

OHA Loan Funding 2016-1, Ltd.

4.80 850 154.15 24.77 1.22 2877 Y

Grayson CLO Ltd

1.01 627 2.53 2.53 1.00 5370 N

Brentwood CLO Ltd

0.97 648 4.10 4.09 1.00 5353 N

Eastland CLO Ltd

1.01 714 2.74 2.72 1.00 5298 N

Madison Park Funding XXVI, Ltd.

4.68 912 218.85 23.82 1.29 3027 Y

Westchester CLO Ltd

1.15 972 3.16 3.14 1.00 5005 N

Greenbriar CLO Ltd

0.81 0 2.87 2.87 1.00 5751 N

Cedar Funding II CLO Ltd

4.56 885 202.26 26.60 1.09 2717 Y

Benefit Street Partners CLO III, Ltd.

4.70 862 274.01 26.61 1.15 2717 Y

Flagship VII LTD

2.58 1063 41.59 14.51 1.16 3341 N

Cedar Funding IV CLO, Ltd.

4.58 880 215.70 26.83 1.10 2714 Y

Palmer Square CLO 2015-2 Ltd

4.69 892 236.45 20.65 1.12 2652 Y

Madison Park Funding XXIII, Ltd.

4.59 890 227.84 23.82 1.28 3000 Y

Atlas Senior Loan Fund XII, Ltd.

5.00 968 174.57 27.65 1.14 2615 Y

Diamond CLO 2019-1 Ltd.

3.78 609 62.26 24.02 1.11 3548 Y

CIFC Funding 2019-IV, Ltd.

5.00 730 205.09 22.07 1.10 2765 Y

Guggenheim CLO 2019-1 Ltd.

5.18 920 133.53 25.64 1.18 2750 Y

California Street CLO IX Limited Partnership

4.71 841 190.27 22.45 1.15 2863 N

OZLM Funding Ltd

4.75 1087 181.48 27.32 1.27 2657 Y

JFIN CLO 2012 Ltd.

4.31 1030 148.25 19.98 1.18 2917 N

Halcyon Loan Advisors Funding 2012-1 Ltd.

2.07 1455 9.32 7.58 1.00 3413 N

Carlyle Global Market Strategies CLO 2012-3 Ltd.

4.85 923 255.69 28.20 1.19 2698 Y

OZLM Funding II, Ltd.

4.73 1068 184.68 27.27 1.30 2675 Y

ALM VII, Ltd.

4.55 877 128.05 21.38 1.24 2876 Y

AMMC CLO XI, Limited

4.40 968 296.47 29.83 1.13 2711 Y

BlueMountain CLO 2012-2 Ltd

4.94 884 246.90 24.45 1.17 2939 Y

OHA Credit Partners VII, Ltd.

4.63 891 134.23 24.08 1.16 2815 Y

Octagon Investment Partners XIV Ltd.

4.89 928 201.86 23.79 1.20 2639 Y

Voya CLO 2012-4, Ltd.

4.73 876 327.06 22.45 1.14 2761 Y

Dryden XXV Senior Loan Fund

4.31 969 268.55 26.37 1.15 2740 N

Wind River 2012-1 CLO Ltd.

3.29 823 68.44 19.85 1.18 3094 N

Carlyle Global Market Strategies CLO 2012-4, LTD

4.87 920 253.19 28.95 1.20 2691 Y

Venture XII CLO, Ltd

3.93 942 305.77 27.29 1.17 2916 N

Madison Park Funding X, Ltd.

4.63 890 230.03 24.54 1.27 2945 Y

Magnetite VII, Ltd.

4.91 920 217.08 27.33 1.15 2639 Y

Apidos CLO XI

4.48 894 198.27 29.12 1.19 2629 Y

MidOcean Credit CLO I

2.64 1080 33.60 16.03 1.10 2977 N

Madison Park Funding XL Ltd

4.65 901 235.65 25.90 1.26 2914 Y

OZLM Funding III, Ltd.

4.43 1042 186.29 28.26 1.28 2676 Y

LCM XIII Limited Partnership

4.40 833 224.42 24.82 1.10 2703 Y

Longfellow Place CLO, Ltd.

4.50 855 139.88 25.33 1.13 2923 Y

Carlyle C17 CLO, Ltd.

4.90 884 214.71 31.01 1.21 2732 Y

Marathon CLO V Ltd.

3.79 930 145.87 25.31 1.25 3251 N

Race Point VIII CLO, Limited

4.92 824 266.70 23.38 1.24 2829 Y

Octagon Investment Partners XV, Ltd.

4.86 910 231.14 23.85 1.20 2655 Y

Regatta II Funding L.P.

4.82 808 229.69 20.82 1.17 2703 Y

Jamestown CLO II Ltd

4.56 875 166.62 28.46 1.22 2782 N

KVK CLO 2013-1 Ltd.

4.05 920 128.79 21.68 1.13 3045 N

CFIP CLO 2013-1, Ltd

4.44 796 134.88 21.49 1.15 2711 Y

Sound Point CLO II, Ltd.

4.95 915 203.26 23.33 1.18 2692 Y

Voya CLO 2018-3, Ltd.

4.79 903 318.08 21.58 1.13 2746 Y

Madison Park Funding XXIX, Ltd.

4.74 886 236.25 22.31 1.27 3020 Y

CIFC Funding 2014-V, Ltd.

4.73 845 227.81 23.07 1.16 2799 Y

BlueMountain CLO 2018-3 Ltd.

4.86 863 241.83 26.08 1.17 3009 Y

GoldenTree Loan Opportunities IX, Limited

4.64 808 128.55 26.84 1.29 2688 Y

LCM 28 Ltd.

4.39 767 211.80 24.35 1.09 2771 Y

Park Avenue Institutional Advisers CLO Ltd 2018-1

4.65 798 138.21 23.13 1.07 2756 Y

Golub Capital Partners CLO 39(B), Ltd.

4.62 861 168.18 16.24 1.07 3075 Y

Oaktree CLO 2018-1 Ltd.

4.87 986 209.34 27.19 1.15 2721 Y

TIAA Churchill Middle Market CLO I Ltd.

3.89 649 60.47 17.38 1.00 3924 Y

Greywolf CLO III, Ltd. (Re-issue)

5.08 813 134.57 27.44 1.21 2870 Y

Wind River 2018-3 CLO Ltd.

4.84 752 191.04 22.45 1.18 2838 Y

Tralee CLO V, Ltd.

4.19 888 162.67 24.05 1.09 2779 Y

Columbia Cent CLO 27 Limited

4.59 960 235.88 23.63 1.17 2599 Y

BlueMountain CLO XXIII Ltd.

5.04 852 219.33 25.94 1.17 2908 Y

CIFC Funding 2014-IV-R, Ltd.

4.75 867 230.86 22.71 1.14 2700 Y

Madison Park Funding XXXI, Ltd.

4.70 871 233.42 22.25 1.26 3040 Y

Columbia Cent CLO 28 Limited

4.69 955 232.80 23.47 1.17 2576 Y

OHA Credit Partners XI, Ltd.

4.85 870 153.20 23.94 1.20 2850 Y

Madison Park Funding XLIV Ltd

4.60 886 241.18 22.95 1.29 2972 Y

Harbor Park CLO, Ltd.

4.78 840 217.15 18.69 1.15 2769 Y

Halcyon Loan Advisors Funding 2018-2 Ltd.

4.89 894 191.06 26.30 1.35 2570 Y

Voya CLO 2015-3, Ltd.

4.71 903 316.85 23.38 1.15 2717 Y

Golub Capital BDC CLO III LLC

2.98 713 57.72 6.92 1.00 4082 Y

OHA Credit Partners X-R, Ltd.

4.76 872 149.28 25.62 1.24 2855 Y

Guggenheim MM CLO 2018-1 Ltd.

4.04 680 59.46 17.47 1.12 3664 Y

Barings Middle Market CLO Ltd. 2018-I

3.88 598 55.58 22.71 1.03 3838 Y

GCIC CLO II LLC

3.06 717 76.69 7.83 1.00 4114 Y

Crown Point CLO 6 Ltd.

4.46 1021 150.62 27.37 1.14 2765 Y

Antares CLO 2018-3 Ltd.

3.66 374 131.98 22.42 1.01 3704 Y

Golub Capital Partners CLO 33 (M), Ltd.

3.59 636 59.19 9.42 1.00 4025 Y

Peaks CLO 3, Ltd.

4.63 690 134.50 20.06 1.01 3145 Y

Neuberger Berman Loan Advisers CLO 30, Ltd.

4.72 774 178.05 25.70 1.25 2781 Y

Dryden 70 CLO, Ltd.

4.86 934 291.33 26.15 1.15 2666 Y

Voya CLO 2018-4, Ltd.

4.81 869 284.64 20.76 1.11 2722 Y

Madison Park Funding XXXII, Ltd.

4.75 868 223.42 21.43 1.29 3008 Y

TIAA CLO IV Ltd.

4.79 933 161.83 26.73 1.16 2665 Y

Deerpath Capital CLO 2018-1 Ltd.

3.23 515 43.66 10.64 1.00 3841 Y

Symphony CLO XV, Ltd.

4.64 879 197.82 22.62 1.14 2748 Y

Ares LI CLO Ltd.

4.80 728 203.74 19.72 1.24 2961 Y

GoldenTree Loan Management US CLO 4, Ltd.

4.84 834 131.81 24.70 1.27 2705 Y

AIG CLO 2018-1, Ltd.

4.79 689 188.12 24.24 1.17 2800 Y

Neuberger Berman Loan Advisers CLO 32, Ltd.

4.79 762 191.35 25.67 1.23 2744 Y

Buckhorn Park CLO, Ltd.

4.75 802 174.16 20.35 1.12 2776 Y

BlueMountain CLO XXIV Ltd.

5.08 795 216.06 24.40 1.17 2867 Y

Barings CLO Ltd. 2019-I

4.67 780 186.06 24.77 1.16 2844 Y

ABPCI Direct Lending Fund CLO V Ltd.

