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

S&P Global Ratings is publishing performance benchmarks under the 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 provides transparency into our view of CLO collateral credit quality and diversity using the non-model version of our CDO monitor. They also highlight 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.

image

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

Non-Model Monitor Benchmarks

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

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

Table 1

Average Fourth-Quarter 2020 Metrics For Reinvesting BSL CLOs
SPWARF DRD ODM IDM RDM WAL (years)
European CLOs 2884 656 110.91 20.14 1.30 4.87
U.S. CLOs 2748 840 199.55 24.09 1.18 4.78
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, on RatingsDirect.

U.S. CLO metrics

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

Table 2

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

522 Funding CLO I Ltd.

5.20 152.38 20.71 1.16 2733 760 Y

ABPCI Direct Lending Fund CLO I Ltd.

3.20 57.04 6.44 1.00 3961 596 Y

ABPCI Direct Lending Fund CLO II Ltd.

3.20 57.29 8.54 1.00 3980 625 Y

ABPCI Direct Lending Fund CLO IV Ltd

3.15 51.97 6.74 1.00 3915 557 Y

ABPCI Direct Lending Fund CLO V Ltd.

3.51 55.81 6.22 1.00 3926 549 Y

ABPCI Direct Lending Fund CLO VI Ltd.

3.92 56.43 5.83 1.00 3880 475 Y

ABPCI Direct Lending Fund CLO VII LP

3.90 55.41 7.35 1.00 3853 433 Y

ABPCI Direct Lending Fund CLO VIII Ltd

3.64 58.93 5.78 1.00 3858 443 Y

ABPCI II Direct Lending Funding II LP

4.21 36.57 7.05 1.00 3850 415 Y

ACIS CLO 2014-3, Ltd.

2.92 36.27 16.25 1.10 3059 962

ACIS CLO 2014-4 Ltd

3.08 41.53 18.08 1.17 3198 974

ACIS CLO 2014-5 Ltd.

3.26 49.29 17.58 1.15 3227 957

ACIS CLO 2015-6 Ltd.

3.32 56.91 19.38 1.13 2996 1021

Addington Square Funding III L.P.

3.36 35.25 6.47 1.00 3853 399 Y

AGL CLO 3 Ltd.

5.53 173.23 26.45 1.20 2725 780 Y

AGL CLO 5 Ltd.

5.49 170.20 26.45 1.19 2592 784 Y

AGL CLO 6 Ltd.

5.48 171.13 25.23 1.17 2529 789 Y

AGL CLO 7 Ltd.

5.42 179.23 25.76 1.18 2533 779 Y

AIG CLO 2018-1, Ltd.

4.70 188.55 22.08 1.16 2850 667 Y

AIG CLO 2019-1, Ltd.

4.72 186.98 22.48 1.15 2819 677 Y

AIG CLO 2019-2, Ltd.

4.85 170.77 21.34 1.17 2796 663 Y

AIG CLO 2020-1 LLC

4.93 124.24 21.48 1.15 2762 659 Y

AIMCO CLO 10, Ltd.

4.85 207.00 25.51 1.14 2622 887 Y

Allegany Park CLO, Ltd.

4.97 177.14 17.40 1.21 2848 674 Y

Allegro CLO I, Ltd.

2.58 29.77 12.73 1.20 3408 870

Allegro CLO III, Ltd.

3.47 102.10 22.18 1.23 3290 828

Allegro CLO XI, Ltd.

4.93 230.11 24.98 1.22 2766 776 Y

ALM 2020, LTD.

4.50 132.41 25.09 1.27 2819 823 Y

ALM VII(R)-2, Ltd.

4.45 146.07 23.75 1.25 2756 904 Y

ALM VII, Ltd.

4.67 133.41 23.57 1.25 2788 877 Y

ALM XIX, Ltd.

4.65 116.59 22.66 1.27 2849 831 Y

ALM XVIII, Ltd.

4.54 101.34 22.06 1.31 2799 897 Y

AMMC CLO 19, Limited

4.08 304.25 28.69 1.13 2638 990 Y

AMMC CLO 20, Limited

4.35 308.49 27.35 1.13 2688 910 Y

AMMC CLO 21, Limited

4.43 332.06 27.41 1.14 2714 933 Y

AMMC CLO 22, Limited

4.39 324.96 29.02 1.12 2675 957 Y

AMMC CLO 23, Limited

4.98 206.43 22.28 1.16 2579 794 Y

AMMC CLO XI, Limited

4.37 305.42 29.43 1.13 2703 952 Y

AMMC CLO XII, Limited

4.34 294.74 31.43 1.11 2703 944 Y

AMMC CLO XIII, Limited

4.40 273.86 30.49 1.15 2603 959 Y

Anchorage Capital CLO 11, Ltd.

5.18 131.90 22.81 1.27 3168 659 Y

Anchorage Capital CLO 13, Ltd.

5.11 136.99 24.53 1.24 3181 662 Y

Anchorage Capital CLO 1-R, Ltd.

5.04 138.19 24.72 1.28 3251 673 Y

Anchorage Capital CLO 2018-10, Ltd.

5.02 138.52 25.59 1.26 3245 661 Y

Anchorage Capital CLO 3-R, Ltd.

5.02 142.92 24.77 1.24 3258 663 Y

Anchorage Capital CLO 4-R Ltd.

5.04 142.24 24.80 1.25 3250 673 Y

Anchorage Capital CLO 5-R Ltd

5.04 143.15 25.54 1.23 3238 686 Y

Anchorage Capital CLO 7, Ltd

4.82 125.18 25.36 1.25 3247 656

Anchorage Capital CLO 9, Ltd.

5.07 134.87 23.65 1.31 3199 695 Y

Anchorage Credit Opportunities CLO 1, Ltd.

4.95 93.25 28.59 1.25 3549 576 Y

Antares CLO 2017-1, Ltd.

3.45 161.35 23.47 1.01 3737 348 Y

Antares CLO 2017-2, Ltd.

3.38 143.98 21.58 1.02 3708 355 Y

Antares CLO 2018-1, Ltd.

3.50 134.31 23.48 1.01 3711 350 Y

Antares CLO 2018-2, Ltd.

3.59 139.19 22.86 1.01 3717 313 Y

Antares CLO 2018-3 Ltd.

3.60 132.85 22.37 1.02 3722 350 Y

Antares CLO 2019-1, Ltd.

3.47 135.10 20.38 1.01 3743 381 Y

Antares CLO 2019-2, Ltd.

3.81 131.91 23.75 1.02 3657 260 Y

Apex Credit CLO 2015-II Ltd.

3.93 174.98 23.47 1.18 3096 1046

Apex Credit CLO 2019-II Ltd.

5.02 189.18 26.05 1.19 2590 930 Y

Apidos CLO XI

4.56 194.85 28.53 1.19 2637 910 Y

Apidos CLO XV

4.60 208.02 28.85 1.21 2691 877 Y

Apidos CLO XVIII-R

4.58 200.10 28.25 1.17 2628 887 Y

Apidos CLO XXIII

4.45 204.99 27.27 1.19 2638 884 Y

Apidos CLO XXIV

4.58 210.30 27.22 1.19 2693 888 Y

Apidos CLO XXIX

4.63 223.74 27.60 1.21 2731 862 Y

Apidos CLO XXVI

4.51 204.25 27.54 1.18 2601 911 Y

Apidos CLO XXVIII

4.56 215.19 27.95 1.20 2664 901 Y

Apidos CLO XXX

4.61 213.76 26.42 1.20 2685 853 Y

Apidos CLO XXXI

4.66 208.64 25.95 1.21 2669 858 Y

Apollo Credit Funding IV Ltd

4.85 70.85 16.08 1.34 2960 736 Y

Apres Static CLO 2 Ltd.

4.64 141.20 21.59 1.09 2826 647 Y

Ares LI CLO Ltd.

5.01 200.29 18.38 1.22 2978 722 Y

Ares LII CLO Ltd.

4.98 213.37 19.08 1.24 2981 739 Y

Ares LIII CLO Ltd.

4.97 204.83 16.66 1.17 2943 733 Y

Ares LIV CLO Ltd.

5.05 194.93 17.86 1.20 2994 733 Y

Ares LV CLO Ltd.

4.89 167.64 16.24 1.17 2851 641 Y

Ares XLII CLO, Ltd.

4.86 205.73 19.39 1.20 3051 750 Y

Ares XLIV CLO Ltd.

4.88 210.13 18.93 1.22 3002 750 Y

Ares XLIX CLO Ltd.

4.95 212.53 18.83 1.18 2949 739 Y

ARES XLVI CLO Ltd.

4.91 210.83 18.79 1.21 3012 750 Y

Ares XLVII CLO Ltd.

4.93 210.93 19.15 1.19 3001 755 Y

Ares XLVIII CLO Ltd.

4.96 207.52 19.06 1.22 2965 738 Y

Ares XXVII CLO LTD

4.95 215.01 19.28 1.20 3001 729 Y

Ares XXVIIIR CLO Ltd

4.90 218.97 19.44 1.20 2987 758 Y

Ares XXXIIR CLO Ltd.

4.93 213.70 19.73 1.21 2997 745 Y

Ares XXXIR CLO Ltd.

4.90 223.60 19.83 1.20 2985 742 Y

ARES XXXIV CLO Ltd.

4.89 208.78 19.08 1.19 2950 742

Ares XXXIX CLO Ltd.

4.94 211.13 18.43 1.20 3040 762 Y

Ares XXXVIII CLO Ltd.

4.94 214.79 18.69 1.20 3025 752 Y

Atlas Senior Loan Fund III, Ltd.

4.38 133.44 25.71 1.12 2697 1062

Atlas Senior Loan Fund IX, Ltd.

4.03 139.66 29.35 1.11 2701 1042

Atlas Senior Loan Fund V, Ltd.

4.84 157.75 25.96 1.10 2566 979 Y

Atlas Senior Loan Fund VII Ltd.

4.90 169.84 26.03 1.11 2560 981 Y

Atlas Senior Loan Fund X, Ltd.

4.88 160.41 26.26 1.10 2605 957 Y

Atlas Senior Loan Fund XII, Ltd.

4.96 172.26 26.29 1.11 2624 965 Y

Atlas Senior Loan Fund XIII, Ltd.

4.88 169.66 26.44 1.10 2615 944 Y

Atlas Senior Loan Fund XV, Ltd.

5.01 167.61 25.26 1.12 2500 887 Y

Atlas Senior Secured Loan Fund VIII Ltd.

4.90 171.51 26.94 1.11 2601 978 Y

Audax Senior Debt CLO I, LLC

4.25 116.64 15.79 1.02 3606 561 Y

Audax Senior Debt CLO II, LLC

4.42 101.17 15.63 1.03 3645 472 Y

Audax Senior Debt CLO III LLC

4.43 105.29 14.52 1.03 3609 457 Y

Avery Point III CLO, Limited

3.01 35.01 19.84 1.24 2909 671

Avery Point IV CLO, Limited

3.20 61.33 22.33 1.21 2858 744

B&M CLO 2014-1, Ltd.

2.39 42.70 19.85 1.02 3275 937

Bain Capital Credit CLO 2016-2, Limited

4.92 264.09 24.09 1.23 2811 838 Y

Bain Capital Credit CLO 2017-1, Limited

4.83 263.66 22.69 1.24 2857 796 Y

Bain Capital Credit CLO 2017-2, Limited

4.89 269.79 23.81 1.20 2842 816 Y

Bain Capital Credit CLO 2018-1 Ltd

4.90 266.62 23.29 1.21 2872 786 Y

Bain Capital Credit CLO 2018-2, Limited

4.88 267.72 23.26 1.22 2847 778 Y

Bain Capital Credit CLO 2019-1 Ltd

4.90 276.70 24.85 1.25 2835 796 Y

Bain Capital Credit CLO 2019-2, Limited

4.93 274.50 24.50 1.22 2858 777 Y

Bain Capital Credit CLO 2019-4, Limited

4.97 274.80 24.30 1.26 2876 770 Y

Bain Capital Credit CLO 2020-1 Ltd.

5.11 232.97 19.04 1.24 2779 741 Y

Bain Capital Credit CLO 2020-2, Ltd.

5.03 220.03 22.13 1.20 2680 803 Y

Ballyrock CLO 2020-1 Ltd.

