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Weekly European CLO Update

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Weekly European CLO Update

This report does not constitute a rating action.

In response to investors' growing interest following the coronavirus pandemic and ongoing credit effects on companies and European CLOs, S&P Global Ratings is publishing a regularly updated list of rating actions we have taken globally on nonfinancial corporations that have had an effect on European CLOs, and a summary of how European CLOs have been affected with key benchmarks.

Table 1

Rating Actions On Global Nonfinancial Corporations Over The Past 90 Days
Date Obligor Asset No. of affected CLOs Notional exposure in CLOs (€) Rating Previous rating Rating impact for CDO Evaluator*
September 10, 2021 Kraton Polymers Llc EUR290 mil 5.25% nts due 05/15/2026 9 6,844,000 BB-/Stable B+/Positive Yes
September 10, 2021 Holley Purchaser, Inc. US$570 mil fltg rate 1st lien term bank ln due 10/24/2025 3 6,189,577 B/Positive B-/Stable Yes
September 2, 2021 Intrum Ab (Publ) EUR900 mil 3.125% nts due 07/15/2024 1 1,700,000 BB/Stable BB/Negative No
September 2, 2021 Intrum Ab (Publ) EUR800 mil 3.50% callable nts due 07/15/2026 7 12,590,000 BB/Stable BB/Negative No
September 2, 2021 Intrum Ab (Publ) EUR850 mil 3.00% nts due 09/15/2027 36 68,796,000 BB/Stable BB/Negative No
August 31, 2021 Downstream Development Authority US$270 mil 10.50% nts due 02/15/2023 2 2,521,106 B-/Positive CCC/Negative Yes
August 30, 2021 Diamond Sports Group, Llc US$3.05 bil 5.375% nts due 08/02/2026 3 2,514,308 CCC/Negative CCC+/Negative Yes
August 30, 2021 Diamond Sports Group, Llc US$3.3 bil fltg rate term B bank ln due 08/24/2026 1 1,702,405 CCC/Negative CCC+/Negative Yes
August 30, 2021 Diamond Sports Group, Llc US$3.05 bil 5.375% nts due 08/02/2026 8 12,822,600 CCC/Negative CCC+/Negative Yes
August 29, 2021 Diamond Sports Group, Llc US$3.05 bil 5.375% nts due 08/02/2026 3 2,514,308 CCC/Negative CCC+/Negative Yes
August 29, 2021 Diamond Sports Group, Llc US$3.3 bil fltg rate term B bank ln due 08/24/2026 1 1,702,405 CCC/Negative CCC+/Negative Yes
August 29, 2021 Diamond Sports Group, Llc US$3.05 bil 5.375% nts due 08/02/2026 8 12,822,600 CCC/Negative CCC+/Negative Yes
August 26, 2021 Adtalem Global Education Inc. US$850 mil term bank ln due 08/12/2028 2 1,687,337 BB-/Stable BB Yes
August 25, 2021 Adtalem Global Education Inc. US$850 mil term bank ln due 08/12/2028 2 1,687,337 BB BB/Watch Neg Yes
August 22, 2021 Mcafee, Llc EUR961.83 mil fltg rate TLB bank ln due 09/30/2024 108 378,791,970 BB/Stable BB-/Watch Pos No
August 22, 2021 Go Wireless Holdings, Inc. US$300 mil fltg rate 1st lien term bank ln due 12/22/2024 1 234,063 B/Stable B/Negative No
August 22, 2021 Jaguar Land Rover Automotive Plc EUR650 mil 2.20% Senior unsecured nts due 01/15/2024 1 2,353,000 B/Watch Pos B/Stable Yes
August 18, 2021 Veritas Us Inc. EUR550 mil fltg rate term b bank ln due 09/01/2025 60 198,305,384 CCC+ B-/Stable Yes
August 10, 2021 Comway Spv S.R.L. EUR250.2 mil repackaged floating-rate law 130 notes 30 99,956,018 CCC D Yes
August 10, 2021 Comdata Spa EUR510 mil fltg rate TL B bank ln due 05/30/2024 1 2,666,667 CCC+/Positive SD Yes
August 9, 2021 Novem Group Gmbh EUR400 mil fltg rate nts due 05/15/2024 20 37,765,000 BB-/Stable B+/Negative Yes
August 2, 2021 Breitling Financing S.A R.L. EUR514 mil fltg rate Term Loan B bank ln due 07/06/2024 63 172,088,981 B/Stable B-/Stable Yes
August 1, 2021 Comway Spv S.R.L. EUR356.795 mil repackaged floating-rate notes 25 85,622,685 D CC Yes
August 1, 2021 Tendam Brands S.A.U. EUR275 mil 5.00% nts due 09/15/2024 1 500,000 B/Stable B/Negative No
August 1, 2021 Tendam Brands S.A.U. EUR325 mil fltg rate nts due 09/15/2024 21 50,702,000 B/Stable B/Negative No
August 1, 2021 Comdata Spa EUR510 mil fltg rate TL B bank ln due 05/30/2024 6 17,000,000 SD CC/Watch Neg Yes
July 29, 2021 Cma Cgm S.A. EUR750 mil 5.25% nts due 01/15/2025 1 2,000,000 BB/Stable BB-/Stable Yes
July 27, 2021 Banijay Group Sas EUR400 mil 6.50% callable nts due 03/01/2026 10 10,000,000 B/Stable B/Negative No
July 26, 2021 Standard Industries Inc. EUR800 mil 2.25% sr nts due 11/26/2026 2 3,750,000 BB+/Negative BBB-/Watch Neg No
July 25, 2021 Ai Convoy (Luxembourg) S.A.R.L. EUR885 mil fltg rate term B bank ln due 01/15/2027 99 238,311,784 B/Stable B/Negative No
July 25, 2021 Screenvision, Llc US$175 mil fltg rate term B bank ln due 07/02/2025 3 2,252,378 CCC+/Watch Pos CCC+/Negative Yes
July 25, 2021 Kaefer Isoliertechnik Gmbh & Co. Kg EUR250 mil 5.50% nts due 01/10/2024 3 3,499,000 B+/Stable B+/Negative No
July 21, 2021 Trident Tpi Holdings, Inc. EUR249 mil fltg rate term B-2 bank ln due 10/17/2024 21 42,142,672 B-/Stable B-/Negative No
July 14, 2021 Excelitas Technologies Corp. EUR250 mil fltg rate 1st lien term bank ln due 12/02/2024 37 96,783,274 B-/Positive B-/Stable No