3.62 483 53.47 6.47 1.00 3882 Y

Octagon Investment Partners 40, Ltd.

5.13 923 171.14 26.69 1.18 2608 Y

Dryden 75 CLO, Ltd.

4.81 920 270.56 27.18 1.14 2657 Y

Voya CLO 2019-1, Ltd.

4.77 893 313.90 22.68 1.12 2762 Y

TCW CLO 2019-1 AMR, LTD.

4.61 879 197.77 25.22 1.17 2812 Y

OHA Credit Funding 2, Ltd.

4.94 831 153.26 23.15 1.22 2861 Y

Ares LII CLO Ltd.

4.86 766 210.45 20.63 1.25 2956 Y

Anchorage Capital CLO 13, Ltd.

5.01 752 129.83 24.95 1.24 3093 Y

OCP CLO 2019-16, Ltd.

4.84 829 211.07 26.49 1.32 2659 Y

Wind River 2019-1 CLO Ltd.

4.91 770 184.07 19.25 1.19 2871 Y

ALM XIX, Ltd.

4.56 842 112.47 20.69 1.26 2920 Y

AIG CLO 2019-1, Ltd.

4.82 687 182.75 24.67 1.17 2810 Y

Barings CLO Ltd. 2019-II

4.66 849 183.72 25.94 1.18 2814 Y

Atlas Senior Loan Fund XIII, Ltd.

4.95 949 171.43 27.27 1.12 2614 Y

Ares XXXIX CLO Ltd.

4.74 782 220.31 19.84 1.22 2991 Y

Oaktree CLO 2019-1 Ltd.

4.84 984 225.55 27.62 1.15 2667 Y

Madison Park Funding XXXIV, Ltd.

4.60 868 201.00 23.09 1.26 2995 Y

LCM 30 Ltd.

4.41 726 208.42 25.06 1.11 2795 Y

Wind River 2019-3 CLO Ltd.

4.82 794 187.18 20.73 1.17 2867 Y

Bain Capital Credit CLO 2019-1 Ltd.

4.93 814 276.01 24.74 1.24 2823 Y

Ares LIII CLO Ltd.

4.80 747 210.24 17.99 1.18 2920 Y

Maranon Loan Funding 2019-1, Ltd.

3.43 561 57.46 13.97 1.03 3855 Y

Greywolf CLO IV, Ltd.

5.02 849 130.33 25.12 1.19 2858 Y

Signal Peak CLO 7, Ltd.

4.78 836 181.59 21.01 1.11 2791 Y

Golub Capital Partners CLO 42(M), Ltd.

3.70 613 64.34 11.06 1.00 4025 Y

Apidos CLO XXXI

4.69 856 212.76 26.80 1.21 2672 Y

Magnetite XXII, Limited

5.03 879 203.21 25.84 1.14 2645 Y

Barings CLO Ltd. 2019-III

4.69 793 157.18 24.40 1.14 2889 Y

Oaktree CLO 2019-2 Ltd.

4.78 978 214.50 27.04 1.16 2731 Y

Neuberger Berman Loan Advisers CLO 31, Ltd.

4.76 754 188.89 24.94 1.24 2772 Y

Antares CLO 2019-1, Ltd.

3.56 369 130.60 20.16 1.00 3727 Y

Madison Park Funding XXXV, Ltd.

4.84 855 228.85 20.60 1.24 2943 Y

Ivy Hill Middle Market Credit Fund XV, Ltd.

4.09 607 46.36 13.66 1.00 3837 Y

Cedar Funding XI CLO, Ltd.

4.63 835 179.62 27.42 1.09 2754 Y

LCM 29 Ltd.

4.49 753 204.08 24.78 1.09 2786 Y

MMCF CLO 2019-2, LLC

4.26 458 31.20 14.80 1.00 3631 N

Dryden 72 CLO, Ltd.

4.88 917 250.50 24.97 1.14 2695 Y

Ocean Trails CLO VII

4.62 917 164.93 27.82 1.22 2861 Y

Park Avenue Institutional Advisers CLO Ltd 2019-1

4.67 789 135.40 24.27 1.07 2750 Y

Great Lakes CLO 2019-1, Ltd.

3.67 454 69.42 18.64 1.00 3859 Y

HPS Loan Management 14-2019, Ltd.

4.86 831 159.44 25.16 1.13 2746 Y

FS KKR MM CLO 1 LLC

3.91 958 45.64 19.78 1.11 3986 Y

OHA Credit Funding 3, Ltd.

4.95 830 152.30 23.60 1.20 2810 Y

Trimaran CAVU 2019-1 Ltd.

4.98 807 204.07 25.93 1.11 2594 Y

MCF CLO IX Ltd.

3.40 461 109.45 16.31 1.01 3804 Y

Audax Senior Debt CLO I, LLC

4.26 515 111.55 16.01 1.02 3544 Y

Benefit Street Partners CLO XVII, Ltd.

4.82 830 281.33 26.27 1.15 2730 Y

Niagara Park CLO, Ltd.

4.84 757 190.73 19.54 1.12 2813 Y

AIMCO CLO 10, Ltd.

4.95 895 205.54 25.84 1.13 2646 Y

BlueMountain CLO XXV Ltd.

5.19 832 223.90 25.02 1.13 2796 Y

RR 6 Ltd

4.69 814 143.31 21.22 1.25 2869 Y

Madison Park Funding XXXVII, Ltd.

4.97 855 208.98 19.80 1.24 2993 Y

Golub Capital Partners CLO 44(M), Ltd.

3.75 764 75.18 9.72 1.00 4149 Y

SYMPHONY CLO XXI, LLC

4.89 789 179.53 19.31 1.13 2787 Y

Woodmont 2019-6 LP

3.39 693 52.85 15.84 1.01 4048 Y

Black Diamond CLO 2019-2, Ltd.

4.65 872 149.28 22.45 1.18 2942 Y

Carlyle US CLO 2019-2, Ltd.

4.90 837 235.23 29.96 1.16 2754 Y

Fortress Credit BSL VII Limited

4.53 742 99.53 22.88 1.15 3119 Y

Battery Park CLO Ltd

5.09 810 258.35 22.64 1.20 2639 Y

OCP CLO 2019-17 Ltd.

4.91 817 203.28 25.03 1.31 2652 Y

Octagon Investment Partners 44, Ltd.

5.10 841 191.25 23.94 1.19 2696 Y

Dryden 68 CLO, Ltd.

4.86 900 275.69 25.97 1.12 2677 Y

Anchorage Capital CLO 9, Ltd.

4.96 798 129.53 24.68 1.29 3111 Y

Whitebox CLO I Ltd.

5.26 812 164.88 26.68 1.14 2533 Y

Oaktree CLO 2019-3, Ltd.

4.87 969 213.60 27.49 1.11 2695 Y

Parallel 2019-1 Ltd.

5.04 826 211.01 23.37 1.18 2820 Y

Southwick Park CLO, Ltd.

4.94 809 184.32 18.77 1.19 2812 Y

Steele Creek CLO 2019-2 Ltd.

4.99 975 182.00 26.34 1.11 2566 Y

BCC Middle Market CLO 2019-1 LLC

4.53 578 50.11 14.25 1.04 3915 Y

ABPCI Direct Lending Fund CLO VI Ltd.

3.97 408 54.10 6.29 1.00 3823 Y

Voya CLO 2019-2, Ltd.

4.94 886 286.27 20.76 1.12 2658 Y

Bain Capital Credit CLO 2019-2, Limited

4.97 814 268.43 24.54 1.20 2828 Y

GoldenTree Loan Management US CLO 5, Ltd.

4.85 814 117.62 25.51 1.24 2689 Y

Anchorage Capital CLO 11, Ltd.

4.99 736 122.25 23.28 1.26 3117 Y

ORCC Financing IV LLC

4.30 947 17.59 14.76 1.00 4094 Y

HPS Loan Management 15-2019, Ltd.

4.95 861 162.09 24.36 1.10 2671 Y

Garrison MML CLO 2019-1 LP

4.25 1086 86.24 20.81 1.06 3102 Y

Neuberger Berman Loan Advisers CLO 33, Ltd.

4.96 749 190.38 25.87 1.23 2678 Y

OZLM XXIV, Ltd.

4.99 963 146.27 25.28 1.29 2733 Y

Cedar Funding X CLO, Ltd.

4.60 817 195.35 25.49 1.08 2696 Y

PennantPark CLO I, Ltd.

3.79 609 49.32 20.31 1.00 3845 Y

Golub Capital Partners CLO 45(M), Ltd.

3.79 659 57.88 8.67 1.00 4045 Y

TICP CLO XIV, Ltd.

4.93 703 190.29 17.66 1.15 2883 Y

Regatta XII Funding Ltd.

4.93 816 228.14 20.25 1.17 2693 Y

Tralee CLO VI, Ltd.

4.89 886 151.96 24.11 1.09 2579 Y

Canyon CLO 2019-2, Ltd.

5.27 787 182.47 18.56 1.31 2789 Y

CIFC Funding 2016-I, Ltd.

4.78 841 229.98 22.79 1.14 2761 Y

Carlyle US CLO 2019-3, Ltd.

4.95 837 245.27 28.00 1.17 2755 Y

Wind River 2019-2 CLO Ltd.

5.21 708 184.38 15.05 1.14 2820 Y

Voya CLO 2019-3 Ltd

5.02 880 268.65 21.30 1.14 2610 Y

Park Avenue Institutional Advisers CLO Ltd 2019-2

4.71 758 133.99 23.76 1.06 2687 Y

OHA Credit Funding 4, Ltd.

5.02 848 146.24 23.54 1.24 2766 Y

Madison Park Funding XXXIII Ltd.

5.12 799 236.70 20.42 1.25 2909 Y

KKR CLO 27 Ltd.

4.76 956 200.85 23.95 1.18 2778 Y

Apex Credit CLO 2019-II Ltd.