5.08 198.67 23.50 1.26 2475 830 Y

Ballyrock CLO 2020-2 Ltd.

5.26 203.61 23.69 1.24 2466 795 Y

Barings CLO Ltd. 2013-I

3.90 166.41 26.02 1.17 2643 941

Barings CLO Ltd. 2016-I

4.62 173.31 26.97 1.17 2748 913 Y

Barings CLO Ltd. 2017-I

4.58 198.17 26.49 1.17 2723 884 Y

Barings CLO Ltd. 2018-II

4.64 189.21 28.26 1.16 2660 915 Y

Barings CLO Ltd. 2018-III

4.60 192.26 28.79 1.15 2763 854 Y

Barings CLO Ltd. 2019-I

4.69 190.08 24.33 1.16 2826 768 Y

Barings CLO Ltd. 2019-II

4.65 185.46 26.13 1.18 2807 852 Y

Barings CLO Ltd. 2019-III

4.51 160.57 24.91 1.14 2808 824 Y

Barings CLO Ltd. 2019-IV

4.81 149.08 21.23 1.19 2847 718 Y

Barings CLO Ltd. 2020-I

5.05 101.28 21.13 1.25 2570 852 Y

Barings CLO Ltd. 2020-II

5.03 125.50 20.07 1.19 2653 829 Y

Barings Middle Market CLO Ltd. 2018-I

3.85 57.36 22.80 1.03 3867 678 Y

Barings Middle Market CLO Ltd. 2019-I

4.15 69.70 15.23 1.03 3906 621 Y

Battalion CLO XI Ltd.

4.88 170.14 25.96 1.26 2700 930 Y

Battalion CLO XV Ltd.

5.01 162.56 25.40 1.25 2626 861 Y

Battalion CLO XVI Ltd.

5.00 164.46 25.82 1.24 2600 880 Y

Battalion CLO XVIII Ltd.

5.14 161.65 24.73 1.28 2475 806 Y

Battery Park CLO Ltd

4.98 270.73 22.89 1.20 2680 770 Y

BCC Middle Market CLO 2018-1, LLC

4.15 44.39 14.34 1.07 3835 491 Y

BCC Middle Market CLO 2019-1 LLC

4.31 52.20 16.04 1.06 3891 560 Y

Beechwood Park CLO, Ltd.

5.01 199.10 19.66 1.21 2798 744 Y

Benefit Street Partners CLO II, Ltd.

4.59 272.44 28.00 1.16 2733 868 Y

Benefit Street Partners CLO III, Ltd.

4.62 274.09 27.34 1.14 2763 870 Y

Benefit Street Partners CLO IV, Ltd.

4.32 270.29 28.31 1.13 2723 864 Y

Benefit Street Partners CLO IX, Ltd.

4.65 280.50 27.89 1.17 2790 853 Y

Benefit Street Partners CLO V-B, Ltd.

4.60 276.77 28.14 1.14 2737 877 Y

Benefit Street Partners CLO VI Ltd.

4.59 282.86 26.86 1.13 2765 871 Y

Benefit Street Partners CLO VII, Ltd.

3.40 153.50 25.27 1.10 2934 925

Benefit Street Partners CLO VIII Ltd

4.63 286.29 26.95 1.15 2776 864 Y

Benefit Street Partners CLO X, Ltd.

4.59 279.35 28.85 1.14 2772 873 Y

Benefit Street Partners CLO XIV, Ltd.

4.68 283.60 27.89 1.12 2768 861 Y

Benefit Street Partners CLO XIX, Ltd.

4.81 297.49 27.07 1.15 2687 835 Y

Benefit Street Partners CLO XVII, Ltd.

4.73 282.87 27.90 1.13 2746 826 Y

Benefit Street Partners CLO XVIII, Ltd.

4.79 293.93 28.42 1.14 2670 842 Y

Benefit Street Partners CLO XX, Ltd.

5.12 248.29 25.40 1.14 2514 774 Y

Benefit Street Partners CLO XXI, Ltd.

5.12 245.96 26.65 1.14 2528 745 Y

Black Diamond CLO 2013-1, Ltd.

2.75 31.90 15.27 1.02 3253 1145

Black Diamond CLO 2014-1, Ltd.

2.98 45.64 17.13 1.03 3337 1052

Black Diamond CLO 2016-1, Ltd

4.48 155.24 21.55 1.18 2927 844 Y

Black Diamond CLO 2017-1, Ltd.

4.54 151.26 21.19 1.14 2943 858 Y

Black Diamond CLO 2019-2, Ltd.

4.60 144.36 20.80 1.16 2929 827 Y

Blue Ridge CLO Ltd. I

2.84 33.25 16.30 1.24 3080 1165

Blue Ridge CLO Ltd. II

3.09 49.32 17.15 1.11 2762 1035

BlueMountain CLO 2012-2 Ltd

4.85 259.08 24.09 1.18 3002 881

BlueMountain CLO 2013-1 Ltd.

4.20 217.79 27.58 1.18 2973 981 Y

BlueMountain CLO 2013-2 Ltd.

4.86 229.74 28.16 1.17 2879 950 Y

BlueMountain CLO 2014-2 Ltd.

4.95 249.81 28.36 1.23 2894 835 Y

BlueMountain CLO 2015-1 Ltd.

3.38 96.25 19.82 1.22 2913 996

BlueMountain CLO 2015-2 Ltd.

4.57 221.02 25.72 1.17 2984 928

BlueMountain CLO 2015-3 Ltd

4.87 248.45 26.28 1.17 2949 874 Y

BlueMountain CLO 2015-4 Ltd.

4.82 245.70 25.34 1.19 2925 923 Y

BlueMountain CLO 2016-1 Ltd

4.30 214.68 27.54 1.19 2907 937

BlueMountain CLO 2016-2 Ltd

4.87 263.46 25.10 1.17 3023 887 Y

BlueMountain CLO 2016-3 Ltd.

4.75 244.42 25.68 1.17 2898 903 Y

BlueMountain CLO 2018-1 Ltd.

4.92 229.16 26.62 1.18 2992 871 Y

BlueMountain CLO 2018-2 Ltd.

4.89 246.03 25.03 1.18 2968 845 Y

BlueMountain CLO 2018-3 Ltd.

4.82 246.80 27.32 1.17 3031 861 Y

BlueMountain CLO XXII Ltd.

4.86 212.00 26.63 1.24 2981 881 Y

BlueMountain CLO XXIII Ltd.

4.97 226.88 25.21 1.18 2947 829 Y

BlueMountain CLO XXIV Ltd.

5.01 226.12 23.42 1.17 2954 755 Y

BlueMountain CLO XXIX Ltd.

5.33 229.58 22.83 1.18 2641 779 Y

BlueMountain CLO XXV Ltd.

5.10 235.30 24.82 1.14 2867 784 Y

BlueMountain CLO XXVI Ltd.

5.16 238.81 24.01 1.17 2871 781 Y

BlueMountain Fuji US CLO I, Ltd.

4.83 230.33 26.84 1.21 2911 905 Y

BlueMountain Fuji US CLO II Ltd.

4.83 237.69 28.26 1.19 2940 876 Y

BlueMountain Fuji US CLO III Ltd.

4.83 215.06 26.58 1.23 2925 890 Y

BNPP IP CLO 2014-1, Ltd.

2.32 32.57 14.67 1.04 3916 993

BNPP IP CLO 2014-II, Ltd.

2.63 48.22 20.18 1.06 3726 1012

Bowman Park CLO Ltd.

3.31 80.65 17.35 1.14 2981 792

Brentwood CLO Ltd

0.59 2.19 2.19 1.00 5685 129

Brightwood Capital MM CLO 2019-1 Ltd.

3.68 44.91 14.00 1.00 4324 926 Y

Broad River BSL Funding CLO Ltd. 2020-1

4.84 170.39 21.89 1.16 2652 830 Y

Buckhorn Park CLO, Ltd.

4.63 165.08 21.33 1.13 2709 870 Y

Buttermilk Park CLO, Ltd.

4.56 216.46 21.38 1.21 2807 828 Y

California Street CLO IX Limited Partnership

4.71 191.96 22.62 1.14 2889 820

Canyon Capital CLO 2014-1 Ltd.

4.86 150.33 23.43 1.28 2779 862 Y

Canyon CLO 2019-2, Ltd.

5.17 195.08 20.61 1.30 2822 776 Y

Canyon CLO 2020-1, Ltd.

5.02 147.75 23.83 1.32 2545 785

Carlyle C17 CLO, Ltd.

4.85 224.48 30.85 1.20 2753 905 Y

Carlyle Direct Lending CLO 2015-1R LLC

3.37 43.21 13.05 1.05 3864 540 Y

Carlyle Global Market Strategies CLO 2012-3 Ltd.

4.84 264.54 27.45 1.19 2709 937 Y

Carlyle Global Market Strategies CLO 2012-4, LTD

4.86 257.05 28.57 1.18 2712 947 Y

Carlyle Global Market Strategies CLO 2013-2, Ltd.

4.51 239.15 30.35 1.16 2684 933 Y

Carlyle Global Market Strategies CLO 2013-3 Ltd

4.89 247.20 30.34 1.16 2683 939 Y

Carlyle Global Market Strategies CLO 2013-4, Ltd.

4.90 233.98 29.78 1.20 2750 925 Y

Carlyle Global Market Strategies CLO 2014-1, Ltd.

4.91 271.95 28.60 1.19 2731 916 Y

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

4.84 253.85 28.43 1.18 2692 927 Y

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

4.85 273.34 28.43 1.18 2730 933 Y

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

4.83 257.92 29.50 1.20 2736 920 Y

Carlyle Global Market Strategies CLO 2014-5, Ltd.

4.81 252.20 26.62 1.20 2715 935 Y

Carlyle Global Market Strategies CLO 2016-1, Ltd.

4.76 225.21 28.64 1.18 2750 930

Carlyle Global Market Strategies CLO 2016-2, Ltd.

4.60 245.58 30.59 1.17 2740 899 Y

Carlyle US CLO 2016-4, Ltd.

4.73 243.47 29.84 1.20 2751 934 Y

Carlyle US CLO 2017-3 Ltd

4.86 258.34 28.08 1.18 2714 929 Y

Carlyle US CLO 2017-5, Ltd.

4.82 240.86 29.98 1.19 2745 960 Y

Carlyle US CLO 2018-2 Ltd

4.82 259.90 29.19 1.17 2772 916 Y

Carlyle US CLO 2019-2, Ltd.

4.89 249.44 29.19 1.15 2769 842 Y

Carlyle US CLO 2019-3, Ltd.

4.93 258.81 27.94 1.16 2760 831 Y

Carlyle US CLO 2019-4, Ltd.

5.03 225.19 27.30 1.19 2777 820 Y

Carlyle US CLO 2020-1, Ltd.

5.36 217.52 23.82 1.19 2552 766 Y

Catamaran CLO 2014-2 Ltd.

3.17 80.05 23.46 1.31 2919 1046

Catamaran CLO 2015-1 Ltd

3.49 103.79 22.93 1.23 2875 1043

Catamaran CLO 2018-1 Ltd.

4.80 170.20 23.82 1.13 2614 900 Y

Cathedral Lake CLO 2013 Ltd

4.69 112.61 21.82 1.16 2703 857 Y

Cathedral Lake II, Ltd.

4.70 118.38 22.00 1.16 2719 831 Y

Cathedral Lake III, Ltd.

4.71 117.05 21.64 1.13 2725 835 Y

Cathedral Lake IV, Ltd.

4.69 116.57 21.79 1.14 2722 855 Y

Cathedral Lake V, Ltd.

4.68 107.56 19.10 1.20 2747 827 Y

Catskill Park CLO, Ltd.

4.50 210.56 21.80 1.17 2581 929 Y

Cayuga Park CLO, Ltd.

5.25 159.96 15.38 1.17 2627 799 Y

CBAM 2020-12, Ltd.

5.15 137.10 19.60 1.20 2496 722 Y

Cedar Funding II CLO Ltd

4.45 208.69 26.87 1.09 2743 879 Y

Cedar Funding IV CLO, Ltd.

4.50 222.20 26.96 1.11 2719 875 Y

Cedar Funding IX CLO, Ltd.