July 12, 2021 Foodco Bondco Sau EUR670 mil 6.25% nts due 05/15/2026 15 14,828,000 CCC+/Negative CCC-/Negative Yes
July 8, 2021 Sisaho International EUR485 mil fltg rate Term B bank ln due 11/02/2025 28 67,983,237 CCC+/Watch Pos CCC+/Negative Yes
July 6, 2021 Cab EUR1.45 bil fltg rate TLB bank ln due 02/09/2028 121 363,141,973 B/Stable B-/Stable Yes
July 6, 2021 Cab EUR800 mil 3.375% callable nts due 02/01/2028 21 25,185,000 B/Stable B-/Stable Yes
July 4, 2021 Affidea B.V. EUR450 mil fltg rate Term B bank ln due 12/04/2026 49 125,948,830 B+/Negative B+/Stable No
June 30, 2021 Iqera Group Sas EUR270 mil 4.25% nts due 09/30/2024 22 27,545,000 B+/Negative B+/Stable No
June 30, 2021 Iqera Group Sas EUR175 mil fltg rate nts due 09/30/2024 17 15,705,144 B+/Negative B+/Stable No
June 30, 2021 Iqera Group Sas EUR200 mil 6.50% nts due 09/30/2024 17 24,975,000 B+/Negative B+/Stable No
June 29, 2021 Aenova Holding Gmbh EUR440 mil fltg rate Term B bank ln due 02/27/2025 71 173,454,500 B-/Positive B-/Stable No
June 29, 2021 Rubix Group Finco Ltd. EUR855 mil fltg rate Term B-1 bank ln due 09/08/2024 71 239,570,682 B-/Stable B-/Negative No
June 29, 2021 Everest Bidco Sas EUR500 mil fltg rate First Lien Term Facility bank ln due 07/01/2025 36 91,934,422 B-/Positive B-/Stable No
June 29, 2021 Lsfx Flavum Bidco S.A. EUR375 mil fltg rate Term B Loan bank ln due 10/03/2024 47 117,580,830 B/Stable B/Negative No
June 29, 2021 Lsfx Flavum Bidco S.A. EUR300 mil TL B3 bank ln due 2027 53 120,915,043 B/Stable B/Negative No
June 29, 2021 Dlg Acquisitions Ltd. EUR405 mil Term C bank ln due 05/15/2026 64 127,522,365 B/Stable B/Negative No
June 29, 2021 Galileo Global Education Finance Sarl EUR810 mil fltg rate Term-B bank ln due 11/06/2026 84 179,196,929 B/Stable B/Negative No
June 29, 2021 Galileo Global Education Finance Sarl EUR80 mil bank ln due 11/12/2027 13 34,750,000 B/Stable B/Negative No
June 29, 2021 International Game Technology Plc EUR500 mil 3.50% nts due 01/15/2026 8 11,665,000 BB/Positive BB/Negative No
June 29, 2021 International Game Technology Plc EUR500 mil 2.375% nts due 04/15/2028 31 76,353,000 BB/Positive BB/Negative No
June 29, 2021 Wireco Worldgroup Inc. US$460 mil fltg rate 1st lien bank ln due 09/30/2023 1 1,139,117 B-/Stable B-/Negative No
June 27, 2021 Newday Bondco Plc £325 mil 7.375% nts due 02/01/2024 1 1,180,600 B+/Stable B+/Negative No
June 27, 2021 Newday Bondco Plc £150 mil fltg rate nts due 02/01/2023 3 7,557,880 B+/Stable B+/Negative No
June 23, 2021 Athena Bidco Gmbh EUR475 mil fltg rate bank ln due 03/24/2027 65 137,871,058 B/Stable B/Negative No
June 23, 2021 Carlson Travel Inc. EUR325 mil fltg rate sr nts due 06/15/2025 9 18,245,000 D CCC/Negative Yes
June 23, 2021 Kindred Healthcare Llc US$610 mil fltg rate 1st lien term bank ln due 07/02/2025 1 1,202,830 B+/Watch Neg B+/Stable Yes
June 22, 2021 Sector Alarm Holding As EUR590 mil fltg rate Term B Loan bank ln due 06/11/2026 77 161,529,498 B+/Stable B/Stable Yes
June 22, 2021 Rain Carbon Gmbh EUR390 mil fltg rate Term Loan bank ln due 01/16/2025 49 149,906,315 B+/Stable B+/Negative No
June 22, 2021 Diocle Spa EUR470 mil fltg rate nts due 06/30/2026 52 66,651,301 B+/Stable B/Stable Yes
June 22, 2021 Autostrade Per I'Italia Spa EUR750 mil 1.75% nts due 06/26/2026 2 2,000,000 BB/Positive BB- Yes
June 22, 2021 Autostrade Per I'Italia Spa EUR700 mil 1.875% med-term nts ser 5 due 09/26/2029 4 10,000,000 BB/Positive BB- Yes
June 22, 2021 Atlantia Spa EUR1 bil 1.875% med-term nts ser 2 due 07/13/2027 1 1,000,000 BB/Positive BB- Yes
June 21, 2021 Tk Elevator Midco Gmbh EUR1.02 bil TLB bank ln 95 245,581,556 B/Stable B-/Positive Yes
June 21, 2021 Tk Elevator Midco Gmbh EUR1.1 bil 4.375% callable nts due 07/15/2027 8 8,742,000 B/Stable B-/Positive Yes
June 21, 2021 Tk Elevator Midco Gmbh EUR500 mil fltg rate callable nts due 07/15/2027 42 58,085,000 B/Stable B-/Positive Yes
June 21, 2021 Guala Closures S.P.A. EUR455 mil fltg rate nts due 04/15/2024 33 47,024,000 B+/Stable B+/Watch Neg Yes
June 21, 2021 Rebecca Bidco Gmbh EUR320 mil nts 12 14,700,000 B/Positive B/Stable No
June 21, 2021 Tk Elevator Holdco Gmbh EUR650 mil 6.625% callable nts due 07/15/2028 2 500,000 B/Stable B-/Positive Yes
June 20, 2021 Befesa S.A. EUR526 mil fltg rate Facility B bank ln due 07/09/2026 38 67,990,086 BB+/Stable BB/Stable Yes
June 20, 2021 Paprec Holding EUR225 mil nts due 03/31/2025 18 43,084,000 B+/Stable B/Positive Yes
June 20, 2021 Paprec Holding EUR575 mil 4.00% nts due 03/31/2025 5 6,428,000 B+/Stable B/Positive Yes
June 17, 2021 Cobalt Bidco Sas EUR875 mil bank ln 92 210,377,488 B-/Stable B/Stable Yes
June 16, 2021 Aventiv Technologies, Llc US$1.382 bil fltg rate 1st lien Term Loan bank ln due 11/01/2024 2 2,075,805 B-/Positive B-/Stable No
*See paragraph 6 of our "Global Methodology And Assumptions For CLOs And Corporate CDOs," published on June 21, 2019. N/A--Not available