5.05 955 185.60 26.83 1.19 2606 Y

Palmer Square CLO 2019-1 Ltd.

4.90 843 243.69 18.69 1.14 2552 Y

Fortress Credit BSL VIII Ltd.

4.57 726 100.79 22.18 1.16 3160 Y

Oaktree CLO 2019-4, Ltd.

4.93 973 232.97 28.64 1.13 2679 Y

GCPF Loan Funding D L.P.

3.86 720 56.00 6.87 1.03 4096 Y

Dryden 76 CLO, Ltd.

4.88 909 259.91 25.52 1.15 2708 Y

Magnetite XXIII, Limited

5.11 868 190.38 24.20 1.14 2643 Y

ABPCI Direct Lending Fund CLO VII LP

4.07 442 54.75 8.18 1.00 3840 Y

Benefit Street Partners CLO XVIII, Ltd.

4.88 847 295.48 27.40 1.15 2646 Y

Atlas Senior Loan Fund XV, Ltd.

5.09 886 166.31 26.72 1.12 2504 Y

AIG CLO 2019-2, Ltd.

4.98 691 165.98 23.42 1.19 2735 Y

Bain Capital Credit CLO 2019-4, Limited

5.01 779 264.44 23.74 1.24 2861 Y

Trimaran CAVU 2019-2 Ltd.

5.07 806 205.92 26.46 1.12 2528 Y

Octagon Investment Partners 45, Ltd.

5.29 848 163.56 24.82 1.17 2646 Y

Barings Middle Market CLO Ltd. 2019-I

4.33 621 69.63 15.18 1.03 3888 Y

BlueMountain CLO XXVI Ltd.

5.27 831 230.50 24.23 1.16 2782 Y

Beechwood Park CLO, Ltd.

5.09 720 190.56 18.94 1.20 2820 Y

Fort Washington CLO 2019-1, Ltd.

5.11 716 168.51 26.58 1.14 2617 Y

Ares LIV CLO Ltd.

4.87 739 197.31 19.18 1.21 2979 Y

TCW CLO 2019-2, Ltd.

5.19 799 208.80 23.77 1.17 2790 Y

Flatiron CLO 19 Ltd.

4.78 778 203.25 28.34 1.20 2651 Y

Dryden 80 CLO Ltd.

5.00 906 251.07 26.10 1.14 2623 Y

Pulsar Funding I, Ltd.

4.70 794 99.93 17.75 1.10 3017 Y

Voya CLO 2019-4, Ltd.

5.02 861 270.93 21.50 1.12 2625 Y

Guggenheim MM CLO 2019-2, Ltd.

4.21 553 56.83 14.90 1.17 3688 Y

Madison Park Funding XXI Ltd.

4.59 862 222.34 25.56 1.27 2880 Y

MidOcean Credit CLO X

5.12 729 145.36 22.29 1.17 2833 Y

Audax Senior Debt CLO II, LLC

4.38 409 96.61 16.08 1.03 3641 Y

Owl Rock CLO II, Ltd.

4.12 485 41.57 20.23 1.04 3736 Y

Regatta XVI Funding Ltd.

4.96 832 227.99 20.69 1.16 2670 Y

Churchill Middle Market CLO IV Ltd.

4.32 530 70.53 19.10 1.00 3856 Y

Barings CLO Ltd. 2019-IV

4.87 743 145.78 18.88 1.21 2848 Y

GoldenTree Loan Management US CLO 6, Ltd.

4.88 811 126.62 24.90 1.25 2579 Y

Neuberger Berman Loan Advisers CLO 34, Ltd.

5.02 734 174.75 24.02 1.24 2669 Y

Magnetite XXIV Ltd.

5.08 868 187.38 24.81 1.15 2635 Y

522 Funding CLO I Ltd.

5.24 825 139.78 20.84 1.14 2624 Y

Brightwood Capital MM CLO 2019-1 Ltd.

3.86 987 46.56 13.94 1.00 4240 Y

Marathon CLO 14 Ltd.

4.63 812 173.11 26.68 1.24 2867 Y

Battalion CLO XVI Ltd.

5.11 910 161.68 24.37 1.26 2580 Y

Northwoods Capital 20, Limited

4.71 823 121.33 23.80 1.14 2761 Y

OHA Loan Funding 2015-1 Ltd.

4.73 866 154.71 25.87 1.23 2857 Y

AGL CLO 3 Ltd.

5.60 811 162.78 24.86 1.23 2680 Y

Kayne CLO 7 Ltd.

5.16 782 197.58 22.86 1.17 2641 Y

Owl Rock CLO III, Ltd.

4.56 555 43.59 19.75 1.03 3833 Y

Elevation CLO 2020-11, Ltd.

4.75 750 220.12 25.20 1.08 2753 Y

Signal Peak CLO 8, Ltd.

4.93 771 210.68 20.65 1.14 2649 Y

ABPCI Direct Lending Fund CLO VIII Ltd

3.74 410 59.11 6.54 1.00 3823 Y

Bain Capital Credit CLO 2020-1 Ltd.

5.15 787 223.03 18.29 1.22 2730 Y

Dryden 78 CLO, Ltd

4.93 905 260.59 26.77 1.14 2540 Y

Marble Point CLO XVII Ltd.

4.80 777 134.17 21.87 1.14 2812 Y

Golub Capital Partners CLO 48(B), Ltd.

4.87 739 154.30 16.63 1.10 2835 Y

Elmwood CLO IV, Ltd.

5.04 821 224.89 24.57 1.11 2687 Y

ORCC II Financing II LLC

5.28 1002 23.28 9.57 1.13 4242 Y

Harriman Park CLO, Ltd

4.89 768 153.37 15.81 1.16 2709 Y

Neuberger Berman Loan Advisers CLO 36, Ltd.

5.15 727 168.76 21.70 1.29 2613 Y

RR 9 Ltd

5.11 760 121.11 20.04 1.25 2695 Y

SCFF 1 Ltd

5.19 796 132.79 19.00 1.23 2660 Y

GoldenTree Loan Management US CLO 7, Ltd.

5.14 752 120.09 24.18 1.28 2398 Y

Dryden 77 CLO, Ltd.

5.15 867 181.89 27.82 1.12 2226 Y

TCW CLO 2020-1, Ltd.

4.92 784 142.46 20.87 1.19 2907 N

Guggenheim CLO 2020-1, Ltd.

5.30 854 107.30 26.08 1.12 2598 Y

Canyon CLO 2020-1, Ltd.

5.29 794 145.98 23.83 1.29 2551 Y

Apres Static CLO 2 Ltd.

4.79 660 150.73 22.09 1.10 2834 N

Pikes Peak CLO 6

5.26 837 178.58 19.85 1.27 2470 Y

Gulf Stream Meridian 2 Ltd.

5.45 777 140.55 22.65 1.16 2518 Y

Ares LV CLO Ltd.

4.69 706 161.23 16.67 1.15 2776 Y

Magnetite XXVI, Limited

4.93 811 154.03 20.81 1.12 2541 Y

Octagon Investment Partners 47, Ltd.

5.31 812 147.67 23.38 1.24 2456 Y

Owl Rock CLO IV, Ltd.

4.59 548 40.31 17.39 1.06 3793 Y

OCP CLO 2020-18, Ltd.

5.23 858 165.45 22.12 1.30 2578 Y

Oaktree CLO 2020-1 Ltd.

4.91 888 152.05 26.17 1.17 2418 Y

RR 10 Ltd.

4.99 729 112.09 19.21 1.25 2769 Y

Sound Point CLO XXVI, Ltd.

5.33 817 206.47 25.42 1.21 2482 Y

Broad River BSL Funding CLO Ltd. 2020-1

4.88 827 172.22 21.40 1.20 2677 Y

AGL CLO 5 Ltd.

5.52 828 151.63 23.14 1.24 2541 Y

Crown Point CLO 9 Ltd.

5.16 836 147.58 26.87 1.10 2329 Y

Bain Capital Credit CLO 2020-2, Ltd.

5.12 839 209.99 21.65 1.17 2621 Y

Neuberger Berman Loan Advisers CLO 37 Ltd.

5.06 736 166.27 21.80 1.25 2597 Y

Crown City CLO I

5.40 796 148.96 23.55 1.15 2294 Y

Benefit Street Partners CLO XX, Ltd.

5.12 784 244.00 23.65 1.16 2474 Y

HalseyPoint CLO II, Ltd.

5.40 735 151.68 23.91 1.19 2244 Y

Voya CLO 2020-1, Ltd.

5.23 832 239.08 20.59 1.15 2581 Y

BlueMountain CLO XXIX Ltd.

5.49 801 205.53 22.12 1.16 2600 Y

Carlyle Global Market Strategies CLO 2013-2, Ltd.

4.69 925 237.39 32.08 1.17 2713 Y

Shackleton 2013-III CLO, Ltd.

4.59 825 190.42 25.96 1.21 2868 Y

Voya CLO 2013-2 Ltd.

4.74 898 291.16 24.08 1.16 2656 Y

Wind River 2013-1 CLO Ltd.

4.63 808 161.65 17.34 1.16 3165 Y

Elevation CLO 2013-1 Ltd.

4.73 951 231.12 25.75 1.11 2656 Y

Mountain View CLO 2013-1 Ltd.

4.79 936 183.98 24.74 1.27 2520 Y

Atlas Senior Loan Fund VII Ltd.

4.97 993 172.73 27.92 1.13 2573 Y

Symphony CLO XVIII, Ltd.

4.68 843 173.07 21.44 1.13 2843 Y

Benefit Street Partners CLO X, Ltd.

4.65 867 281.77 27.96 1.15 2755 Y

Madison Park Funding XXIV, Ltd.

4.62 900 228.42 24.83 1.26 2924 Y

HPS Loan Management 10-2016, Ltd.

4.51 929 125.91 26.52 1.17 2568 Y

Bain Capital Credit CLO 2016-2, Limited

4.92 878 257.77 24.96 1.22 2766 Y

TCP Waterman CLO, LLC

3.69 839 57.58 9.01 1.13 4208 Y

Octagon Investment Partners 29, Ltd.