4.53 215.14 27.72 1.10 2749 854 Y

Cedar Funding V CLO Ltd

4.42 211.87 27.24 1.12 2695 867 Y

Cedar Funding VI CLO, Ltd.

4.40 219.21 28.00 1.11 2760 869 Y

Cedar Funding VII CLO, Ltd.

4.50 219.68 26.63 1.12 2739 850 Y

Cedar Funding VIII CLO Ltd

4.48 221.08 26.70 1.11 2738 874 Y

Cedar Funding X CLO, Ltd.

4.60 204.59 25.29 1.09 2706 822 Y

Cedar Funding XI CLO, Ltd.

4.53 188.50 26.65 1.10 2748 820 Y

Cent CLO 19 Limited

3.03 81.71 20.34 1.19 2620 967

Cent CLO 21 Limited

4.64 236.87 23.27 1.16 2528 954 Y

Cent CLO 24 Limited

3.89 197.42 24.15 1.18 2565 937

CFIP CLO 2013-1, Ltd

4.49 139.20 21.66 1.15 2686 797 Y

CFIP CLO 2014-1, Ltd.

4.53 136.18 22.01 1.16 2706 794 Y

CFIP CLO 2017-1, Ltd.

4.49 146.37 21.00 1.15 2747 824 Y

CFIP CLO 2018-1, Ltd.

4.55 143.83 20.37 1.15 2560 870 Y

Chenango Park CLO, Ltd.

4.57 207.13 20.58 1.16 2682 901 Y

Churchill Middle Market CLO IV Ltd.

4.25 72.36 18.63 1.00 3864 553 Y

CIFC Funding 2013-I, Ltd.

4.72 225.38 24.91 1.17 2793 828 Y

CIFC Funding 2013-II, Ltd.

4.73 230.69 24.97 1.17 2720 865 Y

CIFC Funding 2014, Ltd.

4.72 241.14 25.75 1.18 2693 872 Y

CIFC Funding 2014-III, Ltd.

4.83 230.26 22.44 1.15 2718 859 Y

CIFC Funding 2014-IV-R, Ltd.

4.78 237.96 23.67 1.13 2679 894 Y

CIFC Funding 2014-V, Ltd.

4.76 232.82 23.60 1.15 2776 857 Y

CIFC Funding 2016-I, Ltd.

4.71 237.45 23.13 1.13 2734 843 Y

CIFC Funding 2017-I, Ltd.

4.77 229.12 24.66 1.14 2700 885 Y

CIFC Funding 2019-IV, Ltd.

4.94 213.55 22.88 1.11 2732 740 Y

CIFC Funding 2019-VI, Ltd.

5.25 177.25 22.79 1.20 2828 733 Y

CIFC Funding 2020-I, Ltd

5.19 183.27 23.10 1.20 2681 701 Y

CIFC Funding 2020-II, Ltd.

5.27 178.55 19.26 1.13 2707 678 Y

CIFC Funding 2020-III, Ltd.

5.28 168.23 19.59 1.19 2687 684 Y

Columbia Cent CLO 27 Limited

4.59 230.18 24.08 1.16 2535 964

Columbia Cent CLO 28 Limited

4.58 233.75 24.46 1.17 2514 947 Y

Cook Park CLO, Ltd.

4.52 206.55 23.62 1.17 2682 931 Y

Crown City CLO I

5.33 157.99 23.01 1.15 2354 799 Y

Crown Point CLO 5 Ltd.

4.14 152.22 29.74 1.06 2763 930

Crown Point CLO 6 Ltd.

4.29 148.03 26.02 1.11 2732 960

Crown Point CLO 9 Ltd.

5.05 153.02 27.27 1.11 2348 810 Y

Cumberland Park CLO, Ltd.

4.15 191.69 20.99 1.18 2776 850

CVP CLO 2017-1 Ltd

4.53 152.57 26.63 1.11 2585 933 Y

CVP CLO 2017-2, Ltd.

4.53 155.25 26.83 1.11 2591 920 Y

Deerpath Capital CLO 2018-1 Ltd.

3.25 47.59 11.92 1.00 3988 697 Y

Deerpath Capital CLO 2020-1 Ltd.

3.37 48.56 13.52 1.00 3889 628 Y

Denali Capital CLO X, LTD.

3.73 196.57 25.18 1.07 2949 916

Diamond CLO 2018-1 Ltd.

3.33 46.93 21.42 1.06 3780 667

Diamond CLO 2019-1 Ltd.

3.76 57.06 21.91 1.15 3445 704

Dorchester Park CLO DAC

4.10 188.13 23.21 1.19 2780 844

Dryden 30 Senior Loan Fund

4.50 284.93 28.54 1.14 2644 961

Dryden 33 Senior Loan Fund

4.70 293.28 26.79 1.13 2659 944 Y

Dryden 36 Senior Loan Fund

4.70 288.74 26.89 1.13 2641 943 Y

Dryden 42 Senior Loan Fund

4.72 283.63 27.17 1.13 2656 941 Y

Dryden 47 Senior Loan Fund

4.66 296.56 28.11 1.14 2644 951 Y

Dryden 55 CLO, Ltd.

4.70 287.22 26.88 1.13 2662 935 Y

Dryden 65 CLO, Ltd.

4.75 300.23 26.85 1.14 2649 922 Y

Dryden 68 CLO, Ltd.

4.79 278.92 26.65 1.12 2657 902 Y

Dryden 70 CLO, Ltd.

4.76 294.42 26.39 1.14 2657 929 Y

Dryden 72 CLO, Ltd.

4.84 252.57 25.78 1.14 2689 918 Y

Dryden 75 CLO, Ltd.

4.73 271.65 27.58 1.13 2645 918 Y

Dryden 76 CLO, Ltd.

4.81 261.98 26.03 1.14 2696 905 Y

Dryden 77 CLO, Ltd.

4.98 197.72 28.10 1.13 2260 873 Y

Dryden 78 CLO, Ltd

4.88 258.29 27.96 1.14 2522 908 Y

Dryden 80 CLO Ltd.

4.94 256.12 26.25 1.14 2639 907 Y

Dryden 85 CLO, Ltd.

4.96 223.19 26.35 1.16 2488 873 Y

Dryden 86 CLO, Ltd.

4.99 207.27 25.72 1.14 2487 880 Y

Dryden XXV Senior Loan Fund

4.22 255.10 26.10 1.15 2709 972

Dryden XXVI Senior Loan Fund

4.72 271.08 26.36 1.13 2698 956 Y

Dryden XXVIII Senior Loan Fund

4.71 292.35 27.11 1.13 2679 936 Y

East West Investment Management CLO 2019-1, Limited

4.90 148.64 24.60 1.05 2839 697 Y

Eastland CLO Ltd

0.66 1.39 1.39 1.00 5623 240

Eaton Vance CLO 2013-1 LTD

4.56 222.12 24.36 1.15 2646 907 Y

Eaton Vance CLO 2015-1, Ltd.

4.64 218.45 23.64 1.15 2656 899 Y

Eaton Vance CLO 2020-1, Ltd.

4.91 186.38 22.18 1.17 2446 795 Y

Elevation CLO 2013-1 Ltd.

4.66 230.62 26.53 1.11 2608 958 Y

Elevation CLO 2015-4, Ltd.

3.46 86.47 16.08 1.09 3014 944

Elevation CLO 2020-11, Ltd.

4.66 227.86 25.02 1.07 2730 796 Y

Elmwood CLO I Ltd.

4.84 232.18 27.13 1.11 2690 853 Y

Elmwood CLO IV, Ltd.

4.90 227.83 26.67 1.12 2675 842 Y

Elmwood CLO V Ltd.

4.91 218.18 26.64 1.11 2601 838 Y

Elmwood CLO VI Ltd.

4.92 225.62 27.30 1.12 2615 833 Y

Figueroa CLO 2014-1, Ltd.

3.60 79.50 17.98 1.24 3231 826

Fillmore Park CLO, Ltd.

4.68 201.65 22.54 1.17 2694 888 Y

First Eagle Commercial Loan Funding 2016-1 LLC

3.52 87.17 23.45 1.01 3906 695 Y

Flagship CLO VIII Ltd

3.16 82.45 26.82 1.15 2942 1003

Flagship VII LTD

2.33 32.00 14.77 1.12 3366 883

Flatiron CLO 19 Ltd.

4.68 203.22 27.70 1.20 2646 792 Y

Fort Washington CLO 2019-1, Ltd.

5.05 166.57 26.70 1.14 2637 749 Y

Fortress Credit BSL III Limited

4.41 115.73 22.08 1.10 3022 775 Y

Fortress Credit BSL IV Limited

4.40 115.42 23.11 1.09 2962 766 Y

Fortress Credit BSL V Limited

4.37 111.81 22.82 1.08 3035 777 Y

Fortress Credit BSL VI Limited

4.29 109.41 21.48 1.08 3092 790 Y

Fortress Credit BSL VII Limited

4.56 98.17 23.87 1.13 3087 767 Y

Fortress Credit BSL VIII Ltd.

4.58 100.60 22.93 1.14 3163 744 Y

Fortress Credit Opportunities IX CLO Limited

3.48 62.52 12.66 1.01 4098 947 Y

Fortress Credit Opportunities VI CLO Limited

3.46 49.52 12.91 1.04 3854 967 Y

Fortress Credit Opportunities VII CLO Limited

3.73 59.39 12.50 1.03 4018 957 Y

Fortress Credit Opportunities XI CLO Limited

3.68 57.97 13.42 1.01 4017 943 Y

Fortress Credit Opportunities XIII CLO Limited

3.93 27.66 13.46 1.02 3592 569 Y

FS KKR MM CLO 1 LLC

3.77 41.70 19.50 1.11 3929 863 Y

Galaxy XIX CLO Ltd

4.68 192.78 26.56 1.29 2694 890 Y

Galaxy XV CLO, Ltd.

4.72 198.68 26.18 1.30 2734 879 Y

Galaxy XXII CLO, LTD

4.53 206.29 29.23 1.24 2577 947

Galaxy XXIII CLO, Ltd.

4.78 207.97 28.12 1.24 2611 935 Y

Galaxy XXVIII CLO, Ltd.

4.71 202.41 27.25 1.29 2713 864 Y

Garrison Funding 2018-1 LP

3.79 68.91 22.15 1.04 3516 777

Garrison Funding 2018-2 Ltd.

3.76 57.12 20.40 1.02 3663 560 Y

Garrison MML CLO 2019-1 LP

3.97 72.82 20.74 1.07 3355 940 Y

GCIC CLO II LLC

2.74 73.11 8.00 1.00 4029 684 Y

GCPF Loan Funding D L.P.

3.52 49.47 5.74 1.00 4005 613 Y

GLG Ore Hill CLO 2013-1, Ltd.

2.50 21.84 16.82 1.34 2873 1350

Goldentree Loan Management US CLO 1, Ltd.

4.56 135.96 25.74 1.28 2619 811 Y

GoldenTree Loan Management US CLO 3, Ltd.

4.80 135.66 24.30 1.27 2641 788 Y

GoldenTree Loan Management US CLO 4, Ltd.

4.82 135.32 24.20 1.24 2661 794 Y

GoldenTree Loan Management US CLO 5, Ltd.

4.99 124.76 25.12 1.22 2636 793 Y

GoldenTree Loan Management US CLO 6, Ltd.

5.00 130.27 23.69 1.25 2569 788 Y

GoldenTree Loan Management US CLO 7, Ltd.

5.07 124.44 21.50 1.25 2471 757 Y

GoldenTree Loan Opportunities IX, Limited

4.68 133.83 25.96 1.25 2670 774 Y

GoldenTree Loan Opportunities X, Limited

4.68 143.59 25.03 1.25 2613 802 Y

GoldenTree Loan Opportunities XII, Limited

4.77 135.59 24.12 1.25 2593 818 Y

Golub Capital BDC CLO 4 LLC

3.49 54.31 5.09 1.00 3694 315 Y

Golub Capital BDC CLO III LLC

2.81 55.54 6.88 1.00 3987 630 Y

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

3.01 68.31 9.66 1.00 4015 659 Y

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

3.20 65.80 11.42 1.00 3986 640 Y

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

3.17 74.99 10.30 1.00 4021 659 Y

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

3.29 75.28 9.37 1.00 4032 678 Y

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

3.20 73.34 10.89 1.00 4028 680 Y

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

3.32 67.33 8.09 1.00 3941 632 Y

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

3.42 62.15 8.31 1.03 4057 663 Y

Golub Capital Partners CLO 30(M), Ltd.