Chart 1

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Chart 2

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Table 2

European CLOs Snapshot As Of Sept. 13, 2021
CLO Collateral manager Latest report date SPWARF 'BB-' and above (%) 'B-' (%) 'CCC' category Nonperforming category (%) CreditWatch negative (%) Negative outlook (%)
ALME Loan Funding V DAC Apollo Credit Management August 04, 2021 2,669 14.14 16.67 1.33 0.00 2.05 12.29
Accunia European CLO II B.V. Accunia Fondsmaeglerselskab July 30, 2021 2,821 14.00 19.09 6.88 0.00 0.33 20.91
Accunia European CLO IV DAC Accunia Fondsmaeglerselskab July 30, 2021 2,884 9.15 18.94 5.50 0.00 0.24 19.53
Adagio VI CLO DAC AXA Investment Managers August 20, 2021 2,837 12.00 23.18 2.82 0.54 0.80 13.66
Anchorage Capital Europe CLO 2 DAC Anchorage CLO ECM, L.L.C August 04, 2021 3,124 3.92 25.99 4.97 1.45 0.00 13.51
Anchorage Capital Europe CLO 2021-4 DAC Anchorage CLO ECM, L.L.C August 13, 2021 3,112 4.46 25.58 5.18 1.47 0.00 12.43
Anchorage Capital Europe CLO 3 DAC Anchorage Capital Group August 10, 2021 3,093 4.17 25.76 5.31 0.96 0.00 13.71
Aqueduct European CLO 1-2017 DAC HPS Investment Partners July 08, 2021 2,823 13.47 25.35 3.37 0.00 1.08 15.36
Aqueduct European CLO 2-2017 DAC HPS Investment Partners June 30, 2021 2,757 14.93 23.30 2.72 0.00 1.26 15.20
Aqueduct European CLO 5 - 2020 DAC HPS Investment Partners July 08, 2021 2,724 16.28 23.26 1.25 0.00 0.51 12.57
Arbour CLO IV DAC Oaktree Capital Management July 30, 2021 2,838 13.74 20.08 6.83 0.00 0.60 18.68
Arbour CLO VII DAC Oaktree Capital Management June 30, 2021 2,824 12.84 20.11 6.60 0.00 0.87 19.31
Arbour CLO VIII DAC Oaktree Capital Management July 30, 2021 2,848 13.69 20.84 6.96 0.00 0.39 19.71
Ares European CLO IX DAC Ares Management August 06, 2021 2,882 11.97 25.43 2.68 0.95 1.46 14.16
Ares European CLO VI DAC Ares Management August 06, 2021 2,741 16.43 23.16 3.50 0.00 1.72 16.54
Ares European CLO VII DAC Ares Management August 12, 2021 2,758 13.41 21.84 2.15 0.00 0.00 12.45
Ares European CLO VIII DAC Ares Management August 06, 2021 2,910 7.70 25.48 3.34 0.32 0.88 12.75
Ares European CLO XIII DAC Ares Management August 06, 2021 2,908 8.85 27.31 3.33 0.00 0.00 17.68
Ares European CLO XIV DAC Ares Management August 06, 2021 2,925 5.69 26.80 1.36 0.00 0.00 10.20
Armada Euro CLO IV DAC Brigade Capital Management August 16, 2021 2,693 18.88 20.27 6.07 0.00 0.00 11.80
Aurium CLO I DAC Spire Partners July 30, 2021 2,604 19.43 17.19 3.31 0.00 0.96 18.83
Aurium CLO III DAC Spire Partners July 30, 2021 2,631 19.60 19.29 4.15 0.00 0.81 20.87
Aurium CLO IV DAC Spire Partners July 30, 2021 2,609 19.52 17.09 3.63 0.00 0.96 19.09
Aurium CLO V DAC Spire Partners July 12, 2021 2,610 18.56 18.24 1.87 0.00 1.10 18.68
Avoca CLO XI DAC KKR Financial Advisors July 30, 2021 2,849 9.60 23.43 4.58 0.00 0.70 15.27
Avoca CLO XIV Ltd. KKR Financial Advisors July 30, 2021 2,871 9.09 22.86 4.79 0.00 0.37 15.48
Avoca CLO XVII DAC KKR Financial Advisors July 30, 2021 2,894 9.80 23.56 6.12 0.00 0.26 16.84
Avoca CLO XVIII DAC KKR Financial Advisors July 30, 2021 2,830 9.66 21.12 4.80 0.00 0.67 13.38
Avoca CLO XXI DAC KKR Financial Advisors July 30, 2021 2,923 8.89 27.57 5.61 0.00 0.21 16.40
Avoca CLO XXII DAC KKR Financial Advisors July 30, 2021 2,872 10.64 25.07 3.43 0.00 0.00 15.27
Avoca CLO XXIV DAC KKR Financial Advisors July 30, 2021 2,868 8.61 22.55 3.82 0.00 0.43 12.85
Bain Capital Euro CLO 2017-1 DAC Bain Capital Credit August 06, 2021 2,900 14.88 21.85 8.01 0.90 0.00 21.01
Bain Capital Euro CLO 2019-1 DAC Bain Capital Credit July 02, 2021 2,776 14.24 18.79 3.33 0.60 0.00 17.82
Bain Capital Euro CLO 2020-1 DAC Bain Capital Credit August 06, 2021 2,695 15.33 22.42 0.79 0.00 0.00 17.24