4.90 894 170.18 21.25 1.17 2699 Y

Oaktree EIF III Series I, Ltd.

4.47 982 220.92 27.30 1.14 2703 N

LCM XXIII Ltd.

4.38 778 197.78 23.62 1.11 2778 Y

Fortress Credit Opportunities VII CLO Limited

3.64 987 53.93 11.90 1.06 4109 Y

ABPCI Direct Lending Fund CLO I Ltd.

3.30 506 56.38 7.15 1.00 3893 Y

CIFC Funding 2017-I, Ltd.

4.84 877 226.67 23.76 1.15 2774 Y

Ares XLII CLO, Ltd.

4.66 752 206.83 20.55 1.20 3010 Y

Woodmont 2017-1 Trust

3.42 643 64.62 18.50 1.00 3984 Y

Golub Capital Partners CLO 34(M)-R, Ltd.

3.61 634 62.01 8.66 1.00 4059 Y

Marathon CLO IX Ltd.

4.52 868 198.64 25.47 1.21 3001 Y

MCF CLO V LLC

3.33 519 99.77 15.40 1.01 3837 Y

Galaxy XXIII CLO, Ltd.

4.80 916 215.24 27.10 1.21 2714 Y

Dryden 47 Senior Loan Fund

4.72 960 298.24 27.46 1.15 2658 Y

AMMC CLO 20, Limited

4.39 904 296.92 28.16 1.13 2724 Y

Goldentree Loan Management US CLO 1, Ltd.

4.61 838 137.30 24.94 1.29 2659 Y

TIAA CLO II Ltd.

4.64 926 167.06 27.58 1.18 2766 Y

NXT Capital CLO 2017-1, LLC

3.27 590 77.72 17.84 1.00 3918 Y

Madison Park Funding XXV, Ltd.

4.60 893 215.98 24.89 1.29 2921 Y

Thayer Park CLO, Ltd

4.56 912 194.03 21.00 1.19 2719 Y

Antares CLO 2017-1, Ltd.

3.60 350 159.68 23.71 1.00 3742 Y

Catskill Park CLO, Ltd.

4.57 903 220.43 19.93 1.17 2690 Y

Black Diamond CLO 2017-1, Ltd.

4.62 887 158.08 23.07 1.16 2955 Y

Apidos CLO XXVI

4.53 887 206.87 28.45 1.17 2618 Y

Ivy Hill Middle Market Credit Fund XII, Ltd.

3.84 661 117.49 17.54 1.02 3830 Y

Voya CLO 2017-2, Ltd

4.73 930 334.95 23.14 1.15 2653 Y

Woodmont 2017-2 Trust

3.49 632 85.00 17.10 1.00 3953 Y

BlueMountain Fuji US CLO I, Ltd.

4.84 890 225.90 26.80 1.20 2903 Y

Madison Park Funding XXXVI, Ltd.

5.14 796 235.01 19.85 1.24 2877 Y

Neuberger Berman Loan Advisers CLO 35, Ltd.

5.15 690 160.29 21.94 1.30 2754 Y

Shackleton 2019-XV CLO Ltd.

4.85 690 184.20 26.21 1.19 2828 Y

CIFC Funding 2019-VI, Ltd.

5.28 729 165.96 21.63 1.20 2871 Y

Benefit Street Partners CLO XIX, Ltd.

4.92 830 298.99 25.90 1.17 2675 Y

Golub Capital Partners CLO 46(M), L.P.

4.06 623 48.66 9.70 1.00 4019 Y

HalseyPoint CLO I, Ltd.

5.22 836 167.48 21.45 1.18 2569 Y

First Eagle Commercial Loan Funding 2016-1 LLC

3.71 685 83.37 23.04 1.00 3934 Y

East West Investment Management CLO 2019-1, Limited

4.99 684 146.00 24.17 1.07 2878 Y

Carlyle US CLO 2019-4, Ltd.

5.14 846 207.10 26.83 1.19 2761 Y

Mountain View CLO XV Ltd.

5.05 827 196.90 21.30 1.29 2489 Y

RR 7 Ltd.

4.88 836 134.89 20.88 1.21 2771 Y

Allegro CLO XI, Ltd.

5.02 786 226.38 23.95 1.23 2771 Y

Allegany Park CLO, Ltd.

5.11 665 171.15 17.29 1.21 2880 Y

Antares CLO 2019-2, Ltd.

3.92 225 125.57 22.64 1.00 3618 Y

Apidos CLO XXXII

4.80 799 175.60 26.46 1.22 2635 Y

Golub Capital Partners CLO 28(M)-R, L.P.

3.57 738 66.90 10.10 1.03 4131 Y

Anchorage Credit Opportunities CLO 1, Ltd.

4.83 535 89.61 25.19 1.22 3517 Y

Addington Square Funding III L.P.

3.34 519 32.98 6.33 1.00 3957 Y

York CLO-7 Ltd.

4.97 830 190.90 27.60 1.17 2807 Y

Medalist Partners Corporate Finance CLO VI Ltd.

4.86 932 198.74 27.24 1.13 2602 Y

TICP CLO XV, Ltd.

5.04 728 194.24 15.59 1.23 2773 Y

Battalion CLO XV Ltd.

5.16 876 156.74 23.70 1.25 2599 Y

RR 8 Ltd.

5.07 823 124.87 21.30 1.17 2699 Y

Audax Senior Debt CLO III LLC

4.34 423 97.59 15.92 1.03 3537 Y

Golub Capital Partners CLO 47(M), L.P.

3.75 442 58.17 8.19 1.00 3859 Y

Madison Park Funding XXII, Ltd.

4.56 868 218.57 25.67 1.28 2851 Y

KKR CLO 28 Ltd.

4.80 899 191.66 22.80 1.17 2791 Y

Gulf Stream Meridian 1 Ltd.

5.46 802 165.76 21.13 1.16 2561 Y

Jamestown CLO XV Ltd.

4.86 760 160.38 27.87 1.22 2753 Y

Mountain View CLO 2016-1 Ltd.

4.83 893 219.09 23.03 1.25 2543 Y

Trestles CLO III, Ltd.

5.25 698 162.07 23.26 1.16 2758 Y

Symphony CLO XXII, Ltd.

5.03 708 163.89 21.07 1.13 2842 Y

York CLO-4 Ltd.

4.69 958 201.08 29.63 1.18 2749 Y

ALM 2020, LTD.

4.36 839 132.53 22.63 1.26 2903 Y

OHA Credit Funding 5, Ltd.

5.23 791 138.52 21.83 1.20 2732 Y

Deerpath Capital CLO 2020-1 Ltd.

3.44 459 45.24 11.61 1.00 3733 Y

Ocean Trails CLO 8

5.06 748 151.50 25.01 1.29 2400 Y

Madison Park Funding XLV, Ltd.

5.22 761 164.31 21.32 1.14 2505 Y

CIFC Funding 2020-I, Ltd

5.32 698 172.72 21.42 1.19 2672 Y

OHA Credit Funding 6, Ltd.

5.25 629 78.15 19.37 1.24 2730 Y

CBAM 2020-12, Ltd.

5.31 707 128.40 19.01 1.19 2515 Y

BlueMountain CLO 2013-1 Ltd.

4.49 938 219.62 27.95 1.18 2935 Y

Neuberger Berman CLO XIV, Ltd.

4.62 826 181.20 24.31 1.30 2738 Y

Mountain Hawk II CLO, Ltd.

2.90 761 38.63 9.15 1.05 3422 N

Barings CLO Ltd. 2013-I

3.96 935 171.12 25.12 1.16 2641 N

GLG Ore Hill CLO 2013-1, Ltd.

2.41 1299 29.98 18.66 1.23 3022 N

Octagon Investment Partners XVI, Ltd.

5.02 923 234.81 24.54 1.19 2663 Y

Benefit Street Partners CLO II, Ltd.

4.69 865 277.54 28.09 1.16 2728 Y

CIFC Funding 2013-II, Ltd.

4.79 844 224.01 24.01 1.17 2756 Y

BlueMountain CLO 2013-2 Ltd.

4.94 968 219.34 28.37 1.16 2895 Y

Tryon Park CLO, Ltd.

4.69 872 193.75 20.02 1.17 2747 Y

Dryden XXVIII Senior Loan Fund

4.74 950 292.21 26.76 1.14 2685 Y

OZLM Funding IV, Ltd.

4.74 1079 183.12 28.35 1.28 2666 Y

Carlyle Global Market Strategies CLO 2013-3 Ltd.

4.86 932 239.08 30.98 1.16 2691 Y

OHA Loan Funding 2013-1, Ltd.

4.84 854 150.71 23.21 1.22 2897 Y

Atlas Senior Loan Fund III, Ltd.

4.52 1053 141.66 25.65 1.12 2709 N

Telos CLO 2013-4, Ltd.

4.65 1010 105.86 23.56 1.09 2703 Y

Golub Capital Partners CLO 16 (M) -R Ltd.

3.08 773 70.28 9.53 1.00 4195 Y

Ares XXVII CLO LTD

4.73 725 216.69 20.82 1.21 2921 Y

ALM VII(R)-2, Ltd.

4.46 898 154.55 22.78 1.25 2801 Y

HPS Loan Management 2013-2 Ltd.

4.60 893 169.08 25.74 1.12 2692 Y

Venture XIV CLO Limited

4.62 940 208.96 28.12 1.16 2748 Y

OHA Loan Funding 2013-2, Ltd.

4.82 879 143.27 23.95 1.18 2835 Y

WhiteHorse VII, Ltd.

1.88 360 3.02 3.02 1.00 4465 N

Ocean Trails CLO IV

3.05 1102 64.33 17.59 1.14 3272 N

Emerson Park CLO, Ltd.

2.46 774 28.97 9.73 1.02 3200 N

Octagon Investment Partners XVII, Ltd.