3.84 50.07 9.47 1.00 4020 622

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

3.46 72.01 9.68 1.00 3949 573 Y

Golub Capital Partners CLO 33 (M), Ltd.

3.87 53.17 7.04 1.00 3949 560

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

3.56 59.96 7.46 1.00 4016 577 Y

Golub Capital Partners CLO 36(M), Ltd.

3.24 73.99 9.70 1.01 3999 683 Y

Golub Capital Partners CLO 37(B), Ltd.

4.57 176.83 16.23 1.07 3007 827 Y

Golub Capital Partners CLO 38(M), Ltd.

3.23 68.27 7.93 1.00 3951 595 Y

Golub Capital Partners CLO 39(B), Ltd.

4.62 166.31 14.87 1.07 3024 847

Golub Capital Partners CLO 42(M), Ltd.

3.49 65.22 9.73 1.00 3962 543 Y

Golub Capital Partners CLO 44(M), Ltd.

3.60 73.72 9.98 1.00 4073 705 Y

Golub Capital Partners CLO 45(M), Ltd.

3.73 55.86 7.49 1.00 3953 565 Y

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

3.73 50.57 10.84 1.00 3871 452 Y

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

3.47 57.82 8.50 1.00 3763 318 Y

Golub Capital Partners CLO 48(B), Ltd.

4.83 156.28 16.56 1.09 2791 747 Y

Golub Capital Partners CLO 49(M) LP

3.86 48.78 7.99 1.00 3793 352 Y

Grayson CLO Ltd

0.64 1.23 1.23 1.00 5751 0

Great Lakes CLO 2014-1, Ltd.

2.97 81.96 17.45 1.00 3878 512 Y

Great Lakes CLO 2019-1, Ltd.

3.57 71.61 17.98 1.00 3897 501 Y

Greenbriar CLO Ltd

0.60 1.89 1.89 1.00 5751 0

Greywolf CLO II, Ltd.

4.80 127.59 26.08 1.22 2891 896 Y

Greywolf CLO III, Ltd. (Re-issue)

4.92 134.29 27.10 1.23 2843 791 Y

Greywolf CLO IV, Ltd.

4.85 132.28 25.24 1.21 2851 840 Y

GREYWOLF CLO V LTD

4.89 135.25 25.95 1.21 2872 850 Y

Greywolf CLO VI, Ltd.

4.91 135.70 27.56 1.21 2851 817 Y

Greywolf CLO VII, Ltd.

4.87 134.61 26.62 1.24 2828 825 Y

Guggenheim CLO 2019-1 Ltd.

5.07 135.22 24.91 1.20 2741 876 Y

Guggenheim CLO 2020-1, Ltd.

5.15 112.18 25.54 1.14 2613 810 Y

Guggenheim MM CLO 2018-1 Ltd

3.98 63.51 18.64 1.10 3626 575 Y

Guggenheim MM CLO 2019-2, Ltd.

4.11 60.04 15.30 1.17 3670 520 Y

Gulf Stream Meridian 1 Ltd.

5.30 169.07 22.31 1.17 2571 813 Y

Gulf Stream Meridian 2 Ltd.

5.35 159.89 24.19 1.16 2548 805 Y

Halcyon Loan Advisors Funding 2012-1 Ltd.

1.87 8.42 5.07 1.00 4013 784

Halcyon Loan Advisors Funding 2013-1 Ltd.

2.25 22.19 14.54 1.03 3689 971

Halcyon Loan Advisors Funding 2014-2 Ltd.

2.80 37.76 16.24 1.16 3238 1286

Halcyon Loan Advisors Funding 2014-3 Ltd.

3.04 59.96 18.72 1.12 3289 1115

Halcyon Loan Advisors Funding 2017-2 Ltd.

4.83 199.17 25.72 1.35 2652 882 Y

Halcyon Loan Advisors Funding 2018-2 Ltd.

4.84 197.91 25.68 1.35 2645 894 Y

HalseyPoint CLO I, Ltd.

5.13 172.39 22.31 1.18 2595 819 Y

HalseyPoint CLO II, Ltd.

5.21 168.31 25.61 1.18 2304 719 Y

Harbor Park CLO, Ltd.

4.73 215.73 19.45 1.17 2739 874 Y

Harriman Park CLO, Ltd

4.86 156.94 16.54 1.17 2694 772 Y

Hayfin Kingsland IX, Ltd.

5.22 152.00 18.40 1.16 2783 837 Y

HPS Loan Management 10-2016, Ltd.

4.54 128.67 27.85 1.20 2595 969 Y

HPS Loan Management 12-2018, Ltd.

4.72 187.04 25.82 1.14 2709 882 Y

HPS Loan Management 13-2018, Ltd.

4.84 175.69 26.09 1.13 2744 857 Y

HPS Loan Management 14-2019, Ltd.

4.88 166.58 25.01 1.14 2742 837 Y

HPS Loan Management 15-2019, Ltd.

4.95 167.25 23.86 1.11 2671 863 Y

HPS Loan Management 2013-2 Ltd.

4.67 176.70 26.47 1.13 2723 900 Y

HPS Loan Management 3-2014 Ltd.

4.67 170.57 26.03 1.16 2722 885 Y

HPS Loan Management 4-2014, Ltd.

4.66 173.82 27.24 1.15 2751 891 Y

HPS Loan Management 5-2015, Ltd.

4.61 166.01 26.84 1.17 2741 876 Y

HPS Loan Management 6-2015, Ltd.

4.63 184.39 26.17 1.18 2710 945 Y

HPS Loan Management 7-2015, Ltd.

4.19 147.22 25.63 1.11 2704 921

HPS Loan Management 8-2016, Ltd.

4.68 178.99 25.71 1.16 2714 863 Y

HPS Loan Management 9-2016, Ltd.

4.65 188.73 26.34 1.16 2672 937 Y

Hull Street CLO Ltd

2.83 46.53 19.39 1.10 3220 1151

Ivy Hill Middle Market Credit Fund IX, Ltd.

4.04 95.06 20.38 1.03 3659 632 Y

Ivy Hill Middle Market Credit Fund VII, Ltd.

3.98 99.47 21.06 1.02 3732 643 Y

Ivy Hill Middle Market Credit Fund X Ltd

4.05 106.28 19.82 1.02 3763 708 Y

Ivy Hill Middle Market Credit Fund XII, Ltd.

3.87 112.37 17.61 1.02 3871 703 Y

Ivy Hill Middle Market Credit Fund XIV, Ltd.

3.96 90.46 15.46 1.02 3882 642 Y

Ivy Hill Middle Market Credit Fund XV, Ltd.

4.06 48.15 14.29 1.00 3847 634 Y

Jamestown CLO II Ltd

4.36 164.93 30.62 1.22 2771 880

Jamestown CLO XV Ltd.

4.84 165.52 29.61 1.22 2751 759 Y

Jay Park CLO, Ltd.

4.49 201.93 21.77 1.21 2682 912 Y

JFIN CLO 2012 Ltd.

4.12 138.28 19.49 1.18 2883 1024

JFIN CLO 2013 Ltd.

4.69 160.58 27.55 1.21 2771 1022 Y

JFIN CLO 2014 Ltd.

2.94 84.35 20.52 1.10 3421 1058

JFIN CLO 2015 Ltd.

3.50 125.23 20.99 1.10 2979 1022

Kayne CLO 7 Ltd.

5.00 212.22 22.71 1.17 2688 771 Y

Kayne CLO 8, Ltd.

5.06 187.35 23.45 1.18 2509 778 Y

KCAP F3C Senior Funding, LLC

4.34 64.32 20.41 1.00 3794 655 Y

KKR CLO 10 Ltd.

4.71 185.53 27.04 1.14 2845 960 Y

KKR CLO 27 Ltd.

4.87 201.36 24.73 1.18 2833 942 Y

KKR CLO 28 Ltd.

4.87 194.95 23.53 1.17 2855 873 Y

KKR CLO 30 Ltd.

5.05 169.91 24.34 1.13 2623 805 Y

KVK CLO 2013-1 Ltd.

3.93 120.81 20.97 1.10 2969 946

LCM 26 Ltd.

4.39 247.47 26.87 1.11 2593 847 Y

LCM 27 Ltd.

4.35 225.56 27.11 1.10 2657 822 Y

LCM 28 Ltd.

4.34 212.23 26.14 1.10 2663 793 Y

LCM 29 Ltd.

4.40 204.58 25.98 1.09 2668 797 Y

LCM 30 Ltd.

4.32 208.39 25.94 1.11 2673 769 Y

LCM XIII Limited Partnership

4.29 212.44 25.93 1.10 2602 850 Y

LCM XIX Limited Partnership

4.21 220.49 26.45 1.10 2554 886

LCM XVI Limited Partnership

4.43 254.55 26.66 1.11 2526 862 Y

LCM XVII Limited Partnership

4.39 223.48 26.83 1.10 2607 850 Y

LCM XVIII Limited Partnership

4.40 245.11 26.91 1.10 2557 859 Y

LCM XX Limited Partnership

4.24 216.73 25.92 1.10 2605 860

LCM XXI Limited Partnership

4.02 174.13 26.40 1.12 2673 809

LCM XXII Ltd.

4.37 217.84 26.30 1.10 2636 819 Y

LCM XXIII Ltd.

4.33 195.85 24.82 1.11 2673 801 Y

Long Point Park CLO, Ltd.

4.68 186.74 23.02 1.21 2647 951 Y

Longfellow Place CLO, Ltd.

4.46 143.46 27.79 1.13 2850 794 Y

Madison Park Funding X, Ltd.

4.54 229.70 23.37 1.26 2906 851 Y

Madison Park Funding XI, Ltd

4.69 219.35 22.48 1.25 2958 854 Y

Madison Park Funding XIII, Ltd.

4.59 228.49 24.01 1.24 2981 849 Y

Madison Park Funding XL Ltd

4.51 234.64 25.04 1.25 2893 865 Y

Madison Park Funding XLI Ltd

4.05 208.03 24.79 1.28 2904 877

Madison Park Funding XLII Ltd

4.49 240.84 22.92 1.27 2996 874 Y

Madison Park Funding XLIII Ltd

4.68 226.79 23.29 1.25 2951 855 Y

Madison Park Funding XLIV Ltd

4.56 242.49 23.48 1.26 2956 853 Y

Madison Park Funding XLV, Ltd.

5.03 176.27 19.78 1.18 2637 735 Y

Madison Park Funding XLVI, Ltd.

5.20 196.26 19.26 1.22 2754 697 Y

Madison Park Funding XV, Ltd.

3.39 99.56 23.57 1.28 3162 900

Madison Park Funding XVI, Ltd.

3.43 111.32 23.33 1.29 2998 876

Madison Park Funding XVIII, Ltd.

4.53 235.52 22.51 1.26 2983 853 Y

Madison Park Funding XX Ltd

4.55 227.12 23.01 1.27 2970 854 Y

Madison Park Funding XXI Ltd.

4.45 224.92 24.79 1.28 2910 847 Y

Madison Park Funding XXII, Ltd.

4.46 216.79 25.31 1.27 2860 854 Y

Madison Park Funding XXIII, Ltd.

4.49 228.63 22.89 1.26 3004 875 Y

Madison Park Funding XXIV, Ltd.

4.55 228.12 24.08 1.25 2903 882 Y

Madison Park Funding XXIX, Ltd.

4.64 237.46 22.16 1.26 2999 845 Y

Madison Park Funding XXV, Ltd.

4.48 219.09 24.82 1.27 2905 874 Y

Madison Park Funding XXVI, Ltd.

4.59 222.96 22.94 1.27 3011 898 Y

Madison Park Funding XXVII, Ltd.

4.57 235.69 23.14 1.25 2897 864 Y

Madison Park Funding XXVIII, Ltd.

4.66 231.22 23.82 1.26 2967 841 Y

Madison Park Funding XXX, Ltd.

4.63 237.29 24.18 1.23 2934 895 Y

Madison Park Funding XXXI, Ltd.

4.61 234.93 22.27 1.25 3023 831 Y

Madison Park Funding XXXII, Ltd.