Bain Capital Euro CLO 2021-1 DAC Bain Capital Credit July 06, 2021 2,729 13.06 19.39 0.48 0.00 0.85 13.47
Barings Euro CLO 2018-1 B.V. Barings July 05, 2021 3,166 12.55 22.63 12.19 2.97 0.06 22.01
Barings Euro CLO 2020-1 DAC Barings July 09, 2021 2,718 19.25 19.42 5.67 0.33 0.78 16.78
Bastille Euro CLO 2020-3 DAC CBAM Partners, LLC July 02, 2021 2,760 14.39 19.50 2.93 0.00 2.66 13.94
Bilbao CLO III DAC Guggenheim Partners Investment Management June 23, 2021 3,034 6.91 24.11 5.38 1.12 0.00 9.25
Black Diamond CLO 2015-1 DAC Black Diamond Capital Management August 06, 2021 2,930 11.64 27.43 9.55 0.00 0.53 20.77
Black Diamond CLO 2017-2 DAC Black Diamond Capital Management July 08, 2021 3,072 3.82 25.53 8.84 0.00 0.43 14.78
Black Diamond CLO 2019-1 DAC Black Diamond Capital Management August 04, 2021 3,080 3.18 25.20 8.26 0.00 0.00 14.35
BlackRock Euro CLO IX DAC BlackRock Financial Management August 10, 2021 2,851 14.66 23.01 4.90 0.91 2.06 18.97
BlackRock European CLO I DAC BlackRock Financial Management August 10, 2021 2,815 15.11 21.02 5.54 0.95 1.57 19.63
BlackRock European CLO IV DAC BlackRock Financial Management August 10, 2021 2,822 15.22 21.14 5.19 0.93 1.64 20.08
BlackRock European CLO X DAC BlackRock Financial Management August 20, 2021 2,855 12.52 24.80 4.37 0.00 2.28 20.47
BlueMountain EUR 2021-1 CLO DAC BlueMountain Capital Management August 09, 2021 2,853 10.62 26.76 1.66 0.00 0.49 14.02
BlueMountain EUR CLO 2016-1 DAC BlueMountain Capital Management July 30, 2021 2,930 11.17 25.68 3.98 1.09 0.50 16.80
BlueMountain Fuji EUR CLO II DAC BlueMountain Capital Management August 10, 2021 2,996 10.46 30.27 3.38 1.26 0.00 15.33
BlueMountain Fuji EUR CLO V DAC BlueMountain Capital Management June 10, 2021 2,952 11.36 28.32 4.63 0.55 0.37 17.08
Bosphorus CLO VI DAC Commerzbank AG August 13, 2021 2,746 10.86 14.33 1.44 0.00 0.00 13.35
Bridgepoint CLO 1 DAC Bridgepoint Credit Management Limited July 02, 2021 2,806 8.05 18.72 2.14 0.00 0.62 7.06
CVC Cordatus Loan Fund IV DAC CVC Credit Partners June 30, 2021 2,844 14.16 26.28 6.64 0.00 0.00 13.49
CVC Cordatus Loan Fund IX DAC CVC Credit Partners August 10, 2021 2,832 14.67 24.47 7.64 0.00 0.00 18.35
CVC Cordatus Loan Fund V DAC CVC Credit Partners July 09, 2021 2,752 17.22 21.49 6.44 0.00 0.00 13.80
CVC Cordatus Loan Fund X DAC CVC Credit Partners July 14, 2021 2,779 15.11 21.51 6.53 0.00 0.00 17.37
CVC Cordatus Loan Fund XIX DAC CVC Credit Partners June 11, 2021 2,953 8.35 30.68 3.09 0.00 0.00 14.47
CVC Cordatus Loan Fund XVI DAC CVC Credit Partners July 30, 2021 2,886 11.92 24.37 6.31 0.00 0.00 15.63
CVC Cordatus Loan Fund XVII DAC CVC Credit Partners June 08, 2021 2,899 9.43 27.35 3.87 0.00 0.00 14.39
CVC Cordatus Loan Fund XVIII DAC CVC Credit Partners July 19, 2021 2,930 10.64 30.08 3.43 0.00 0.00 12.80
Cairn CLO V DAC Cairn Loan Investments July 08, 2021 2,907 15.71 24.07 5.05 1.86 0.90 17.73
Cairn CLO VIII DAC Cairn Loan Investments July 20, 2021 3,058 10.76 24.49 8.09 1.72 1.06 17.14
Cairn CLO XI DAC Cairn Loan Investments July 02, 2021 3,074 8.72 27.21 6.88 1.17 0.71 18.82
Cairn CLO XII DAC Cairn Loan Investments August 05, 2021 2,855 11.69 18.75 2.87 0.58 0.00 15.89
Capital Four CLO I DAC Capital Four July 30, 2021 2,878 10.53 17.57 6.16 0.00 0.54 15.27
Capital Four CLO II DAC Capital Four July 02, 2021 2,873 10.19 16.13 6.20 0.00 0.73 17.13
Carlyle Euro CLO 2017-2 DAC CELF Advisors August 04, 2021 3,053 6.93 24.06 7.13 0.87 0.00 20.82
Carlyle Euro CLO 2017-3 DAC CELF Advisors July 02, 2021 3,160 3.28 26.78 9.40 0.85 0.00 16.44
Carlyle Euro CLO 2018-1 DAC CELF Advisors August 10, 2021 3,017 5.43 26.87 5.98 0.57 0.00 18.56
Carlyle Euro CLO 2019-2 DAC CELF Advisors August 04, 2021 3,058 5.76 30.48 6.01 0.50 0.00 18.56
Carlyle Euro CLO 2020-1 DAC CELF Advisors August 18, 2021 3,091 6.74 29.96 5.37 1.22 0.00 19.94