4.97 950 226.79 23.81 1.20 2666 Y

NewStar Commerical Loan Funding 2017-1 LLC

3.11 583 56.40 20.84 1.00 3859 N

Palmer Square CLO 2018-3, Ltd.

4.64 873 225.24 19.66 1.12 2684 Y

Madison Park Funding XI, Ltd

4.68 910 220.38 22.54 1.29 2996 Y

Neuberger Berman CLO XV Ltd

4.58 826 183.95 24.30 1.28 2722 Y

CIFC Funding 2013-I, Ltd.

4.76 803 219.34 24.27 1.18 2828 Y

Galaxy XV CLO, Ltd.

4.76 883 198.30 24.89 1.29 2789 Y

Halcyon Loan Advisors Funding 2013-1 Ltd.

2.59 1044 23.79 12.89 1.02 3341 N

Greywolf CLO II, Ltd.

5.00 912 125.69 26.13 1.20 2887 Y

Dryden XXVI Senior Loan Fund

4.76 966 272.80 26.24 1.14 2719 Y

JFIN CLO 2013 Ltd.

4.58 1069 138.13 26.69 1.22 2798 Y

Denali Capital CLO X, LTD.

3.84 876 206.93 25.72 1.09 2933 N

AMMC CLO XII, Limited

4.40 913 288.81 30.91 1.13 2778 Y

Voya CLO 2013-1, Ltd.

4.73 916 314.13 23.63 1.17 2694 Y

Tralee CLO II, Ltd.

4.68 957 164.19 22.84 1.09 2771 Y

TICP CLO VII, LTD.

4.75 831 237.62 19.47 1.19 2837 Y

ABPCI Direct Lending Fund CLO II Ltd.

3.26 592 57.06 9.17 1.00 3949 Y

Hayfin Kingsland IX, Ltd.

5.11 913 143.74 18.60 1.18 2797 Y

Dryden 30 Senior Loan Fund

4.60 968 291.79 28.41 1.14 2672 Y

West CLO 2013-1 Ltd.

2.49 762 19.84 8.85 1.09 3768 N

OCP CLO 2013-4, Ltd.

4.66 895 207.70 25.70 1.25 2756 Y

Eaton Vance CLO 2013-1 LTD

4.64 907 221.10 25.28 1.17 2672 Y

Apidos CLO XV

4.53 874 208.41 29.87 1.22 2657 Y

Ivy Hill Middle Market Credit Fund VII, Ltd.

3.98 649 107.83 21.61 1.02 3745 Y

Cent CLO 19 Limited

3.11 947 97.86 21.21 1.18 2545 N

Golub Capital Partners CLO 17(M)-R, Ltd.

3.20 712 67.91 10.75 1.00 4063 Y

Carlyle Global Market Strategies CLO 2013-4, Ltd.

4.89 929 224.50 30.18 1.19 2737 Y

Wind River 2013-2 CLO Ltd.

4.69 868 183.18 18.87 1.18 2962 Y

Avery Point III CLO, Limited

3.09 749 43.32 19.19 1.18 2887 N

Bain Capital Credit CLO 2017-2, Limited

4.92 839 265.01 23.62 1.19 2816 Y

AMMC CLO XIII, Limited

4.40 960 260.59 31.09 1.15 2636 Y

Voya CLO 2013-3, Ltd

4.71 873 279.94 22.09 1.14 2683 Y

HPS Loan Management 3-2014 Ltd.

4.61 876 164.12 24.87 1.14 2694 Y

Allegro CLO I, Ltd.

2.65 867 39.08 13.14 1.15 3574 N

Blue Ridge CLO Ltd. I

2.92 1104 43.47 18.65 1.24 2977 N

RR 1 Ltd

4.50 895 145.42 21.72 1.27 2861 Y

MidOcean Credit CLO II

4.71 840 125.13 26.97 1.15 2980 Y

Black Diamond CLO 2013-1, Ltd.

2.71 1082 41.20 17.20 1.23 3227 N

Cathedral Lake CLO 2013 Ltd

4.54 805 107.65 21.14 1.16 2740 Y

Oaktree CLO 2014-1 Ltd.

4.74 1066 170.57 23.25 1.11 2811 Y

ACIS CLO 2014-3, Ltd.

2.69 933 34.24 15.06 1.06 3144 N

JFIN CLO 2014 Ltd.

3.00 1064 94.27 20.33 1.10 3416 N

CIFC Funding 2014, Ltd.

4.77 863 237.07 25.11 1.18 2734 Y

OFSI Fund VI, Ltd.

2.28 1027 27.49 12.09 1.00 3426 N

Golub Capital Partners CLO 18(M)-R, Ltd.

3.26 784 76.96 10.76 1.00 4172 Y

Mountain Hawk III CLO, Ltd.

3.19 750 72.54 15.05 1.12 3211 N

BNPP IP CLO 2014-1, Ltd.

2.41 1074 41.10 14.85 1.03 3809 N

Zais CLO 1, Limited

4.07 990 145.64 25.73 1.12 3037 N

Carlyle Global Market Strategies CLO 2014-1, Ltd.

4.87 914 264.90 28.77 1.19 2718 Y

Staniford Street CLO, Ltd.

2.54 1128 36.30 13.23 1.03 3433 N

Canyon Capital CLO 2014-1 Ltd.

4.94 910 140.26 24.37 1.32 2667 Y

Great Lakes CLO 2014-1, Ltd.

3.06 538 80.88 17.59 1.00 3898 Y

CFIP CLO 2014-1, Ltd.

4.50 789 131.93 21.99 1.16 2731 Y

Halcyon Loan Advisors Funding 2014-2 Ltd.

3.08 1140 41.07 17.28 1.19 2924 N

Marathon CLO VI Ltd.

4.34 1001 151.54 24.11 1.23 3116 N

Telos CLO 2014-5, Ltd.

4.38 1021 108.18 23.83 1.12 2664 N

Avery Point IV CLO, Limited

3.34 785 73.38 21.73 1.20 2902 N

B&M CLO 2014-1, Ltd.

2.48 991 51.04 20.17 1.04 3192 N

Palmer Square CLO 2014-1, Ltd.

4.66 883 231.69 20.28 1.12 2681 Y

Dryden 33 Senior Loan Fund

4.72 963 294.74 26.55 1.14 2687 Y

MCF CLO VI LLC

3.41 668 97.49 17.13 1.04 3964 Y

Voya CLO 2017-3 Ltd.

4.70 906 319.56 22.61 1.17 2699 Y

OCP CLO 2017-13 Ltd.

4.65 857 221.08 27.68 1.29 2779 Y

Bain Capital Credit CLO 2017-1, Limited

4.88 822 260.34 22.81 1.23 2826 Y

Carlyle US CLO 2017-3 Ltd

4.82 924 248.61 27.73 1.19 2713 Y

Barings CLO Ltd. 2017-I

4.59 891 198.66 26.34 1.17 2731 Y

Atlas Senior Secured Loan Fund VIII Ltd.

4.96 982 174.43 28.32 1.14 2619 Y

Ares XLIV CLO Ltd.

4.64 761 213.17 20.19 1.24 2997 Y

CVP CLO 2017-1 Ltd

4.52 942 151.58 26.25 1.13 2609 Y

TCW CLO 2017-1, Ltd

4.92 910 206.34 22.79 1.21 2728 Y

Octagon Investment Partners 32, Ltd.

4.90 850 221.10 23.13 1.21 2693 Y

OFSI BSL VIII, LTD

4.48 795 179.00 22.67 1.12 2811 Y

TCP Whitney CLO, Ltd

3.95 815 57.76 11.15 1.14 4170 Y

Nassau 2017-I Ltd.

4.62 879 197.75 27.91 1.08 2813 Y

Neuberger Berman Loan Advisers CLO 25, Ltd.

4.54 802 185.64 24.48 1.27 2740 Y

Marathon CLO X Ltd

4.55 828 188.01 27.12 1.24 2980 Y

MCF CLO VII LLC

3.06 508 98.19 15.57 1.00 3850 Y

Cedar Funding VIII CLO Ltd

4.51 870 213.35 26.66 1.11 2714 Y

Woodmont 2017-3 LP

3.54 747 63.67 19.14 1.04 3998 Y

Battalion CLO XI Ltd.

4.93 953 164.93 23.24 1.25 2720 Y

BlueMountain Fuji US CLO II Ltd.

4.89 879 237.47 26.69 1.18 2937 Y

Oaktree EIF III Series II Ltd

4.86 965 232.51 27.34 1.16 2666 Y

Race Point IX CLO, Limited

4.89 829 267.95 23.42 1.22 2811 Y

RR 2 LTD

4.49 837 133.07 20.94 1.27 2893 Y

AMMC CLO 21, Limited

4.48 931 326.71 27.37 1.14 2739 Y

Park Avenue Institutional Advisers CLO Ltd 2017-1

4.63 807 143.71 23.23 1.08 2765 Y

KCAP F3C Senior Funding, LLC

4.38 560 65.96 18.50 1.00 3736 Y

Signal Peak CLO 4, Ltd.

4.51 826 230.48 20.94 1.14 2770 Y

NXT Capital CLO 2017-2, LLC

3.29 492 66.42 15.04 1.00 3868 Y

OHA Credit Partners XIV, Ltd.

4.82 900 156.29 23.59 1.19 2811 Y

Halcyon Loan Advisors Funding 2017-2 Ltd.

4.88 895 190.69 25.53 1.34 2588 Y

Fortress Credit BSL IV Limited

4.38 755 115.29 22.57 1.10 2967 Y

Neuberger Berman Loan Advisers CLO 26, Ltd.

4.59 782 188.74 23.68 1.29 2752 Y

VOYA CLO 2017-4, LTD.

4.73 884 313.32 23.10 1.15 2750 Y

Madison Park Funding XLII Ltd .

4.64 908 237.38 24.27 1.28 2989 Y

Octagon Investment Partners 34, Ltd.

4.82 886 206.50 21.73 1.20 2662 Y

Fortress Credit Opportunities IX CLO Limited

3.41 976 59.04 12.28 1.04 4166 Y

Octagon Investment Partners 33, Ltd.