4.64 227.05 21.54 1.28 3000 830 Y

Madison Park Funding XXXIII Ltd.

4.96 233.90 19.75 1.23 2904 771 Y

Madison Park Funding XXXIV, Ltd.

4.56 209.48 22.99 1.24 2989 829 Y

Madison Park Funding XXXV, Ltd.

4.74 232.70 20.58 1.23 2928 814 Y

Madison Park Funding XXXVI, Ltd.

4.99 234.10 19.45 1.22 2867 757 Y

Madison Park Funding XXXVII, Ltd.

4.81 212.33 19.72 1.25 2990 826 Y

Magnetite VII, Limited

4.82 215.43 26.58 1.14 2659 901 Y

Magnetite XXII, Limited

4.96 204.65 25.53 1.14 2681 862 Y

Magnetite XXIII, Limited

5.02 198.01 24.34 1.14 2670 866 Y

Magnetite XXIV Ltd.

4.98 195.67 24.93 1.14 2665 865 Y

Magnetite XXVI, Limited

4.89 167.16 22.14 1.12 2569 796 Y

Magnetite XXVII, Limited

4.87 176.13 22.47 1.13 2539 781 Y

MARANON LOAN FUNDING 2018-1, LTD.

3.25 58.71 15.75 1.00 3846 438 Y

Maranon Loan Funding 2019-1, Ltd.

3.28 59.54 15.06 1.00 3816 409 Y

Marathon CLO 14 Ltd.

4.70 187.10 27.29 1.25 2889 834 Y

Marathon CLO IX Ltd.

4.55 208.16 25.96 1.20 2963 863 Y

Marathon CLO V Ltd.

3.76 135.15 25.07 1.23 3323 963

Marathon CLO VI Ltd.

4.14 144.03 24.55 1.23 3128 1014

Marathon CLO VII Ltd.

2.94 61.34 17.84 1.17 3430 1071

Marathon CLO X Ltd

4.54 204.29 28.24 1.22 2958 827 Y

Marathon CLO XII Ltd.

4.53 184.16 25.94 1.23 2936 835 Y

Marble Point CLO XVII Ltd.

4.80 135.96 21.62 1.17 2821 745 Y

Marble Point CLO XVIII Ltd.

4.79 152.59 22.65 1.12 2696 764 Y

MCF CLO IV LLC

3.14 106.41 18.08 1.00 3867 547 Y

MCF CLO IX Ltd.

3.18 106.28 15.84 1.01 3889 596 Y

MCF CLO V LLC

3.13 101.54 15.15 1.01 3814 505 Y

MCF CLO VI LLC

3.15 94.64 16.74 1.04 3937 651 Y

MCF CLO VII LLC

2.88 98.61 15.21 1.00 3854 530 Y

MCF CLO VIII Ltd.

3.04 99.63 14.39 1.03 3829 472 Y

Medalist Partners Corporate Finance CLO VI Ltd.

4.82 201.53 27.45 1.11 2568 880 Y

MidOcean Credit CLO I

2.43 27.50 14.55 1.06 3006 1119

MidOcean Credit CLO II

4.50 129.01 25.76 1.16 2898 875 Y

MidOcean Credit CLO III

4.65 128.22 21.99 1.17 2881 908 Y

MidOcean Credit CLO IV

2.79 46.72 20.57 1.06 2925 1049

MidOcean Credit CLO IX

4.91 151.69 23.36 1.09 2823 853 Y

MidOcean Credit CLO VIII

4.85 160.10 25.17 1.16 2779 896 Y

MidOcean Credit CLO X

5.01 147.47 22.19 1.17 2815 773 Y

MMCF CLO 2017-1, LLC

2.69 17.38 11.70 1.00 3694 313

MMCF CLO 2019-2, LLC

3.90 23.63 12.13 1.00 3563 432

Monroe Capital CLO 2014-1, Ltd.

3.08 45.67 22.56 1.03 4086 842

Mountain Hawk II CLO, Ltd.

3.05 33.98 10.11 1.06 3334 848

Mountain Hawk III CLO, Ltd.

3.41 66.43 15.88 1.07 3112 795

Mountain View CLO 2013-1 Ltd.

4.74 189.02 24.26 1.27 2466 918 Y

Mountain View CLO 2014-1 Ltd.

3.23 56.15 18.33 1.40 2457 973

Mountain View CLO 2016-1 Ltd.

4.78 227.76 22.94 1.24 2516 868 Y

Mountain View CLO X, Ltd.

3.43 90.67 25.26 1.26 2369 951

Mountain View CLO XV Ltd.

4.93 205.24 22.01 1.27 2484 828 Y

Myers Park CLO, Ltd.

4.63 190.55 21.62 1.14 2707 916 Y

Nassau 2017-I Ltd.

4.53 206.51 28.30 1.08 2757 898 Y

Neuberger Berman CLO XIV, Ltd.

4.68 189.03 25.84 1.28 2663 820 Y

Neuberger Berman CLO XV Ltd

4.60 186.37 25.42 1.26 2654 818 Y

Neuberger Berman CLO XVII, Ltd.

4.71 189.82 25.28 1.27 2663 813 Y

Neuberger Berman CLO XVIII Ltd.

4.64 186.51 25.35 1.26 2708 782 Y

Neuberger Berman CLO XVI-S, Ltd.

3.85 116.84 24.49 1.26 2652 801

Neuberger Berman CLO XXI, Ltd

4.22 150.90 27.14 1.29 2584 875

Neuberger Berman CLO XXIII, Ltd.

4.61 186.82 25.45 1.26 2661 813 Y

Neuberger Berman CLO XXll Ltd

4.64 189.29 25.63 1.27 2705 783 Y

Neuberger Berman Loan Advisers CLO 25, Ltd.

4.57 189.28 25.50 1.25 2688 780 Y

Neuberger Berman Loan Advisers CLO 26, Ltd.

4.67 193.35 25.19 1.28 2708 760 Y

Neuberger Berman Loan Advisers CLO 28, Ltd.

4.71 184.23 25.66 1.28 2780 779 Y

Neuberger Berman Loan Advisers CLO 29, Ltd.

4.68 175.98 25.17 1.26 2778 799 Y

Neuberger Berman Loan Advisers CLO 30, Ltd.

4.72 182.65 26.81 1.25 2758 761 Y

Neuberger Berman Loan Advisers CLO 31, Ltd.

4.75 193.50 25.08 1.24 2750 757 Y

Neuberger Berman Loan Advisers CLO 32, Ltd.

4.71 200.71 25.72 1.24 2718 784 Y

Neuberger Berman Loan Advisers CLO 33, Ltd.

4.88 195.32 25.92 1.23 2718 744 Y

Neuberger Berman Loan Advisers CLO 34, Ltd.

4.93 179.30 23.39 1.25 2721 702 Y

Neuberger Berman Loan Advisers CLO 35, Ltd.

5.06 163.72 21.88 1.31 2804 661 Y

Neuberger Berman Loan Advisers CLO 36, Ltd.

5.08 174.45 22.07 1.28 2676 717 Y

Neuberger Berman Loan Advisers CLO 37 Ltd.

5.00 172.32 22.07 1.23 2657 729 Y

Neuberger Berman Loan Advisers CLO 38, Ltd.

4.96 144.49 20.48 1.16 2755 641 Y

Neuberger Berman Loan Advisors CLO 27, Ltd.

4.62 187.77 25.96 1.27 2658 812 Y

Newfleet CLO 2016-1 Ltd.

4.19 134.44 27.61 1.14 2615 924

NewStar Arlington Senior Loan Program LLC

3.59 99.30 22.50 1.01 3815 614 Y

NewStar Commerical Loan Funding 2017-1 LLC

2.96 50.08 20.02 1.00 3865 578

NewStar Exeter Fund CLO LLC

3.07 41.30 16.99 1.00 3764 512

NewStar Fairfield Fund CLO Ltd

3.79 94.46 23.90 1.04 3755 590 Y

Niagara Park CLO, Ltd.

4.76 200.55 19.33 1.13 2822 776 Y

Northwoods Capital 20, Limited

4.64 129.79 25.40 1.14 2778 827 Y

Northwoods Capital 22, Limited

4.91 88.03 23.99 1.16 2562 794 Y

Northwoods Capital XI-B, Limited

4.54 155.13 27.71 1.13 2828 917 Y

NXT Capital CLO 2015-1 LLC

2.70 45.94 13.08 1.00 3929 614

NXT Capital CLO 2017-1, LLC

3.18 77.33 17.12 1.00 3914 583 Y

NXT Capital CLO 2017-2, LLC

3.22 69.60 13.70 1.00 3916 538 Y

Oaktree CLO 2014-1 Ltd.

4.58 165.91 25.27 1.09 2690 1062 Y

Oaktree CLO 2015-1 Ltd

4.03 149.69 26.70 1.09 2641 993

Oaktree CLO 2018-1 Ltd.

4.82 217.35 27.44 1.14 2644 972 Y

Oaktree CLO 2019-1 Ltd.

4.82 229.09 27.73 1.16 2588 973 Y

Oaktree CLO 2019-2 Ltd.

4.76 206.46 26.87 1.14 2653 977 Y

Oaktree CLO 2019-3, Ltd.

4.83 220.10 27.26 1.12 2621 965 Y

Oaktree CLO 2019-4, Ltd.

4.91 241.05 28.35 1.14 2604 953 Y

Oaktree CLO 2020-1 Ltd.

4.90 160.92 27.15 1.18 2386 890 Y

Oaktree EIF III Series I, Ltd.

4.45 211.24 27.32 1.11 2618 996

Oaktree EIF III Series II Ltd

4.84 227.13 28.06 1.16 2592 944 Y

Ocean Trails CLO 8

4.87 150.82 25.16 1.29 2413 757 Y

Ocean Trails CLO IV

3.07 55.63 20.53 1.16 3248 1176

Ocean Trails CLO IX

4.84 151.58 25.44 1.28 2456 749 Y

Ocean Trails CLO V

4.43 187.58 25.97 1.25 2704 941 Y

Ocean Trails CLO VII

4.54 167.42 27.31 1.23 2843 916 Y

Ocean Trails CLO X

5.04 147.94 23.80 1.36 2466 734 Y

OCP CLO 2013-4, Ltd.

4.39 199.42 26.64 1.26 2716 888 Y

OCP CLO 2014-5, Ltd.

4.64 207.30 27.68 1.26 2718 910 Y

OCP CLO 2014-6, Ltd.

4.65 220.47 27.39 1.28 2700 896 Y

OCP CLO 2014-7, Ltd.

4.65 210.26 27.30 1.28 2736 904 Y

OCP CLO 2015-10, Ltd.

3.40 101.40 27.59 1.22 2716 984

OCP CLO 2015-8, Ltd.

3.27 86.54 25.58 1.25 2875 856

OCP CLO 2015-9 Ltd

3.27 87.69 27.04 1.24 2712 919

OCP CLO 2016-11, Ltd.

4.66 217.04 27.21 1.27 2767 897 Y

OCP CLO 2016-12, Ltd.

4.45 208.47 28.30 1.29 2769 874

OCP CLO 2017-13 Ltd.

4.61 225.97 28.12 1.29 2747 854 Y

OCP CLO 2017-14, Ltd.

4.65 225.02 27.55 1.30 2722 856 Y

OCP CLO 2018-15, Ltd.

4.72 226.53 27.63 1.31 2691 849 Y

OCP CLO 2019-16, Ltd.

4.78 216.87 25.80 1.31 2666 825 Y

OCP CLO 2019-17 Ltd.

4.82 208.61 24.96 1.30 2646 819 Y

OCP CLO 2020-18, Ltd.

5.10 173.74 22.77 1.30 2625 852 Y

OCP CLO 2020-19, Ltd.

5.04 170.15 22.63 1.29 2597 831 Y

Octagon Investment Partners 18-R, Ltd.

4.86 250.67 24.86 1.19 2689 903 Y

Octagon Investment Partners 25 LTD

3.28 95.16 22.55 1.10 2632 1017

Octagon Investment Partners 26, Ltd.

4.88 208.20 23.83 1.20 2633 930 Y

Octagon Investment Partners 27, Ltd.

4.90 202.60 24.39 1.22 2618 930 Y

Octagon Investment Partners 28 Ltd

4.78 224.64 22.17 1.18 2597 895 Y

Octagon Investment Partners 29, Ltd.