Carlyle Euro CLO 2020-2 DAC CELF Advisors August 18, 2021 2,908 5.92 25.69 1.38 0.00 0.00 10.87
Carlyle Global Market Strategies Euro CLO 2013-1 B.V. CELF Advisors July 02, 2021 3,067 6.46 22.10 8.29 0.99 0.00 22.76
Carlyle Global Market Strategies Euro CLO 2015-1 DAC CELF Advisors August 16, 2021 3,175 5.94 30.24 7.66 1.47 0.00 19.81
Carlyle Global Market Strategies Euro CLO 2015-3 DAC CELF Advisors July 02, 2021 3,081 6.55 26.92 7.43 1.14 0.00 18.82
Carlyle Global Market Strategies Euro CLO 2016-2 DAC CELF Advisors August 16, 2021 3,095 5.67 23.15 7.92 1.26 0.00 17.93
Carysfort Park CLO DAC Blackstone Ireland Limited July 20, 2021 2,795 12.79 22.59 4.13 0.00 0.73 13.30
Clarinda Park CLO DAC Blackstone Ireland Limited August 04, 2021 2,817 14.57 20.86 7.64 0.00 0.46 17.50
Clontarf Park CLO DAC GSO/Blackstone Debt Funds Management August 10, 2021 2,839 14.03 22.50 8.11 0.00 0.76 20.82
Contego CLO IV DAC Five Arrows Managers July 30, 2021 2,896 12.05 28.27 1.22 0.98 0.21 14.58
Contego CLO VII DAC Five Arrows Managers July 30, 2021 2,896 11.49 27.18 1.16 0.85 0.35 13.82
Dartry Park CLO DAC Blackstone Ireland Limited May 17, 2021 2,822 14.26 21.24 7.80 0.00 1.68 16.56
Deer Park CLO DAC GSO/Blackstone Debt Funds Management July 02, 2021 2,745 15.53 20.20 4.70 0.00 0.85 14.08
Dryden 27 R Euro CLO 2017 DAC PGIM Limited July 31, 2021 3,100 7.17 30.17 6.39 1.16 0.00 21.36
Dryden 29 Euro CLO 2013 DAC PGIM Limited July 31, 2021 3,063 7.11 26.63 6.35 1.28 0.00 19.66
Dryden 35 Euro CLO 2014 DAC PGIM Limited July 31, 2021 3,026 8.07 25.60 5.41 1.47 0.00 20.32
Dryden 39 Euro CLO 2015 DAC PGIM Limited July 31, 2021 3,070 7.48 26.54 7.93 1.03 0.00 20.39
Dryden 44 Euro CLO 2015 DAC PGIM Limited July 31, 2021 3,014 5.94 27.66 7.37 0.08 0.00 18.84
Dryden 46 Euro CLO 2016 DAC PGIM Limited July 31, 2021 3,038 6.90 29.14 6.43 0.68 0.00 19.58
Dryden 48 Euro CLO 2016 DAC PGIM Limited July 31, 2021 3,065 7.15 24.86 5.86 1.37 0.00 17.10
Dryden 51 Euro CLO 2017 DAC PGIM Limited July 31, 2021 2,979 9.14 26.09 6.83 0.44 0.00 18.12
Dryden 52 Euro CLO 2017 DAC PGIM Limited July 31, 2021 3,040 7.81 26.50 6.50 1.10 0.00 20.09
Dryden 56 Euro CLO 2017 DAC PGIM Limited July 31, 2021 3,051 8.38 24.27 7.34 1.33 0.00 19.57
Dryden 73 Euro CLO 2018 DAC PGIM Limited July 31, 2021 3,010 11.84 22.84 6.83 1.62 0.00 18.66
Dryden 74 Euro CLO 2018 B.V. PGIM Limited July 31, 2021 2,946 6.80 26.43 4.21 0.00 0.00 16.56
Dryden 79 Euro CLO 2020 DAC PGIM Limited July 31, 2021 3,030 4.97 28.83 5.94 0.00 0.00 16.42
Dunedin Park CLO DAC GSO/Blackstone Debt Funds Management July 12, 2021 2,812 14.45 22.12 6.33 0.00 0.50 15.60
Elm Park CLO DAC Blackstone Ireland Limited August 16, 2021 2,808 13.59 21.81 6.41 0.00 0.24 17.56
Euro-Galaxy III CLO DAC PineBridge Investments August 05, 2021 2,839 13.05 23.25 5.72 0.00 0.00 15.82
Euro-Galaxy V CLO DAC PineBridge Investments August 04, 2021 2,865 12.73 24.22 6.37 0.00 0.09 16.60
Fair Oaks Loan Funding II DAC Fair Oaks Capital Ltd July 30, 2021 2,737 13.80 19.70 2.54 0.00 0.56 11.19
Fair Oaks Loan Funding III DAC Fair Oaks Capital Ltd August 16, 2021 2,692 14.87 16.94 1.72 0.00 0.28 8.32
GLG Euro CLO IV DAC GLG Partners August 04, 2021 2,933 13.22 27.47 5.78 0.91 1.40 14.10
GoldenTree Loan Management EUR CLO 3 DAC GoldenTree Asset Management August 16, 2021 2,796 14.50 20.10 6.00 0.00 1.30 15.92
Goldentree Loan Management EUR CLO 5 DAC GoldenTree Asset Management July 06, 2021 2,724 14.68 22.52 2.20 0.00 2.23 12.01
Halcyon Loan Advisors European Funding 2017-1 DAC Halcyon Loan Management August 13, 2021 2,992 12.04 25.72 10.19 0.40 0.00 22.09
Halcyon Loan Advisors European Funding 2017-2 DAC Halcyon Loan Management August 06, 2021 2,959 12.83 24.87 7.37 0.39 0.00 17.23
Harvest CLO VII DAC Investcorp July 30, 2021 3,061 11.18 25.87 10.56 1.23 0.78 16.07