5.03 898 171.54 23.48 1.16 2569 Y

CFIP CLO 2017-1, Ltd.

4.43 823 143.10 20.88 1.15 2772 Y

Antares CLO 2017-2, Ltd.

3.48 361 143.09 21.81 1.00 3707 Y

TIAA Churchill Middle Market CLO II Ltd.

4.13 616 59.25 17.53 1.00 3921 Y

OHA Credit Partners XV, Ltd.

4.81 887 154.39 24.08 1.21 2840 Y

Apidos CLO XXVIII

4.54 885 216.34 28.66 1.20 2642 Y

OCP CLO 2017-14, Ltd.

4.71 856 220.10 27.10 1.30 2743 Y

Long Point Park CLO, Ltd.

4.70 945 189.38 22.69 1.19 2757 Y

ARES XLVI CLO Ltd.

4.68 768 214.58 20.11 1.22 2992 Y

BlueMountain Fuji US CLO III Ltd.

4.91 893 208.66 27.13 1.22 2917 Y

MMCF CLO 2017-1, LLC

2.96 430 22.92 12.52 1.00 3797 N

Carlyle US CLO 2017-5, Ltd.

4.81 946 225.42 30.05 1.19 2747 Y

Fortress Credit BSL V Limited

4.36 766 112.07 22.86 1.10 3034 Y

ABPCI Direct Lending Fund CLO IV Ltd

3.19 488 51.46 6.94 1.00 3865 Y

CVP CLO 2017-2, Ltd.

4.52 929 155.54 26.29 1.13 2625 Y

LCM 26 Ltd.

4.44 839 250.09 25.98 1.10 2694 Y

Tralee CLO IV, Ltd.

4.69 946 174.88 24.23 1.09 2750 Y

Neuberger Berman CLO XVI-S, Ltd.

4.03 777 133.54 23.44 1.27 2804 N

Anchorage Capital CLO 5-R Ltd

4.89 757 139.16 25.55 1.22 3181 Y

RR 3 LTD

4.46 917 145.92 21.41 1.25 2958 Y

Neuberger Berman Loan Advisors CLO 27, Ltd.

4.62 821 185.93 24.76 1.28 2721 Y

Madison Park Funding XXVII, Ltd.

4.67 894 233.25 23.59 1.28 2934 Y

Octagon Investment Partners 35 Ltd.

4.94 939 224.34 23.93 1.22 2679 Y

Anchorage Capital CLO 3-R, Ltd.

4.93 735 137.34 26.12 1.22 3169 Y

Anchorage Capital CLO 4-R Ltd.

4.94 742 137.37 25.93 1.23 3164 Y

Atlas Senior Loan Fund X, Ltd.

4.91 978 165.34 27.80 1.14 2624 Y

Cedar Funding VII CLO, Ltd.

4.54 860 214.36 26.94 1.12 2727 Y

Signal Peak CLO 5, Ltd.

4.59 827 228.14 21.74 1.16 2781 Y

OCP CLO 2014-5, Ltd.

4.69 915 205.40 27.12 1.25 2769 Y

ZAIS CLO 8, LIMITED

4.63 941 189.16 25.00 1.12 2991 Y

Garrison Funding 2018-1 LP

4.03 780 71.59 21.66 1.04 3518 N

MidOcean Credit CLO VIII

4.98 845 160.50 25.33 1.16 2814 Y

Golub Capital Partners CLO 36(M), Ltd.

3.30 853 72.23 9.50 1.00 4235 Y

Benefit Street Partners CLO XIV, Ltd.

4.71 856 283.73 26.79 1.15 2760 Y

HPS Loan Management 6-2015, Ltd.

4.63 956 182.55 25.59 1.16 2673 Y

AMMC CLO 22, Limited

4.48 944 319.68 29.97 1.12 2710 Y

Cook Park CLO, Ltd.

4.65 883 215.42 22.59 1.17 2786 Y

Atlas Senior Loan Fund IX, Ltd.

4.14 1012 151.31 28.45 1.12 2742 N

Ares XLVII CLO Ltd.

4.70 768 213.74 20.61 1.21 2984 Y

Octagon Investment Partners 36, Ltd.

4.84 883 201.64 21.28 1.21 2641 Y

Voya CLO 2018-1, Ltd.

4.77 917 320.35 22.84 1.15 2725 Y

Madison Park Funding XXX, Ltd.

4.73 936 232.06 24.37 1.24 2936 Y

Palmer Square CLO 2018-1, Ltd.

4.76 871 241.39 19.82 1.13 2606 Y

Anchorage Capital CLO 1-R, Ltd.

4.89 762 134.76 24.39 1.26 3181 Y

Octagon Investment Partners 18-R, Ltd.

4.90 910 238.39 24.86 1.21 2679 Y

Cedar Funding IX CLO, Ltd.

4.57 861 209.22 27.89 1.10 2730 Y

Woodmont 2018-4 Trust

3.33 572 74.57 17.10 1.00 3882 Y

Barings CLO Ltd. 2018-II

4.76 903 188.30 26.66 1.16 2692 Y

Ivy Hill Middle Market Credit Fund XIV, Ltd.

4.00 539 91.64 14.16 1.02 3767 Y

Greywolf CLO VI, Ltd.

5.06 844 136.61 27.71 1.20 2874 Y

Fortress Credit Opportunities XI CLO Limited

3.58 978 55.22 12.89 1.04 4083 Y

Ares XXXIIR CLO Ltd.

4.68 738 217.35 21.14 1.22 2923 Y

Antares CLO 2018-1, Ltd.

3.57 373 131.75 22.41 1.00 3707 Y

Chenango Park CLO, Ltd.

4.61 900 203.10 19.73 1.15 2693 Y

Romark WM-R Ltd.

4.71 854 224.11 23.26 1.12 2754 Y

Madison Park Funding XIII, Ltd.

4.60 906 221.06 25.32 1.27 2982 Y

NewStar Fairfield Fund CLO Ltd.

3.77 686 89.94 23.37 1.04 3887 Y

Voya CLO 2014-1, Ltd.

4.73 890 315.47 23.26 1.15 2713 Y

RR 4 LTD

4.49 904 149.25 21.48 1.25 2922 Y

Bain Capital Credit CLO 2018-1 Ltd

4.90 808 261.59 23.50 1.21 2842 Y

TCW CLO 2018-1, Ltd.

4.94 862 217.44 22.69 1.19 2781 Y

Northwoods Capital XI-B, Limited

4.58 950 146.39 25.97 1.12 2837 Y

Benefit Street Partners CLO V-B, Ltd.

4.64 881 274.94 27.61 1.14 2704 Y

GoldenTree Loan Management US CLO 3, Ltd.

4.72 826 134.15 25.00 1.29 2679 Y

Neuberger Berman Loan Advisers CLO 28, Ltd.

4.64 798 180.36 24.35 1.28 2822 Y

NewStar Arlington Senior Loan Program LLC

3.75 599 96.77 23.84 1.00 3821 Y

MARANON LOAN FUNDING 2018-1, LTD.

3.40 616 57.03 14.38 1.03 3918 Y

Carlyle Global Market Strategies CLO 2014-2-R, Ltd.

4.80 920 239.35 28.93 1.18 2668 Y

Apidos CLO XXIX

4.62 847 218.95 28.84 1.21 2651 Y

Ares XXXIR CLO Ltd.

4.67 740 220.75 20.97 1.22 2919 Y

Ares XLVIII CLO Ltd.

4.74 751 212.55 20.72 1.23 2949 Y

Dryden 55 CLO, Ltd.

4.74 952 287.35 26.20 1.14 2679 Y

MCF CLO VIII Ltd.

3.23 367 92.93 14.39 1.02 3750 Y

Dorchester Park CLO DAC

4.14 835 200.28 23.17 1.19 2832 N

Voya CLO 2018-2, Ltd.

4.76 919 318.58 21.54 1.13 2741 Y

HPS Loan Management 12-2018, Ltd.

4.61 893 181.83 25.26 1.12 2722 Y

ORCC Financing II LLC

3.12 370 18.07 13.34 1.00 3609 N

Octagon Investment Partners 37, Ltd.

5.05 913 180.00 23.40 1.19 2620 Y

Madison Park Funding XXVIII, Ltd.

4.75 887 228.80 23.62 1.26 2976 Y

Barings CLO Ltd. 2018-III

4.61 889 185.72 27.18 1.15 2739 Y

OCP CLO 2018-15, Ltd.

4.75 849 219.91 27.47 1.31 2709 Y

Carlyle Global Market Strategies CLO 2014-3-R, Ltd.

4.82 916 265.57 28.94 1.19 2697 Y

Apollo Credit Funding IV Ltd

4.62 937 77.92 15.79 1.33 2729 Y

Carlyle Global Market Strategies CLO 2014-4-R, Ltd.

4.77 925 247.79 29.80 1.21 2737 Y

Golub Capital Partners CLO 30(M), Ltd.

3.91 734 55.51 8.94 1.00 4101 N

Wind River 2018-1 CLO Ltd.

4.74 828 190.31 22.08 1.22 2867 Y

OFSI BSL IX, Ltd.

4.60 809 183.08 24.02 1.13 2792 Y

Signal Peak CLO 6, Ltd.

4.61 802 214.66 21.25 1.16 2786 Y

Crown Point CLO 5 Ltd.

4.30 916 166.67 30.09 1.09 2809 N

Fillmore Park CLO, Ltd.

4.77 857 197.97 23.00 1.16 2745 Y

BlueMountain CLO XXII Ltd.

5.00 880 204.89 27.20 1.24 2903 Y

Ares XLIX CLO Ltd.

4.73 754 215.13 20.28 1.19 2930 Y

CFIP CLO 2018-1, Ltd.

4.50 885 141.16 20.53 1.15 2559 Y

Golub Capital Partners CLO 38(M), Ltd.