4.87 176.50 22.40 1.16 2632 910 Y

Octagon Investment Partners 32, Ltd.

4.82 228.36 24.08 1.18 2661 856 Y

Octagon Investment Partners 33, Ltd.

5.02 177.00 23.79 1.15 2568 879 Y

Octagon Investment Partners 34, Ltd.

4.87 216.45 21.97 1.20 2661 874 Y

Octagon Investment Partners 35 Ltd.

4.87 236.48 24.51 1.21 2683 936 Y

Octagon Investment Partners 36, Ltd.

4.80 212.97 21.55 1.19 2626 882 Y

Octagon Investment Partners 37, Ltd.

4.96 188.82 23.37 1.18 2611 907 Y

Octagon Investment Partners 38, Ltd.

4.98 224.95 24.34 1.17 2671 911 Y

Octagon Investment Partners 40, Ltd.

5.02 177.31 26.05 1.16 2617 897 Y

Octagon Investment Partners 44, Ltd.

5.06 199.54 24.09 1.19 2691 853 Y

Octagon Investment Partners 45, Ltd.

5.28 175.46 24.78 1.17 2656 835 Y

Octagon Investment Partners 46, Ltd.

5.37 173.21 24.14 1.20 2562 832 Y

Octagon Investment Partners 47, Ltd.

5.25 159.25 23.34 1.19 2467 824 Y

Octagon Investment Partners 48, Ltd.

5.45 180.14 21.70 1.19 2554 789 Y

Octagon Investment Partners XIV Ltd.

4.88 208.66 24.80 1.19 2593 946 Y

Octagon Investment Partners XV, Ltd.

4.79 240.21 23.94 1.18 2638 907 Y

Octagon Investment Partners XVI, Ltd.

4.97 245.90 24.49 1.17 2657 894 Y

Octagon Investment Partners XVII, Ltd.

4.93 237.07 24.24 1.18 2663 924 Y

Octagon Investment Partners XXII, Ltd.

4.89 216.48 23.51 1.19 2664 899 Y

OFSI BSL IX, Ltd.

4.51 183.45 23.43 1.13 2662 770 Y

OFSI BSL VIII, LTD

4.39 178.41 22.61 1.12 2698 768 Y

OFSI Fund VI, Ltd.

2.18 21.61 9.19 1.00 3487 983

OFSI Fund VII, Ltd.

2.86 2.66 2.66 1.00 3449 572

OHA Credit Funding 1, Ltd.

4.88 154.33 22.78 1.19 2858 879 Y

OHA Credit Funding 2, Ltd.

4.86 155.84 23.47 1.20 2854 861 Y

OHA Credit Funding 3, Ltd.

4.90 154.36 23.19 1.19 2822 842 Y

OHA Credit Funding 4, Ltd.

4.98 154.47 24.09 1.23 2758 852 Y

OHA Credit Funding 5, Ltd.

5.15 143.26 22.57 1.20 2755 786 Y

OHA Credit Funding 6, Ltd.

5.13 126.74 22.20 1.20 2698 710 Y

OHA Credit Funding 7, Ltd.

5.35 100.83 22.73 1.15 2653 770 Y

OHA Credit Partners VII, Ltd.

4.54 132.92 23.52 1.14 2817 924 Y

OHA Credit Partners XI, Ltd.

4.79 156.56 23.54 1.18 2845 894 Y

OHA Credit Partners XII, Ltd.

4.73 162.03 24.94 1.19 2875 868 Y

OHA Credit Partners XIV, Ltd.

4.77 157.56 23.10 1.19 2814 915 Y

OHA Credit Partners X-R, Ltd.

4.70 156.25 25.53 1.23 2843 890 Y

OHA Credit Partners XV, Ltd.

4.68 154.55 23.70 1.20 2835 910 Y

OHA Loan Funding 2013-1, Ltd.

4.76 155.05 23.98 1.20 2875 852 Y

OHA Loan Funding 2013-2, Ltd.

4.77 148.26 23.61 1.17 2855 889 Y

OHA Loan Funding 2015-1 Ltd.

4.66 157.20 26.04 1.20 2869 877 Y

OHA Loan Funding 2016-1, Ltd.

4.73 159.50 25.26 1.20 2904 871 Y

ORCC Financing II LLC

3.11 16.73 12.59 1.00 3585 384

ORCC Financing IV LLC

4.12 17.56 14.74 1.00 4012 869 Y

ORCC II Financing II LLC

4.98 26.45 11.32 1.06 4094 772 Y

Owl Rock CLO II, Ltd.

4.08 42.13 18.46 1.04 3832 587 Y

Owl Rock CLO III, Ltd.

4.55 43.62 17.94 1.03 3838 553 Y

Owl Rock CLO IV, Ltd.

4.46 41.20 16.11 1.06 3782 517 Y

OZLM Funding II, Ltd.

4.67 182.21 26.41 1.29 2660 1035 Y

OZLM Funding III, Ltd.

4.23 177.13 27.25 1.28 2681 1009 Y

OZLM Funding IV, Ltd.

4.72 182.21 26.92 1.28 2658 1060 Y

OZLM Funding Ltd

4.74 179.40 26.09 1.27 2633 1057 Y

OZLM XXIV, Ltd.

5.01 143.70 25.20 1.26 2700 932 Y

Palmer Square CLO 2014-1, Ltd.

4.70 239.07 20.51 1.13 2657 895 Y

Palmer Square CLO 2015-1 Ltd

4.72 248.68 20.42 1.12 2652 894 Y

Palmer Square CLO 2015-2 Ltd

4.75 238.82 20.30 1.13 2641 899 Y

Palmer Square CLO 2018-1, Ltd.

4.75 244.82 20.24 1.13 2603 881 Y

Palmer Square CLO 2018-2, Ltd.

4.78 249.49 20.65 1.13 2584 874 Y

Palmer Square CLO 2018-3, Ltd.

4.69 231.52 19.69 1.13 2668 877 Y

Palmer Square CLO 2019-1 Ltd.

4.84 245.45 19.26 1.13 2546 837 Y

Palmer Square CLO 2020-1 Ltd.

5.07 195.05 18.26 1.13 2421 810 Y

Palmer Square CLO 2020-2, Ltd.

5.01 216.78 17.89 1.15 2426 794 Y

Parallel 2019-1 Ltd.

4.95 216.27 22.30 1.16 2834 824 Y

Park Avenue Institutional Advisers CLO Ltd 2017-1

4.60 146.31 23.17 1.08 2740 816 Y

Park Avenue Institutional Advisers CLO Ltd 2018-1

4.66 138.87 22.99 1.08 2676 810 Y

Park Avenue Institutional Advisers CLO Ltd 2019-1

4.67 138.23 23.86 1.08 2711 783 Y

Park Avenue Institutional Advisers CLO Ltd 2019-2

4.66 134.96 23.61 1.08 2638 762 Y

Park Avenue Institutional Advisers CLO Ltd. 2016-1

4.60 138.49 23.82 1.06 2771 800 Y

Parliament Funding II Ltd.

4.97 41.30 14.49 1.00 3529 484 Y

Parliament Funding II Ltd.

4.97 41.30 14.49 1.00 3529 484 Y

Peaks CLO 1, Ltd.

4.48 128.51 19.87 1.02 3277 727 Y

Peaks CLO 3, Ltd.

4.57 140.55 19.98 1.01 3166 675 Y

PennantPark CLO I, Ltd.

3.52 47.54 18.89 1.00 3907 722 Y

Pikes Peak CLO 6

5.23 179.71 20.06 1.27 2488 832 Y

Pulsar Funding I, Ltd.

4.60 108.31 18.42 1.11 2958 823 Y

Race Point IX CLO, Limited

4.86 269.77 23.19 1.23 2843 804 Y

Race Point VIII CLO, Limited

4.85 270.73 23.51 1.25 2854 798 Y

Race Point X CLO, Limited

4.88 263.69 23.59 1.23 2879 814 Y

Regatta II Funding L.P.

4.77 231.30 22.05 1.16 2771 777 Y

Regatta XII Funding Ltd.

4.87 231.18 21.77 1.16 2743 747 Y

Regatta XVI Funding Ltd.

4.90 229.29 21.81 1.15 2740 755 Y

Romark WM-R Ltd.

4.68 231.20 23.73 1.11 2755 841 Y

RR 1 Ltd

4.56 134.19 21.93 1.27 2730 898 Y

RR 10 Ltd.

4.95 113.79 19.58 1.24 2796 695 Y

RR 2 LTD

4.49 124.78 21.97 1.27 2804 828 Y

RR 3 LTD

4.59 146.11 21.63 1.26 2873 855 Y

RR 4 LTD

4.61 148.55 22.06 1.25 2851 853 Y

RR 5 LTD

4.64 132.64 21.58 1.25 2863 800 Y

RR 6 Ltd

4.67 143.59 21.13 1.25 2843 793 Y

RR 7 Ltd.

4.78 135.40 21.39 1.20 2764 811 Y

RR 8 Ltd.

5.04 126.74 21.35 1.16 2701 806 Y

RR 9 Ltd

5.11 122.71 20.41 1.25 2715 728 Y

SCFF 1 Ltd

5.15 136.79 18.76 1.21 2702 772 Y

Shackleton 2013-III CLO, Ltd.

4.66 189.57 26.91 1.20 2816 828 Y

Shackleton 2015-VIII CLO, Ltd.

4.05 153.33 25.72 1.19 2801 884

Shackleton 2016-IX CLO, Ltd.

4.54 192.02 26.07 1.18 2802 827 Y

Shackleton 2019-XV CLO Ltd.

4.79 187.40 25.89 1.17 2826 693 Y

Signal Peak CLO 1, Ltd.

4.41 214.19 22.61 1.15 2652 864 Y

Signal Peak CLO 2, LLC

4.42 220.18 22.20 1.14 2683 842 Y

Signal Peak CLO 3, Ltd.

4.50 226.30 22.14 1.14 2685 836 Y

Signal Peak CLO 4, Ltd.

4.49 234.16 21.39 1.15 2739 803 Y

Signal Peak CLO 5, Ltd.

4.51 231.39 22.55 1.15 2736 826 Y

Signal Peak CLO 6, Ltd.

4.56 219.43 21.81 1.14 2718 801 Y

Signal Peak CLO 7, Ltd.

4.71 183.43 21.45 1.11 2711 829 Y

Signal Peak CLO 8, Ltd.

4.80 214.77 20.99 1.12 2585 748 Y

Sixth Street CLO XVI Ltd.

5.29 178.40 15.04 1.22 2748 699

Sound Point CLO II, Ltd.

4.80 206.02 24.28 1.16 2645 946 Y

Sound Point CLO XXVI, Ltd.

5.11 223.81 27.18 1.20 2470 823 Y

Southwick Park CLO, Ltd.

4.86 194.82 19.39 1.20 2803 816 Y

SP-Static CLO 1, Ltd.

4.45 126.83 18.27 1.09 2553 719 Y

Staniford Street CLO, Ltd.

2.52 31.09 13.49 1.02 3373 1170

Steele Creek CLO 2019-2 Ltd.

4.87 189.11 25.25 1.11 2547 954 Y

Stewart Park CLO Ltd.

4.60 224.68 22.53 1.21 2630 907 Y

Stratus CLO 2020-2, Ltd.

4.97 139.64 17.90 1.21 2580 824 Y

Symphony CLO XV, Ltd.

4.65 202.64 24.58 1.15 2785 878 Y

Symphony CLO XVIII, Ltd.

4.65 180.93 22.22 1.13 2834 810 Y

SYMPHONY CLO XXI, LLC

4.86 184.41 19.35 1.13 2801 762 Y

Symphony CLO XXII, Ltd.

5.00 161.43 19.92 1.14 2863 696 Y

TCP Waterman CLO, LLC

3.75 61.57 8.10 1.16 4211 863 Y

TCP Whitney CLO, Ltd

3.95 62.15 9.69 1.16 4188 842 Y

TCW CLO 2017-1, Ltd

4.83 203.75 22.53 1.21 2741 913 Y

TCW CLO 2018-1, Ltd.

4.86 217.79 22.28 1.20 2765 869 Y

TCW CLO 2019-1 AMR, LTD.

