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Weekly European CLO Update

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U.S. BSL CLO Obligors: Corporate Rating Actions Tracker 2022


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 and recovery 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 30 Days
Date Obligor Asset No. of affected CLOs Notional exposure in CLOs (€) Rating Previous rating Rating impact for CDO Evaluator*
Sep 27, 2022 Goldstory Sas EUR0 mil fltg rate nts 78 168,212,000 B/Positive B/Stable No
Sep 27, 2022 Goldstory Sas EUR0 mil 5.375% nts due 03/01/2026 38 41,561,000 B/Positive B/Stable No
Sep 26, 2022 Lorca Telecom Bidco S.A.U. EUR2.2 bil fltg rate TL B bank ln due 07/03/2027 198 719,469,383 B/Watch Pos B/Stable Yes
Sep 26, 2022 Lorca Telecom Bondco S.A.U. EUR800 mil 4.00% Term Loan B2 bank ln due 09/18/2027 104 253,834,272 B/Watch Pos B/Stable Yes
Sep 26, 2022 Lorca Telecom Bondco S.A.U. EUR1.75 bil 4.00% nts due 09/18/2027 74 170,724,000 B/Watch Pos B/Stable Yes
Sep 26, 2022 Sitel Group Sa EUR1 bil fltg rate TLB bank ln due 08/28/2028 128 311,991,128 BB/Stable BB-/Watch Pos No
Sep 23, 2022 Pharmanovia Bidco Limited EUR672 mil fltg rate term B bank ln due 08/07/2026 120 289,666,758 B/Stable B-/Stable Yes
Sep 23, 2022 Ontex Group N.V. EUR580 mil 3.50% callable nts due 07/15/2026 27 45,817,000 B/Negative B+/Negative Yes
Sep 19, 2022 Armorica Lux S.A R.L. EUR335 mil fltg rate bank ln due 07/14/2028 53 104,540,293 B-/Negative B-/Stable No
Sep 13, 2022 Getty Images Inc. EUR450 mil fltg rate euro term bank ln due 02/19/2026 75 196,352,127 B+/Positive B-/Watch Pos Yes
Sep 13, 2022 Ma Financeco. Llc EUR600 mil TL-B1 bank ln due 05/29/2025 105 230,741,459 BB-/Watch Pos BB-/Negative Yes
Sep 13, 2022 Ma Financeco. Llc EUR442 mil TL B-2 bank ln due 01/2027 99 240,669,984 BB-/Watch Pos BB-/Negative Yes
Sep 13, 2022 Titlemax Finance Corp US$450 mil 11.125% nts due 04/01/2023 2 9,828,786 B-/Negative B-/Stable No
Sep 12, 2022 Brand Industrial Services, Inc. US$2.825 bil fltg rate term loan B bank ln due 06/21/2024 3 4,307,431 CCC+/Negative B-/Negative Yes
Sep 12, 2022 U.S. Renal Care Inc. US$1.6 bil fltg rate Term B bank ln due 06/26/2026 2 2,337,273 CCC+/Stable B-/Stable Yes
Sep 12, 2022 Amphora Finance Limited GBP301 mil fltg rate Term B bank ln due 04/25/2025 4 9,116,800 CCC+/Negative B-/Stable Yes
Sep 09, 2022 Schoeller Packaging B.V. EUR250 mil 6.375% nts due 11/01/2024 6 9,500,000 B-/Negative B-/Stable No
Sep 09, 2022 Veritas Nl Intermediate Holdings B.V. EUR550 mil fltg rate term b bank ln due 09/01/2025 110 334,430,813 B-/Negative B-/Stable No
Sep 05, 2022 Tk Elevator Midco Gmbh EUR1.27 bil fltg rate TLB bank ln due 07/31/2027 174 430,820,402 B/Negative B/Stable No
Sep 05, 2022 Tk Elevator Midco Gmbh EUR1.1 bil 4.375% callable nts due 07/15/2027 13 11,742,000 B/Negative B/Stable No
Sep 05, 2022 Tk Elevator Midco Gmbh EUR500 mil fltg rate callable nts due 07/15/2027 55 81,780,000 B/Negative B/Stable No
Sep 02, 2022 Prestigebidco Gmbh EUR260 mil 6.25% nts due 12/15/2023 1 500,000 B+/Stable B/Watch Pos No
Sep 02, 2022 Prestigebidco Gmbh EUR350 mil fltg rate nts due 07/15/2027 26 40,525,000 B+/Stable B/Watch Pos No
Sep 02, 2022 Envision Healthcare Corp. US$5.45 bil fltg rate 1st lien Term bank ln due 10/10/2025 3 6,568,619 CCC/Negative SD Yes
Sep 01, 2022 Vue International Bidco Plc EUR634 mil fltg rate Term B1 bank ln due 06/21/2026 36 103,693,099 D CC/Negative Yes
Aug 30, 2022 Fender Musical Instruments Corp. US$400 mil term B bank ln due 2028 1 981,065 B/Negative B/Stable No
*See paragraph 6 of our guidance "Global Methodology And Assumptions For CLOs And Corporate CDOs," published on June 21, 2019 N/A--Not available Table will not include Rating which are withdrawn