3.44 693 67.78 8.65 1.00 4064 Y

Race Point X CLO, Limited

4.91 823 256.64 22.75 1.22 2867 Y

Bain Capital Credit CLO 2018-2, Limited

4.89 815 261.31 23.66 1.21 2802 Y

Octagon Investment Partners 38, Ltd.

4.99 919 216.42 23.76 1.19 2664 Y

BlueMountain CLO 2018-1 Ltd.

4.92 888 218.98 25.64 1.17 2993 Y

LCM 27 Ltd.

4.41 799 228.36 26.17 1.10 2760 Y

Woodmont 2018-5 Trust

3.56 666 63.99 17.09 1.00 4041 Y

Galaxy XXVIII CLO, Ltd.

4.70 869 195.01 26.23 1.29 2785 Y

Palmer Square CLO 2018-2, Ltd.

4.79 870 248.29 20.12 1.13 2603 Y

Voya CLO 2014-4, Ltd.

4.73 849 299.10 21.99 1.15 2762 Y

Fortress Credit BSL VI Limited

4.27 780 110.77 21.25 1.11 3092 Y

Madison Park Funding XLIII Ltd

4.71 904 224.52 23.32 1.27 2974 Y

MidOcean Credit CLO IX

5.04 848 150.94 23.34 1.09 2828 Y

Venture 33 CLO, Limited

4.95 981 340.79 29.18 1.18 2654 Y

Ares XXVIIIR CLO Ltd

4.68 786 217.45 21.09 1.20 2910 Y

Apidos CLO XXX

4.61 859 214.43 27.99 1.21 2632 Y

Golub Capital Partners CLO 37(B), Ltd.

4.63 857 170.94 16.71 1.07 3065 Y

Myers Park CLO, Ltd.

4.72 884 193.97 21.14 1.13 2800 Y

VCO CLO 2018-1, LLC

4.50 371 44.82 1.89 1.17 3717 N

Wind River 2018-2 CLO Ltd.

4.75 852 210.81 21.18 1.20 2916 Y

Carlyle US CLO 2018-2 Ltd

4.82 905 249.98 29.70 1.17 2772 Y

GoldenTree Loan Opportunities X, Limited

4.62 840 140.27 26.59 1.27 2639 Y

BlueMountain CLO 2018-2 Ltd.

4.90 840 236.28 25.00 1.18 2905 Y

Carlyle Direct Lending CLO 2015-1R LLC

3.61 446 45.09 12.11 1.05 3814 Y

Antares CLO 2018-2, Ltd.

3.66 332 139.01 22.69 1.00 3711 Y

Diamond CLO 2018-1 Ltd.

3.39 658 50.88 22.46 1.06 3784 N

OHA Credit Funding 1, Ltd.

5.02 861 151.37 22.82 1.21 2866 Y

Dryden 65 CLO, Ltd.

4.79 932 300.68 26.09 1.14 2656 Y

HPS Loan Management 13-2018, Ltd.

4.78 859 171.78 25.04 1.12 2759 Y

Greywolf CLO VII, Ltd.

5.04 845 135.48 26.84 1.22 2852 Y

Marathon CLO XII Ltd.

4.54 804 169.39 24.29 1.23 2914 Y

Anchorage Capital CLO 2018-10, Ltd.

4.91 739 133.60 25.83 1.25 3167 Y

WhiteHorse XII Ltd.

4.57 943 153.59 25.47 1.13 2750 Y

Neuberger Berman Loan Advisers CLO 29, Ltd.

4.64 812 172.60 23.78 1.27 2840 Y

Buttermilk Park CLO, Ltd.

4.54 816 213.59 20.49 1.20 2823 Y

RR 5 LTD

4.62 835 131.80 21.04 1.26 2904 Y

Carlyle Global Market Strategies CLO 2014-5, Ltd.

4.77 924 239.77 26.82 1.22 2696 Y

Cathedral Lake V, Ltd.

4.55 761 103.09 18.67 1.21 2787 Y

BCC Middle Market CLO 2018-1, LLC

4.44 596 43.43 14.77 1.05 3963 Y

Apidos CLO XVIII-R

4.54 877 198.61 29.39 1.17 2613 Y

Catamaran CLO 2018-1 Ltd.

4.95 898 170.55 26.25 1.15 2635 Y
European CLO metrics

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

Table 3

Third-Quarter 2020 Metrics For European CLOs Rated By S&P Global Ratings
Transaction WAL (years) DRD ODM IDM RDM SPWARF Reinvesting

Harvest CLO X DAC

3.76 735 70.14 19.70 1.28 2956 N

Halcyon Loan Advisors European Funding 2014 B.V.

4.42 745 111.31 20.21 1.27 2997 Y

Lingfield 2014 I PLC

2.40 735 64.59 18.17 1.00 1212 N

Harvest CLO XI DAC

4.89 633 108.59 19.78 1.33 2900 Y

Jubilee CLO 2015-XV B.V.

4.07 659 94.82 16.71 1.21 2947 N

Avoca CLO XIV Ltd.

4.70 569 134.64 19.45 1.31 2916 Y

Black Diamond CLO 2015-1 DAC

4.26 673 115.64 18.83 1.72 2928 N

Euro-Galaxy IV CLO B.V.

4.78 744 123.34 26.08 1.42 2901 Y

Jubilee CLO 2015-XVI B.V.

4.39 701 102.29 18.77 1.22 2925 N

Elm Park CLO DAC

4.69 705 140.30 20.25 1.27 2812 N

Dryden 44 Euro CLO 2015 B.V.

5.01 700 99.06 18.82 1.30 3029 N

Aurium CLO II DAC

5.03 688 106.83 21.20 1.29 2752 N

Dryden 46 Euro CLO 2016 B.V.

5.06 668 98.58 18.55 1.32 2997 Y

Clarinda Park CLO DAC

4.91 725 142.43 19.49 1.30 2788 Y

Euro-Galaxy V CLO B.V.

4.77 690 132.09 24.35 1.40 2905 Y

Carlyle Global Market Strategies Euro CLO 2016-2 DAC

4.64 716 116.57 19.86 1.37 3206 Y

BlackRock European CLO II DAC

4.89 737 136.96 23.66 1.39 2791 Y

Strawinsky I PLC

1.84 388 1.54 1.54 1.54 5500 N

Clontarf Park CLO DAC

4.80 700 132.41 19.83 1.31 2833 Y

Arbour CLO VIII DAC

5.44 629 122.29 19.82 1.25 2794 Y

RRE 1 Loan Management DAC

4.99 635 112.96 18.45 1.19 2795 Y

Jubilee CLO 2019-XXII B.V.

4.83 592 107.64 20.46 1.16 2884 Y

RRE 2 Loan Management DAC

5.00 632 109.11 18.51 1.18 2780 Y

Black Diamond CLO 2019-1 DAC

4.82 573 137.17 21.00 1.75 2979 Y

Carlyle Euro CLO 2019-2 DAC

5.03 687 100.35 20.62 1.36 3224 Y

GoldenTree Loan Management EUR CLO 3 DAC

5.03 668 99.30 22.96 1.27 2972 Y

Harvest CLO XXII DAC

5.12 460 104.04 18.44 1.25 2912 Y

Tikehau CLO V B.V.

5.16 601 112.11 22.39 1.29 2834 Y

Dunedin Park CLO DAC

5.18 660 144.85 19.68 1.25 2804 Y

Aurium CLO I DAC

5.08 634 112.48 22.48 1.28 2772 Y

Toro European CLO 6 DAC

4.97 625 107.87 20.36 1.18 2943 Y

Purple Finance CLO 2 DAC

5.28 615 86.41 18.80 1.25 2706 Y

Avoca CLO XVII DAC

4.73 612 138.48 19.58 1.25 2921 Y

Dryden 48 Euro CLO 2016 B.V.

5.08 697 97.19 19.29 1.27 3005 Y

St. Paul's CLO II DAC

4.85 751 113.97 21.61 1.32 3024 Y

Contego CLO VII DAC

4.91 578 109.62 19.92 1.28 2909 Y

Harvest CLO XVII DAC

5.02 577 123.18 18.31 1.29 2854 Y

Ares European CLO VIII B.V.

4.63 553 110.23 20.81 1.24 2841 Y

Northwoods Capital 19 Euro DAC

5.48 578 91.79 22.55 1.30 2829 Y

MacKay Shields Euro CLO 1 DAC

5.41 557 96.34 19.86 1.20 2845 Y

RRE 3 Loan Management DAC

5.08 613 103.70 19.77 1.18 2812 Y

BlackRock Euro CLO IX DAC

5.02 697 129.39 22.34 1.33 2841 Y

Anchorage Capital Europe CLO 3 DAC

5.30 640 87.57 20.80 1.38 2935 Y

Seapoint Park CLO DAC

5.32 662 140.65 19.84 1.26 2780 Y

Armada Euro CLO IV DAC

5.49 693 86.75 20.97 1.41 2836 Y

Capital Four CLO I DAC

5.23 480 94.75 24.28 1.16 2851 Y

BlueMountain Fuji EUR CLO V DAC

5.23 569 135.12 19.97 1.42 2881 Y

Dryden 73 Euro CLO 2018 B.V.

5.36 714 84.79 16.06 1.32 2973 Y

Invesco Euro CLO III DAC

5.20 637 86.52 21.98 1.35 2832 Y

Cairn CLO XI DAC

5.19 564 113.89 20.65 1.25 2980 Y

Bain Capital Euro CLO 2019-1 DAC

5.12 586 144.02 23.11 1.32 2798 Y

CVC Cordatus Loan Fund XVI DAC

5.07 637 99.80 21.79 1.19 2846 Y

Jubilee CLO 2019-XXIII B.V.

5.00 560 94.11 19.01 1.19 2976 Y

Holland Park CLO DAC

4.74 722 128.26 18.00 1.29 2777 Y

North Westerly VI B.V.

5.22 640 108.97 18.18 1.26 2696 Y

Ares European CLO XIII B.V.