4.38 190.23 25.23 1.18 2792 929 Y

TCW CLO 2019-2, Ltd.

5.04 210.89 22.76 1.18 2783 808 Y

TCW CLO 2020-1, Ltd.

4.83 138.58 21.24 1.18 2921 765 Y

Telos CLO 2013-4, Ltd.

4.73 111.03 23.30 1.11 2756 986 Y

Telos CLO 2014-5, Ltd.

4.32 101.05 23.59 1.11 2758 1070

Telos CLO 2014-6, Ltd.

3.78 54.55 16.89 1.08 3252 947

Thayer Park CLO, Ltd

4.48 183.06 22.88 1.19 2643 942 Y

TIAA Churchill Middle Market CLO I Ltd.

3.92 65.86 18.32 1.00 3963 672 Y

TIAA Churchill Middle Market CLO II Ltd.

4.13 60.72 17.71 1.00 3972 657 Y

TIAA CLO I Ltd.

4.73 168.60 25.76 1.15 2740 864 Y

TIAA CLO II Ltd.

4.49 165.72 26.88 1.18 2819 850 Y

TIAA CLO IV Ltd.

4.77 168.99 26.18 1.18 2744 857 Y

TICP CLO VII, LTD.

4.75 236.12 18.14 1.18 2895 815 Y

TICP CLO XIV, Ltd.

4.92 187.10 16.41 1.15 2957 715 Y

TICP CLO XV, Ltd.

5.02 195.29 14.15 1.20 2863 678 Y

Tralee CLO II, Ltd.

4.60 161.97 22.73 1.08 2742 960 Y

Tralee CLO IV, Ltd.

4.69 166.95 23.88 1.09 2682 923 Y

Tralee CLO V, Ltd.

3.97 149.12 23.76 1.09 2682 928

Tralee CLO VI, Ltd.

4.93 152.07 24.01 1.08 2590 853 Y

Trestles CLO III, Ltd.

5.18 167.40 23.19 1.14 2791 706 Y

Trimaran CAVU 2019-1 Ltd.

4.90 205.16 24.68 1.11 2578 796 Y

Trimaran CAVU 2019-2 Ltd.

4.94 205.30 24.89 1.13 2503 797 Y

Trinitas CLO II, Ltd.

3.41 45.09 16.98 1.15 2743 1052

Trinitas CLO IV, Ltd.

4.64 173.28 18.90 1.07 2818 845 Y

Trinitas CLO V, Ltd.

4.36 163.94 19.46 1.07 2741 832

Tryon Park CLO, Ltd.

4.62 195.80 20.37 1.18 2706 871 Y

VCO CLO 2018-1, LLC

4.53 39.49 2.12 1.20 3705 384

Venture 33 CLO, Limited

4.96 345.74 30.01 1.17 2637 955 Y

Venture XII CLO, Ltd

3.81 288.35 26.68 1.18 2941 946

Venture XIV CLO Limited

4.58 205.53 26.90 1.16 2762 940 Y

Venture XX CLO, Limited

4.04 319.95 26.55 1.17 2813 985

Venture XXI CLO, Limited

4.06 335.20 27.72 1.18 2738 1013

Voya CLO 2012-4, Ltd.

4.72 321.89 23.21 1.14 2761 863

Voya CLO 2013-1, Ltd.

4.71 313.62 24.31 1.16 2722 916 Y

Voya CLO 2013-2 Ltd.

4.71 295.43 24.19 1.15 2722 891 Y

Voya CLO 2013-3, Ltd

4.70 282.38 22.11 1.14 2732 869 Y

Voya CLO 2014-1, Ltd.

4.73 317.14 23.66 1.15 2746 887 Y

Voya CLO 2014-4, Ltd.

4.73 299.54 22.73 1.15 2781 836 Y

Voya CLO 2015-3, Ltd.

4.68 311.08 24.17 1.15 2724 885 Y

Voya CLO 2016-1Ltd

4.73 313.29 23.92 1.15 2688 895 Y

Voya CLO 2016-3, Ltd.

4.72 321.99 23.55 1.15 2686 891 Y

Voya CLO 2017-2, Ltd

4.68 332.61 23.38 1.15 2670 906 Y

Voya CLO 2017-3 Ltd.

4.67 318.87 23.07 1.17 2718 881 Y

VOYA CLO 2017-4, LTD.

4.68 311.09 24.02 1.15 2768 864 Y

Voya CLO 2018-1, Ltd.

4.70 317.07 23.62 1.15 2755 893 Y

Voya CLO 2018-2, Ltd.

4.69 314.47 22.45 1.14 2772 901 Y

Voya CLO 2018-3, Ltd.

4.77 318.52 22.66 1.13 2753 901 Y

Voya CLO 2018-4, Ltd.

4.78 289.43 21.62 1.11 2761 871 Y

Voya CLO 2019-1, Ltd.

4.71 314.27 23.62 1.13 2800 868 Y

Voya CLO 2019-2, Ltd.

4.82 288.85 21.82 1.12 2680 871 Y

Voya CLO 2019-3 Ltd

4.91 272.47 21.96 1.14 2647 855 Y

Voya CLO 2019-4, Ltd.

4.98 271.53 22.06 1.12 2590 860 Y

Voya CLO 2020-1, Ltd.

5.10 250.86 21.69 1.15 2575 813 Y

Voya CLO 2020-2 Ltd.

4.85 229.01 19.70 1.15 2581 738 Y

Webster Park CLO, Ltd.

4.54 203.84 21.81 1.17 2684 935 Y

Wellfleet CLO 2020-2, Ltd.

5.00 190.92 19.95 1.14 2549 814 Y

West CLO 2013-1 Ltd.

2.65 15.64 9.57 1.14 3443 598

Westchester CLO Ltd

0.62 2.09 2.09 1.00 5616 254

Whitebox CLO I Ltd.

5.23 178.06 30.60 1.13 2523 796 Y

WhiteHorse VII, Ltd.

2.42 2.19 2.19 1.00 4324 540

WhiteHorse XII Ltd.

4.49 156.89 25.27 1.12 2763 932 Y

Wind River 2012-1 CLO Ltd.

3.25 59.18 19.50 1.15 3164 918

Wind River 2013-1 CLO Ltd.

4.43 151.94 17.17 1.14 3095 811 Y

Wind River 2013-2 CLO Ltd.

4.72 183.86 19.59 1.17 2903 827 Y

Wind River 2014-3 CLO Ltd.

4.77 152.13 20.84 1.18 2846 720 Y

Wind River 2018-1 CLO Ltd.

4.69 191.22 22.09 1.21 2801 822 Y

Wind River 2018-2 CLO Ltd.

4.67 213.51 21.34 1.19 2869 810 Y

Wind River 2018-3 CLO Ltd.

4.82 191.28 21.56 1.15 2849 715 Y

Wind River 2019-1 CLO Ltd.

4.91 186.64 19.02 1.15 2827 750 Y

Wind River 2019-2 CLO Ltd.

5.10 185.36 15.98 1.12 2844 677 Y

Wind River 2019-3 CLO Ltd.

4.84 199.00 22.11 1.13 2770 782 Y

Woodmont 2017-1 Trust

3.77 84.17 19.78 1.00 3917 593 Y

Woodmont 2017-2 Trust

3.58 79.42 15.19 1.00 3956 626 Y

Woodmont 2017-3 LP

3.43 66.87 17.73 1.05 3992 772 Y

Woodmont 2018-4 Trust

3.23 75.80 16.41 1.00 3907 604 Y

Woodmont 2018-5 Trust

3.45 65.90 17.36 1.00 4140 768 Y

Woodmont 2019-6 LP

3.37 52.31 14.77 1.02 4092 740 Y

York CLO-4 Ltd.

4.59 202.57 29.25 1.18 2743 967 Y

York CLO-7 Ltd.

4.83 192.34 27.65 1.17 2799 857 Y

Z Capital Credit Partners CLO 2015-1 Ltd.

3.29 67.25 23.33 1.17 2961 967

Zais CLO 1, Limited

3.93 130.88 26.35 1.12 3089 1024

ZAIS CLO 15, Limited

4.79 146.32 24.02 1.16 2746 858 Y

ZAIS CLO 15, Limited

4.79 146.32 24.02 1.16 2746 858 Y

ZAIS CLO 16, Limited

4.77 140.05 21.38 1.14 2658 827 Y

ZAIS CLO 8, LIMITED

4.52 177.10 24.39 1.12 2909 913 Y
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.
European CLO metrics

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

Table 3

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

Accunia European CLO II B.V.

4.82 89.25 20.97 1.20 2861 661 Y

Accunia European CLO IV DAC

4.98 81.74 19.68 1.26 2772 657 Y

Adagio VI CLO DAC

4.85 109.47 20.30 1.25 2855 548 Y

AlbaCore EURO CLO I DAC

5.37 76.02 18.63 1.37 2739 662 Y

ALME Loan Funding V DAC

4.77 108.07 17.77 1.15 2792 658 Y

Anchorage Capital Europe CLO 3 DAC

5.17 91.26 20.69 1.37 2948 630 Y

Aqueduct European CLO 1-2017 DAC

4.59 121.83 20.31 1.33 2820 625 Y

Aqueduct European CLO 2-2017 DAC

4.74 118.59 20.84 1.36 2779 629 Y

Aqueduct European CLO 5 - 2020 DAC

5.14 103.08 19.27 1.41 2714 631 Y

Arbour CLO VII DAC

5.11 143.12 20.72 1.23 2816 655 Y

Arbour CLO VIII DAC

5.24 132.21 20.02 1.22 2799 648 Y

Ares European CLO IX DAC

4.56 109.15 21.54 1.16 2853 594 Y

Ares European CLO VI DAC

4.53 116.89 24.11 1.29 2909 643 Y

Ares European CLO VII DAC

4.59 123.94 22.34 1.26 2790 607 Y

Ares European CLO VIII DAC

4.53 115.37 20.99 1.24 2859 565 Y

Ares European CLO XIII DAC

4.87 102.40 22.58 1.23 2903 545 Y

Ares European CLO XIV DAC

5.07 95.45 20.37 1.38 2838 487 Y

Armada Euro CLO I DAC

4.95 105.13 21.73 1.39 2794 722 Y

Armada Euro CLO IV DAC

5.34 91.22 22.09 1.38 2801 730 Y

Aurium CLO I DAC

4.93 114.87 21.52 1.25 2767 651 Y

Aurium CLO II DAC

4.84 103.24 21.22 1.28 2763 705

Aurium CLO III DAC

4.88 113.99 21.03 1.25 2752 679 Y

Aurium CLO IV DAC

4.97 110.62 21.02 1.25 2732 675 Y

Aurium CLO VI DAC

5.21 79.37 19.89 1.26 2729 580 Y

Avoca CLO XI DAC

4.55 138.18 18.97 1.29 2885 586 Y

Avoca CLO XIV Ltd.