Harvest CLO VIII DAC Investcorp July 30, 2021 3,000 8.13 23.62 6.24 0.77 0.00 15.79
Harvest CLO X DAC Investcorp August 05, 2021 3,164 11.60 19.13 17.81 1.75 0.92 23.82
Harvest CLO XI DAC Investcorp June 17, 2021 2,983 9.41 20.46 7.21 1.15 0.00 16.06
Harvest CLO XVII DAC Investcorp July 30, 2021 2,996 8.56 21.54 7.65 0.83 0.00 11.16
Harvest CLO XVIII DAC Investcorp July 30, 2021 3,009 6.98 18.71 10.16 0.34 0.33 14.37
Harvest CLO XXII DAC Investcorp July 30, 2021 2,912 7.58 24.95 3.97 0.00 0.00 13.18
Harvest CLO XXIII DAC Investcorp July 30, 2021 2,890 8.06 25.17 3.55 0.00 0.00 12.99
Harvest CLO XXIV DAC Investcorp July 30, 2021 2,973 4.81 25.72 3.09 0.00 0.00 13.05
Harvest CLO XXV DAC Investcorp July 09, 2021 2,889 7.18 22.72 2.76 0.00 0.00 12.90
Hayfin Emerald CLO V DAC Hayfin Emerald Management LLP July 15, 2021 2,852 15.78 32.06 4.33 0.00 1.93 23.43
Henley CLO III DAC Napier Park Global Capital August 16, 2021 3,063 2.65 32.06 3.85 0.00 0.00 17.74
Henley CLO IV DAC Napier Park Global Capital August 16, 2021 2,988 4.49 31.54 2.10 0.00 0.00 16.89
Holland Park CLO DAC GSO/Blackstone Debt Funds Management August 04, 2021 2,784 16.02 17.97 7.64 0.00 0.00 18.34
Invesco Euro CLO III DAC Invesco Senior Secured Management July 02, 2021 2,993 13.97 22.81 10.24 1.26 2.12 17.52
Invesco Euro CLO IV DAC Invesco Senior Secured Management July 02, 2021 2,997 12.71 22.16 7.36 1.77 2.03 18.61
Jubilee CLO 2013-X DAC Alcentra August 04, 2021 2,937 11.32 25.38 8.31 0.01 0.00 17.73
Jubilee CLO 2014-XI DAC Alcentra August 04, 2021 2,893 11.86 24.65 8.06 0.06 0.00 17.19
Jubilee CLO 2015-XV DAC Alcentra August 13, 2021 2,982 10.86 26.27 10.90 0.13 0.00 18.67
Jubilee CLO 2015-XVI DAC Alcentra August 18, 2021 2,908 12.42 26.84 8.01 0.05 0.00 16.76
Jubilee CLO 2017-XIX DAC Alcentra August 04, 2021 2,878 11.11 21.32 8.23 0.00 0.00 14.90
Jubilee CLO 2019-XXII B.V. Alcentra August 10, 2021 2,865 10.48 21.39 4.52 0.48 0.00 14.91
Jubilee CLO 2019-XXIII B.V. Alcentra August 10, 2021 2,935 9.27 25.25 6.17 0.00 0.00 21.87
Jubilee CLO 2020-XXIV DAC Alcentra August 10, 2021 2,823 9.91 22.71 2.28 0.00 0.00 14.55
MAN GLG Euro CLO VI DAC GLG Partners July 05, 2021 2,917 12.98 22.27 5.36 0.97 0.42 14.17
MacKay Shields Euro CLO 1 DAC Credit Value Partners August 16, 2021 2,703 13.46 16.06 3.45 0.00 0.00 15.88
MacKay Shields Euro CLO-2 DAC Credit Value Partners August 04, 2021 2,666 14.78 16.75 1.33 0.00 0.00 13.75
Madison Park Euro Funding IX DAC Credit Suisse Asset Management June 14, 2021 2,891 13.84 23.34 7.29 0.69 0.62 18.53
Madison Park Euro Funding VIII DAC Credit Suisse Asset Management July 06, 2021 3,057 12.09 23.79 7.42 2.45 2.18 13.45
Madison Park Euro Funding X DAC Credit Suisse Asset Management August 12, 2021 3,016 12.77 26.77 6.90 1.83 1.42 15.43
Madison Park Euro Funding XV DAC Credit Suisse Asset Management August 16, 2021 2,882 12.18 27.40 4.80 0.00 0.00 16.12
Man GLG Euro CLO III DAC GLG Partners June 08, 2021 3,020 10.63 25.81 7.23 1.01 0.79 19.23
Marino Park CLO DAC Blackstone Ireland Limited July 06, 2021 2,790 14.43 21.60 5.11 0.00 0.00 16.20
Neuberger Berman Loan Advisers Euro CLO 1 DAC Neuberger Berman August 16, 2021 2,740 10.64 13.80 2.55 0.00 0.00 10.27
Newhaven CLO, DAC Bain Capital Credit August 03, 2021 2,779 18.14 20.24 5.89 0.74 0.00 21.21
North Westerly VI B.V. NIBC Bank August 10, 2021 2,712 15.90 22.49 1.54 0.00 0.35 11.22
Northwoods Capital 19 Euro DAC Northwoods European CLO Management August 13, 2021 2,845 10.55 18.17 6.09 0.00 0.76 16.07
OCP Euro CLO 2017-1 DAC Onex Credit Partners August 06, 2021 2,831 12.20 20.52 2.79 0.88 0.00 12.86
OCP Euro CLO 2017-2 DAC Onex Credit Partners August 06, 2021 2,904 9.10 22.60 3.51 0.90 0.35 17.87