4.98 507 99.25 22.96 1.24 2900 Y

OCP Euro CLO 2017-1 DAC

4.93 716 97.30 20.01 1.44 2672 Y

Arbour CLO VII DAC

5.27 679 139.98 20.63 1.25 2796 Y

Vesey Park CLO DAC

5.39 651 126.52 19.45 1.23 2765 Y

Madison Park Euro Funding XV DAC

5.29 663 122.79 20.24 1.22 2936 Y

Zinnia Finance DAC

5.27 583 86.16 16.43 1.21 2708 Y

Avoca CLO XXIV DAC

5.09 551 117.50 19.63 1.25 2756 Y

Bilbao CLO III DAC

5.52 557 65.54 20.35 1.32 2787 Y

Fair Oaks Loan Funding II DAC

5.41 519 81.24 19.21 1.45 2763 Y

Avondale Park CLO DAC

5.31 693 103.72 15.87 1.24 2596 Y

Henley CLO II DAC

5.28 404 60.49 18.03 1.21 2894 Y

CVC Cordatus Loan Fund XVII DAC

5.18 576 79.10 19.01 1.26 2846 Y

OCP Euro CLO 2020-4 DAC

5.54 647 70.23 18.11 1.31 2666 Y

OZLME B.V.

4.78 751 133.46 23.41 1.40 2899 Y

CVC Cordatus Loan Fund VIII DAC

4.73 786 93.22 22.11 1.21 2694 Y

Dryden 51 Euro CLO 2017 B.V.

4.99 672 101.83 18.91 1.32 3012 Y

Bosphorus CLO III DAC

3.39 765 27.25 13.37 1.55 2772 N

Carlyle Euro CLO 2017-1 DAC

4.76 694 125.66 20.72 1.40 3061 Y

Aqueduct European CLO 1-2017 DAC

4.81 632 116.56 20.25 1.33 2793 Y

BlackRock European CLO III DAC

4.84 735 136.40 22.54 1.40 2804 Y

Aurium CLO III DAC

4.98 660 111.57 21.99 1.28 2784 Y

Madison Park Euro Funding IX DAC

4.50 743 121.09 23.10 1.23 2973 Y

BlueMountain Fuji EUR CLO II DAC

4.93 580 136.71 21.56 1.47 2869 Y

Dryden 35 Euro CLO 2014 B.V.

4.88 681 88.81 19.74 1.39 3022 Y

Madison Park Euro Funding VIII DAC

4.60 744 130.47 23.29 1.22 2997 Y

Harvest CLO XXIII DAC

5.41 500 100.78 21.27 1.25 2816 Y

Penta CLO 7 DAC

5.37 528 119.37 21.94 1.28 2887 Y

Accunia European CLO IV DAC

5.21 664 88.01 19.91 1.31 2743 Y

MAN GLG Euro CLO VI DAC

5.18 599 119.00 23.31 1.18 2879 Y

Sound Point Euro CLO III Funding DAC

5.60 617 99.69 20.88 1.35 2667 Y

Invesco Euro CLO IV DAC

5.35 678 85.58 20.49 1.34 2778 Y

Carlyle Global Market Strategies Euro CLO 2015-1 DAC

4.59 678 116.49 21.49 1.48 3274 Y

St. Paul's CLO XII DAC

5.53 500 91.85 17.27 1.46 2810 Y

Carlyle Euro CLO 2020-1 DAC

5.13 635 104.43 17.36 1.29 3079 Y

Voya Euro CLO III DAC

5.43 627 112.26 19.57 1.36 2770 Y

Avoca CLO XXI DAC

5.08 612 129.28 19.69 1.27 2900 Y

Dryden 74 Euro CLO 2018 B.V.

5.37 637 98.51 17.86 1.27 2931 Y

Harvest CLO XXIV DAC

5.42 432 82.19 18.86 1.28 2893 Y

Carlyle Global Market Strategies Euro CLO 2013-1 B.V.

4.72 695 123.87 22.40 1.36 3137 Y

Jubilee CLO 2013-X B.V.

4.46 734 106.23 20.04 1.16 2965 Y

Ares European CLO VI B.V.

4.76 622 113.93 24.60 1.30 2900 Y

Harvest CLO VII DAC

4.67 635 98.73 18.61 1.41 2984 Y

Dryden XXVII-R Euro CLO 2017 B.V.

4.87 621 99.30 18.39 1.29 2984 Y

Contego CLO IV DAC

4.84 662 103.78 22.81 1.35 2892 Y

Dryden 52 Euro CLO 2017 B.V.

4.95 659 92.81 18.75 1.33 2972 Y

Euro-Galaxy III CLO B.V.

4.76 710 129.33 24.68 1.43 2938 Y

Jubilee CLO 2014-XI B.V.

4.59 703 104.50 18.69 1.13 2919 Y

Avoca CLO XI DAC

4.69 591 135.01 19.74 1.28 2897 Y

Halcyon Loan Advisors European Funding 2017-1 DAC

4.55 777 112.98 20.06 1.31 3003 Y

Carlyle Euro CLO 2017-2 DAC

4.78 723 127.96 20.93 1.32 3078 Y

CVC Cordatus Loan Fund V DAC

4.81 707 99.43 17.94 1.22 2802 Y

CVC Cordatus Loan Fund IX DAC

4.68 790 91.29 19.77 1.20 2771 Y

Ares European CLO VII B.V.

4.71 614 122.51 22.63 1.24 2777 Y

Cairn CLO V B.V.

4.70 637 95.62 21.36 1.29 2818 Y

GLG Euro CLO III DAC

4.49 716 108.43 22.75 1.18 2975 Y

Armada Euro CLO I DAC

5.07 712 104.53 21.17 1.39 2804 Y

Bain Capital Euro CLO 2017-1 DAC

4.95 749 136.31 22.33 1.34 3009 Y

OZLME II DAC

4.84 737 128.40 23.58 1.41 2921 Y

Accunia European CLO II B.V.

5.03 710 93.53 20.44 1.19 2817 Y

Tikehau CLO III B.V.

4.59 708 111.41 22.26 1.35 2912 Y

Cairn CLO VIII B.V.

4.70 599 95.09 19.53 1.33 2931 Y

BlackRock European CLO IV DAC

4.93 719 140.50 21.73 1.36 2798 Y

Dryden 39 Euro CLO 2015 B.V.

5.10 702 109.61 19.06 1.30 3009 Y

Jubilee CLO 2017-XIX

4.54 652 109.14 19.93 1.15 2912 Y

Dryden 56 Euro CLO 2017 B.V.

5.12 695 104.71 17.89 1.29 3009 Y

Aqueduct European CLO 2-2017 DAC

4.86 637 115.75 20.99 1.37 2755 Y

OCP Euro CLO 2017-2 DAC

4.89 690 97.59 20.60 1.46 2708 Y

Black Diamond CLO 2017-2 DAC

4.59 628 136.45 20.27 1.74 3012 Y

Halcyon Loan Advisors European Funding 2017-2 DAC

4.64 720 118.39 19.85 1.24 2975 Y

Harvest CLO XVIII DAC

4.76 609 119.03 19.20 1.24 2915 Y

Purple Finance CLO 1 DAC

4.71 690 85.69 22.92 1.17 2792 Y

CVC Cordatus Loan Fund X DAC

4.81 669 96.53 18.27 1.19 2813 Y

Carlyle Euro CLO 2017-3 DAC

4.69 696 119.46 23.57 1.26 3142 Y

Dryden 29 Euro CLO 2013 B.V.

5.15 682 98.29 18.52 1.29 2961 Y

Adagio VI CLO DAC

4.86 548 110.24 21.20 1.23 2906 Y

Carlyle Global Market Strategies Euro CLO 2015-3 DAC

4.68 712 150.43 20.88 1.37 3121 Y

Madison Park Euro Funding X DAC

4.72 788 131.13 23.99 1.26 3064 Y

Barings Euro CLO 2018-1 B.V.

4.65 869 116.24 21.80 1.41 3149 Y

GLG Euro CLO IV DAC

4.68 753 108.27 22.43 1.17 2980 Y

Harvest CLO VIII DAC

4.84 580 122.99 20.15 1.28 2928 Y

OZLME III DAC

4.89 744 127.39 23.02 1.33 2901 Y

BlackRock European CLO I DAC

4.89 747 142.83 22.46 1.38 2780 Y

Ares European CLO IX B.V.

4.83 584 107.83 22.12 1.18 2857 Y

Toro European CLO 5 DAC

4.96 625 121.19 20.97 1.20 2916 Y

Providus CLO I DAC

5.21 665 101.79 16.49 1.48 2845 Y

Carlyle Euro CLO 2018-1 DAC

4.65 718 127.77 22.56 1.34 3100 Y

Aurium CLO IV DAC

5.10 663 109.95 21.59 1.28 2747 Y

Voya Euro CLO I DAC

4.90 700 123.37 20.96 1.44 2906 Y

BlueMountain EUR CLO 2016-1 DAC

5.09 611 151.47 21.51 1.44 2868 Y

Avoca CLO XVIII DAC

4.79 583 133.57 19.63 1.30 2872 Y

ALME Loan Funding V B.V.

4.89 619 104.77 18.11 1.15 2751 Y

Dryden 63 GBP CLO 2018 B.V.

4.85 769 58.16 19.19 1.13 2935 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. SPWARF--S&P Global weighted average rating factor. Y--Yes. N--No.

Related Research

Appendix

Appendix

Rating Factor
Rating Rating factor
AAA 13.51
AA+ 26.75
AA 46.36
AA- 63.90
A+ 99.50
A 146.35
A- 199.83
BBB+ 271.01
BBB 361.17
BBB- 540.42
BB+ 784.92
BB 1233.63
BB- 1565.44
B+ 1982.00
B 2859.50
B- 3610.11
CCC+ 4641.40
CCC 5293.00
CCC- 5751.10

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

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
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
CLO Sector Lead:Stephen A Anderberg, New York (1) 212-438-8991;
stephen.anderberg@spglobal.com

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