4.60 137.16 18.84 1.31 2908 573 Y

Avoca CLO XVII DAC

4.57 142.08 19.06 1.25 2925 618 Y

Avoca CLO XVIII DAC

4.65 136.52 19.03 1.31 2867 581 Y

Avoca CLO XXI DAC

4.94 129.04 19.26 1.28 2914 625 Y

Avoca CLO XXIV DAC

4.93 118.06 18.16 1.25 2766 543 Y

Avondale Park CLO DAC

5.06 111.74 17.37 1.20 2634 714 Y

Bain Capital Euro CLO 2017-1 DAC

4.91 132.99 21.35 1.36 2939 705 Y

Bain Capital Euro CLO 2019-1 DAC

5.06 141.53 21.36 1.32 2834 602 Y

Barings Euro CLO 2018-1 DAC

4.61 124.02 21.28 1.41 3075 874 Y

BBAM European CLO I DAC

5.29 80.35 18.22 1.23 2754 504 Y

Bilbao CLO III DAC

5.44 73.09 20.71 1.23 2774 647 Y

Black Diamond CLO 2015-1 DAC

4.10 109.01 17.52 1.64 2949 732

Black Diamond CLO 2017-2 DAC

4.57 138.40 19.80 1.68 2993 671 Y

Black Diamond CLO 2019-1 DAC

4.76 139.74 20.53 1.72 2960 602 Y

BlackRock Euro CLO IX DAC

4.91 131.84 22.37 1.38 2911 711 Y

BlackRock European CLO I DAC

4.74 144.92 21.68 1.40 2881 727 Y

BlackRock European CLO II DAC

4.75 135.97 23.29 1.41 2847 725 Y

BlackRock European CLO III DAC

4.55 134.83 21.86 1.42 2941 718 Y

BlackRock European CLO IV DAC

4.84 144.84 21.46 1.39 2871 714 Y

BlueMountain EUR CLO 2016-1 DAC

4.94 159.55 21.15 1.42 2892 635 Y

BlueMountain Fuji EUR CLO II DAC

4.66 138.53 21.88 1.44 2879 629 Y

BlueMountain Fuji EUR CLO V DAC

5.12 145.37 20.24 1.40 2935 602 Y

Cairn CLO V DAC

4.61 98.50 21.08 1.27 2834 658 Y

Cairn CLO VIII DAC

4.65 99.69 18.91 1.34 2958 640 Y

Cairn CLO XI DAC

5.03 120.36 19.93 1.26 3042 622 Y

Cairn CLO XII DAC

5.25 106.07 18.80 1.31 2801 504 Y

Capital Four CLO I DAC

5.04 97.19 23.75 1.16 2900 554 Y

Carlyle Euro CLO 2017-1 DAC

4.63 127.48 20.65 1.42 3116 711 Y

Carlyle Euro CLO 2017-2 DAC

4.69 132.83 20.05 1.33 3073 666 Y

Carlyle Euro CLO 2017-3 DAC

4.66 120.48 22.34 1.26 3143 644 Y

Carlyle Euro CLO 2018-1 DAC

4.72 131.02 21.98 1.35 3066 675 Y

Carlyle Euro CLO 2019-2 DAC

4.94 104.20 19.83 1.37 3295 665 Y

Carlyle Euro CLO 2020-1 DAC

5.09 106.95 17.90 1.29 3045 604 Y

Carlyle Global Market Strategies Euro CLO 2013-1 DAC

4.70 125.59 21.61 1.36 3102 669 Y

Carlyle Global Market Strategies Euro CLO 2015-1 DAC

4.57 118.71 21.89 1.49 3329 663 Y

Carlyle Global Market Strategies Euro CLO 2015-3 DAC

4.66 151.57 20.85 1.38 3127 694 Y

Carlyle Global Market Strategies Euro CLO 2016-2 DAC

4.72 123.77 19.70 1.35 3144 650 Y

Clarinda Park CLO DAC

4.72 146.32 19.19 1.30 2778 732

Clontarf Park CLO DAC

4.55 131.70 20.57 1.29 2817 716 Y

Contego CLO IV DAC

4.66 102.24 22.34 1.26 2848 675 Y

Contego CLO VII DAC

4.72 107.88 20.04 1.23 2849 583 Y

Contego CLO VIII DAC

4.98 107.48 19.33 1.23 2894 543 Y

CVC Cordatus Loan Fund IX DAC

4.50 90.67 19.27 1.20 2781 815 Y

CVC Cordatus Loan Fund V DAC

4.69 100.18 17.94 1.19 2767 727 Y

CVC Cordatus Loan Fund VIII DAC

4.57 92.57 21.27 1.21 2685 810 Y

CVC Cordatus Loan Fund X DAC

4.65 97.33 17.78 1.20 2774 678 Y

CVC Cordatus Loan Fund XVI DAC

4.91 102.64 20.57 1.20 2822 669 Y

CVC Cordatus Loan Fund XVII DAC

4.97 80.04 19.70 1.20 2849 572 Y

Dryden 27 R Euro CLO 2017 DAC

4.67 100.68 19.82 1.28 3021 691 Y

Dryden 29 Euro CLO 2013 DAC

4.97 99.07 19.06 1.30 3003 739 Y

Dryden 35 Euro CLO 2014 DAC

4.78 88.92 19.65 1.39 3036 747 Y

Dryden 39 Euro CLO 2015 DAC

4.97 109.19 19.19 1.32 3014 729 Y

Dryden 44 Euro CLO 2015 DAC

4.83 98.97 18.85 1.30 3033 732

Dryden 46 Euro CLO 2016 DAC

4.92 100.52 18.90 1.31 3000 709 Y

Dryden 48 Euro CLO 2016 DAC

4.89 95.61 20.51 1.31 3031 745 Y

Dryden 51 Euro CLO 2017 DAC

4.73 100.89 19.53 1.32 3042 713 Y

Dryden 52 Euro CLO 2017 DAC

4.71 93.36 19.50 1.35 2981 697 Y

Dryden 56 Euro CLO 2017 DAC

4.94 105.20 18.78 1.30 3014 736 Y

Dryden 63 GBP CLO 2018 DAC

4.54 58.70 19.53 1.14 2891 762 Y

Dryden 73 Euro CLO 2018 DAC

5.15 87.22 16.62 1.31 2945 794 Y

Dryden 74 Euro CLO 2018 B.V.

5.27 95.05 17.78 1.29 2934 677 Y

Dunedin Park CLO DAC

4.97 148.78 19.60 1.25 2822 687 Y

Elm Park CLO DAC

4.42 135.65 20.07 1.28 2795 729

Euro-Galaxy III CLO DAC

4.65 129.55 23.45 1.40 2857 683 Y

Euro-Galaxy IV CLO DAC

4.67 126.20 23.95 1.41 2846 742 Y

Euro-Galaxy V CLO DAC

4.64 134.40 23.05 1.39 2865 687

Fair Oaks Loan Funding II DAC

5.27 83.94 19.24 1.45 2789 521 Y

Fair Oaks Loan Funding III DAC

5.16 107.03 19.26 1.47 2681 581

GLG Euro CLO III DAC

4.42 116.48 23.16 1.19 2979 716 Y

GLG Euro CLO IV DAC

4.64 114.61 22.93 1.18 2999 742 Y

GoldenTree Loan Management EUR CLO 3 DAC

4.99 99.45 22.26 1.31 2896 645 Y

Halcyon Loan Advisors European Funding 2014 DAC

4.07 102.03 18.84 1.27 3016 749 Y

Halcyon Loan Advisors European Funding 2017-1 DAC

4.23 109.72 20.71 1.30 3034 810 Y

Halcyon Loan Advisors European Funding 2017-2 DAC

4.48 112.10 18.53 1.25 2986 717 Y

Harvest CLO VII DAC

4.42 97.43 17.99 1.45 2952 656 Y

Harvest CLO VIII DAC

4.69 119.71 19.50 1.28 2977 610 Y

Harvest CLO X DAC

3.54 66.29 17.88 1.26 2980 765

Harvest CLO XI DAC

4.54 103.13 18.73 1.36 2829 650 Y

Harvest CLO XVII DAC

4.83 125.97 18.11 1.30 2862 600 Y

Harvest CLO XVIII DAC

4.61 118.42 18.32 1.24 2922 630 Y

Harvest CLO XXII DAC

5.01 105.50 18.09 1.25 2911 492 Y

Harvest CLO XXIII DAC

5.23 106.76 21.09 1.25 2811 530 Y

Harvest CLO XXIV DAC

5.24 84.30 17.86 1.27 2903 425 Y

Hayfin Emerald CLO IV DAC

5.51 89.35 21.43 1.27 2853 747 Y

Henley CLO II DAC

5.12 62.73 18.05 1.17 3008 501 Y

Holland Park CLO DAC

4.62 132.60 17.86 1.30 2773 741 Y

Invesco Euro CLO III DAC

5.09 88.72 22.09 1.33 2870 668 Y

Invesco Euro CLO IV DAC

5.27 90.07 20.60 1.35 2808 677 Y

Jubilee CLO 2013-X DAC

4.29 108.61 20.13 1.15 2937 723 Y

Jubilee CLO 2014-XI DAC

4.42 104.87 18.93 1.12 2891 692 Y

Jubilee CLO 2015-XVI DAC

4.22 103.52 18.88 1.20 2968 726

Jubilee CLO 2017-XIX DAC

4.41 111.74 20.57 1.13 2910 650 Y

Jubilee CLO 2019-XXII DAC

4.73 110.13 20.12 1.16 2879 617 Y

Jubilee CLO 2019-XXIII DAC

4.86 99.62 19.66 1.19 2952 565 Y

Lingfield 2014 I PLC

2.33 52.74 17.77 1.00 1296 764

MacKay Shields Euro CLO 1 DAC

5.21 102.67 20.68 1.19 2889 625 Y

MacKay Shields Euro CLO-2 DAC

5.36 87.93 20.11 1.25 2813 582 Y

Madison Park Euro Funding IX DAC

4.47 129.41 22.62 1.22 3013 700 Y

Madison Park Euro Funding VIII DAC

4.52 135.28 22.33 1.23 3031 720 Y

Madison Park Euro Funding X DAC

4.62 134.70 23.28 1.24 3080 762 Y

Madison Park Euro Funding XV DAC

5.09 122.16 20.01 1.23 3008 632 Y

MAN GLG Euro CLO VI DAC

4.97 125.42 23.36 1.18 2926 659 Y

Montmartre Euro CLO 2020-2 DAC

4.96 93.61 15.93 1.41 2707 568 Y

North Westerly VI ESG CLO DAC

5.05 109.68 16.94 1.27 2691 653 Y

Northwoods Capital 19 Euro DAC

5.39 96.50 22.30 1.28 2885 668 Y

Northwoods Capital 21 Euro DAC

5.61 73.06 22.73 1.28 2909 591 Y

OCP Euro CLO 2017-1 DAC

4.86 96.16 20.69 1.40 2647 730 Y

OCP Euro CLO 2017-2 DAC

4.81 98.20 21.14 1.40 2661 716 Y

OCP Euro CLO 2020-4 DAC

5.41 73.73 18.00 1.34 2651 689 Y

OZLME II DAC

4.73 128.19 22.42 1.37 3010 707 Y

OZLME III DAC

4.80 126.15 22.33 1.33 3004 714 Y

Palmer Square European Loan Funding 2020-1 DAC

5.10 98.85 18.89 1.70 2435 777 Y

Penta CLO 7 DAC

5.21 122.29 21.39 1.28 2890 567 Y

Providus CLO I DAC

5.09 104.06 16.07 1.46 2795 712 Y

Providus CLO IV DAC

5.36 83.62 12.99 1.43 2760 664 Y

Purple Finance CLO 1 DAC

4.60 90.24 20.73 1.18 2775 706 Y

Purple Finance CLO 2 DAC

5.06 88.49 18.56 1.26 2774 618 Y

RRE 1 Loan Management DAC

4.88 114.68 18.42 1.19 2806 668 Y

RRE 2 Loan Management DAC

4.89 113.46 18.53 1.17 2823 652 Y

RRE 3 Loan Management DAC

4.99 107.84 19.34 1.17 2851 629 Y

RRE 4 Loan Management DAC

5.06 107.83 19.41 1.21 2843 611 Y

Sculptor European CLO I DAC

4.67 133.17 22.97 1.38 2997 721 Y

Seapoint Park CLO DAC

5.13 142.32 19.55 1.27 2797 690 Y

Sound Point Euro CLO III Funding DAC

5.46 110.72 19.95 1.35 2719 640 Y

St. Paul's CLO II DAC

4.73 116.67 21.31 1.26 2980 762 Y

St. Paul's CLO XII DAC

5.31 94.84 17.39 1.45 2823 537 Y

Strawinsky I PLC

1.51 1.54 1.54 1.54 5648 160

Tikehau CLO III DAC

4.53 112.27 21.38 1.36 2892 662 Y

Tikehau CLO V DAC

4.96 114.24 22.30 1.29 2864 625 Y

Toro European CLO 5 DAC

4.80 124.59 20.51 1.19 2871 615 Y

Toro European CLO 6 DAC

4.82 111.41 19.20 1.16 2950 655 Y

Vendome Funding DAC

4.96 91.36 15.54 1.38 2739 556 Y

Vesey Park CLO DAC

5.18 133.91 19.98 1.25 2788 670 Y

Voya Euro CLO I DAC

4.80 129.82 20.96 1.44 2926 711 Y

Voya Euro CLO III DAC

5.34 122.97 19.24 1.36 2803 625 Y

Zinnia Finance DAC

5.10 91.48 17.76 1.20 2789 610 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 update.

This report does not constitute a rating action.

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

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