OCP Euro CLO 2019-3 DAC Onex Credit Partners August 06, 2021 2,879 8.94 23.52 1.30 0.89 0.35 13.49
OCP Euro CLO 2020-4 DAC Onex Credit Partners August 06, 2021 2,895 5.43 29.74 0.99 0.00 0.00 13.81
OZLME III DAC Och-Ziff Loan Management August 12, 2021 2,872 14.04 23.13 7.68 0.68 1.82 18.83
Oak Hill European Credit Partners VIII DAC Oak Hill Advisors August 06, 2021 2,766 10.14 22.63 0.82 0.00 0.82 13.79
Palmer Square European Loan Funding 2020-1 DAC Palmer Square Capital Management August 10, 2021 2,420 27.64 20.29 0.00 0.00 0.76 15.61
Palmer Square European Loan Funding 2020-2 DAC Palmer Square Capital Management August 04, 2021 2,453 26.33 21.57 0.00 0.00 1.81 15.88
Penta CLO 5 DAC Partners Group (UK) Management Ltd July 30, 2021 2,950 12.88 25.30 6.01 0.66 0.87 15.81
Penta CLO 7 DAC Partners Group (UK) Management Ltd June 30, 2021 2,830 12.83 24.56 4.74 0.00 0.60 18.27
Penta CLO 8 DAC Partners Group (UK) Management Ltd July 30, 2021 2,749 15.43 24.95 1.82 0.00 0.53 12.73
Providus CLO I DAC Permira Debt Managers August 04, 2021 2,845 15.10 25.34 6.62 0.00 1.05 18.55
Purple Finance CLO 1 DAC Ostrum Asset Management July 14, 2021 2,851 11.76 11.99 8.47 0.81 0.49 17.60
Purple Finance CLO 2 DAC Ostrum Asset Management July 08, 2021 2,878 9.78 15.31 6.09 0.93 0.00 20.31
RRE 1 Loan Management DAC Redding Ridge Asset Management July 31, 2021 2,758 12.45 20.17 1.79 0.00 1.41 14.35
RRE 2 Loan Management DAC Redding Ridge Asset Management July 31, 2021 2,727 12.33 18.72 1.06 0.00 1.70 12.05
RRE 3 Loan Management DAC Redding Ridge Asset Management July 31, 2021 2,742 12.17 20.71 1.74 0.00 2.20 15.31
RRE 5 Loan Management DAC Redding Ridge Asset Management July 31, 2021 2,754 12.76 20.73 2.44 0.00 1.21 16.38
RRE 6 Loan Management DAC Redding Ridge Asset Management July 31, 2021 2,782 12.08 21.83 1.46 0.00 0.73 13.20
Sculptor European CLO I DAC Sculptor Europe Loan Management Limited August 10, 2021 2,829 13.33 27.67 5.21 0.00 0.64 18.49
Sculptor European CLO VII DAC Sculptor Europe Loan Management Limited August 16, 2021 2,833 15.70 23.58 6.96 0.00 1.17 17.30
Seapoint Park CLO DAC GSO/Blackstone Debt Funds Management June 21, 2021 2,781 14.70 20.95 5.83 0.00 0.54 16.41
Sound Point Euro CLO III Funding DAC Sound Point Capital Management August 10, 2021 2,710 14.06 20.89 0.48 0.00 0.00 10.10
Sound Point Euro CLO IV Funding DAC Sound Point Capital Management July 01, 2021 2,692 14.32 19.82 0.00 0.00 0.00 10.13
St. Paul's CLO II DAC Intermediate Capital Management July 02, 2021 2,981 13.94 26.69 7.20 1.18 1.93 14.88
St. Paul's CLO XII DAC Intermediate Capital Management July 02, 2021 2,920 10.02 26.81 5.73 0.00 0.06 11.40
St. Paul's CLO VI DAC Intermediate Capital Management August 10, 2021 2,957 13.35 27.90 6.45 0.56 0.95 16.92
Tikehau CLO III DAC Tikehau Capital August 19, 2021 2,836 12.72 24.54 4.76 0.00 0.00 11.94
Tikehau CLO V DAC Tikehau Capital July 30, 2021 2,838 12.61 23.65 6.09 0.00 0.45 13.02
Toro European CLO 5 DAC Chenavari Credit Partners August 16, 2021 2,902 9.71 27.72 3.45 0.00 0.00 13.14
Toro European CLO 6 DAC Chenavari Credit Partners August 16, 2021 2,918 11.65 30.62 3.38 0.00 0.00 15.13
Toro European CLO 7 DAC Chenavari Credit Partners July 02, 2021 2,842 8.80 23.00 2.50 0.00 0.00 14.83
Vesey Park CLO DAC GSO/Blackstone Debt Funds Management August 04, 2021 2,826 13.74 20.75 6.39 0.00 0.00 15.68
Voya Euro CLO I DAC Voya Investment Management August 10, 2021 2,987 13.01 24.22 7.15 1.36 0.49 17.05
Voya Euro CLO III DAC Voya Investment Management August 10, 2021 2,843 13.27 20.60 4.95 0.46 0.49 18.35
Voya Euro CLO IV DAC Voya Investment Management July 30, 2021 2,730 14.45 19.80 1.36 0.00 0.58 11.83
Zinnia Finance DAC Redding Ridge Asset Management July 31, 2021 2,718 12.37 19.48 0.65 0.00 1.94 12.36
Note: All data is as of the date of the table.