Table 2

Recovery Actions On Global Nonfinancial Corporations Over The Past 30 Days
Date Obligor Asset No. of affected CLOs Total notional in CLOs (€) Recovery* Previous recovery
Sep 27, 2022 Em Midco 2 Ltd. US$2.225 bil TL B bank ln 71 124,398,856.67 NR 3(55%)
Sep 23, 2022 Pharmanovia Bidco Limited EUR672 mil fltg rate term B bank ln due 08/07/2026 120 289,666,758.32 3(55%) 3(50%)
Sep 23, 2022 Saphilux S.A.R.L. EUR409 mil fltg rate Term B bank ln due 07/11/2025 72 203,167,077.07 3(60%) 3(55%)
Sep 20, 2022 Lima Corporate S.P.A. EUR275 mil fltg rate nts due 08/15/2023 12 42,603,000.00 3(55%) 3(50%)
Sep 14, 2022 Mhi Holdings, Llc US$715 mil fltg rate Term bank ln due 09/20/2026 2 1,245,324.29 3(50%) 4(40%)
Sep 13, 2022 Getty Images Inc. EUR450 mil fltg rate euro term bank ln due 02/19/2026 75 196,352,127.01 2(70%) 3(60%)
Sep 13, 2022 Gamenet Group S.P.A. EUR340 mil 6.25% nts due 07/15/2025 17 12,850,000.00 3(55%) 3(60%)
Sep 13, 2022 Gamenet Group S.P.A. EUR300 mil fltg rate nts due 07/15/2025 78 129,232,000.00 3(55%) 3(60%)
Sep 13, 2022 Gamenet Group S.P.A. EUR575 mil 5.125% nts due 07/15/2025 73 87,388,000.00 3(55%) 3(60%)
Sep 13, 2022 Titlemax Finance Corp US$450 mil 11.125% nts due 04/01/2023 2 9,828,786.46 3(55%) 3(50%)
Sep 12, 2022 Paccor Packaging Gmbh EUR437 mil fltg rate Facility B bank ln due 07/27/2025 43 114,816,333.34 NR 3(50%)
Sep 12, 2022 U.S. Renal Care Inc. US$1.6 bil fltg rate Term B bank ln due 06/26/2026 2 2,337,272.69 3(50%) 3(55%)
Sep 12, 2022 Amphora Finance Limited GBP301 mil fltg rate Term B bank ln due 04/25/2025 4 9,116,800.02 3(50%) 3(55%)
Sep 09, 2022 Sisal Group S.P.A EUR400 mil 7.00% nts due 07/31/2023 11 10,822,625.01 NR 3(55%)
Sep 02, 2022 Prestigebidco Gmbh EUR260 mil 6.25% nts due 12/15/2023 1 500,000.00 NR 3(65%)
Aug 30, 2022 Fender Musical Instruments Corp. US$400 mil term B bank ln due 2028 1 981,065.21 3(55%) 3(65%)
Note: *See paragraph 14 of our guidance "Global Methodology And Assumptions For CLOs And Corporate CDOs," published on June 21, 2019. NR--Not rated.