Appendix

The scope: All currently S&P rated European CLOs are included in this report, including those which are in their reinvestment period.

Rating actions listed for nonfinancial corporations only include those that were present in the rated S&P European CLOs on the date of the rating action. In most cases the rating action will be a change in the issuer credit rating (ICR), however under the S&P rating definitions for CLOs, this could be a change in an issue credit rating or a change in methodology of how the rating is derived from a parent entity or a change in the hierarchy following a merger and acquisition (M&A). According to our CLO criteria, a corporate rating on CreditWatch negative would be notched down by one rating and a corporate rating on CreditWatch positive would be notched up by one rating in our CLO analysis. For example, we would treat a corporate rating of 'B/Watch Neg' as a 'B-' rating in our CLO analysis (see "Global Methodology And Assumptions For CLOs And Corporate CDOs," published June 21, 2019).

Determining the rating input for CDO Evaluator

For CDO Evaluator as well as looking at the impact of downgrades and upgrades may have, we would also consider the impact of a CreditWatch placement (as described above), any movement which would mean we would run CDO Evaluator with an updated rating input we be classified as having an impact to the input.

Benchmark data

European CLO assets included in this report will be from the latest trustee report available to S&P Global Ratings with rating and recovery data as of the date of this report provide by S&P Global Ratings. New issuance will not be included until the first trustee report is available and where a new trustee report is available, it will be included in the next refresh on data as indicated by the date of this report.

S&P Global Ratings' weighted-average rating factor (SPWARF)

The SPWARF of a CLO portfolio provides an indication of the overall credit rating distribution of the portfolio, weighted by each asset's par balance. The rating factor for each of the portfolio assets is determined by S&P Global Ratings' credit rating (or implied rating) and the rating factor. (An individual asset's S&P Global Ratings' rating factor is the five-year default rate, given the asset's S&P Global Ratings' credit rating and the default table in the corporate CDO criteria, multiplied by 10,000.) The SPWARF is calculated by multiplying the par balance of each collateral obligation by the S&P Global Ratings' rating factor (including exposures to issuers with a non-performing rating: 'CC', 'SD', and 'D', each with a rating factor of 10,000), then summing the total for the portfolio and dividing this result by the aggregate principal balance of the collateral obligations included in the calculation.

'BB-' and above (%)

For those assets with a 'BB-' rating and above, the 'BB-' rating and above percentage is a proportion of the total CLO par amount considered in this analysis.

'B-' (%)

For those assets with a 'B-' rating, the 'B-' rating percentage is a proportion of the total CLO par amount considered in this analysis.

'CCC' category

For those assets with a 'CCC+', 'CCC' and 'CCC-' rating, the 'CCC' category percentage is a proportion of the total CLO par amount considered in this analysis.

Nonperforming category (%)

For those assets with a 'CC', 'SD', and 'D' rating, the nonperforming category percentage is a proportion of the total CLO par amount considered in this analysis.

CreditWatch negative (%)

For those assets with a CreditWatch negative rating, the CreditWatch negative percentage is a proportion of the total CLO par amount considered in this analysis.

Negative outlook (%)

For those assets with a negative outlook, the outlook percentage is a proportion of the total CLO par amount considered in this analysis.

Primary Credit Analyst:Shane Ryan, London + 44 20 7176 3461;
shane.ryan@spglobal.com
Secondary Contacts:Emanuele Tamburrano, London + 44 20 7176 3825;
emanuele.tamburrano@spglobal.com
Sandeep Chana, London + 44 20 7176 3923;
sandeep.chana@spglobal.com
Abhijit A Pawar, London + 44 20 7176 3774;
abhijit.pawar@spglobal.com
Rebecca Mun, London + 44 20 7176 3613;
rebecca.mun@spglobal.com
Nefeli Economidou Foka, London + 44 (20) 71760643;
nefeli.economidoufoka@spglobal.com

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