Table 3

Interest Coverage Or Par Value Test With Less Than 100bp Difference Between The Result And Test
CLO Latest report date Test Type Test Name Result Test Difference Pass/Fail
GLG Euro CLO IV DAC Aug 03, 2022 OC Class F Par Value Test 104.35% 104.00% 0.35% Pass
Madison Park Euro Funding XVI DAC Aug 22, 2022 OC Effective Date Class F Par Value Test 108.03% 107.53% 0.50% Pass
GLG Euro CLO IV DAC Aug 03, 2022 OC Class E Par Value Test 107.50% 106.80% 0.70% Pass
Bp--basis point. IC--Interest Coverage. OC--Overcollateralization.

Chart 1

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Chart 2

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Table 4

European CLOs Snapshot As Of Sept. 28, 2022
CLO Collateral manager Latest report date SPWARF 'BB-' and above (%) 'B-' (%) 'CCC' category Non-performing category (%) CreditWatch negative (%) Negative outlook (%)
ALME Loan Funding V DAC Apollo Sep 02, 2022 2,748 12.16 18.92 1.54 0.33 0.00 8.61
Accunia European CLO II DAC Accunia Aug 31, 2022 2,885 12.85 24.79 7.48 0.00 0.00 18.12
Accunia European CLO IV DAC Accunia Aug 31, 2022 2,980 4.51 22.89 4.47 0.00 0.00 14.92
Adagio IV CLO DAC AXA Jul 05, 2022 2,954 8.81 29.34 2.59 0.53 0.00 11.15
Adagio VI CLO DAC AXA Jul 19, 2022 2,894 9.15 22.84 4.26 0.27 0.00 10.96
AlbaCore Euro CLO I DAC AlbaCore Aug 08, 2022 2,935 10.66 24.51 2.66 1.42 0.35 15.01
AlbaCore Euro CLO II DAC AlbaCore Sep 02, 2022 2,816 12.66 22.54 2.56 0.42 0.35 13.70
AlbaCore Euro CLO III DAC AlbaCore Aug 15, 2022 2,838 10.74 21.04 2.23 0.43 0.00 14.50
Albacore Euro CLO IV DAC AlbaCore Aug 15, 2022 2,845 7.88 23.07 3.18 0.00 0.00 10.25
Anchorage Capital Europe CLO 2 DAC Anchorage Sep 02, 2022 3,022 6.91 21.04 7.02 0.66 0.00 6.85
Anchorage Capital Europe CLO 2021-4 DAC Anchorage Aug 15, 2022 3,028 6.64 21.81 6.52 0.68 0.00 6.38
Anchorage Capital Europe CLO 3 DAC Anchorage Aug 10, 2022 3,027 6.39 21.30 6.94 0.65 0.00 7.04
Aqueduct European CLO 1-2017 DAC HPS Aug 31, 2022 2,795 14.95 27.05 3.76 0.00 0.25 13.45
Aqueduct European CLO 2-2017 DAC HPS Aug 31, 2022 2,796 15.59 28.80 2.71 0.00 0.26 12.02
Aqueduct European CLO 5-2020 DAC HPS Aug 10, 2022 2,849 14.66 23.60 4.66 0.48 0.24 11.41
Aqueduct European CLO 6-2021 DAC HPS Jul 05, 2022 3,028 7.48 27.07 2.60 1.26 0.23 9.29
Arbour CLO II DAC Oaktree Jul 29, 2022 2,830 12.45 22.01 5.10 0.00 0.00 11.09
Arbour CLO III DAC Oaktree Aug 31, 2022 2,828 11.28 21.08 5.14 0.00 0.00 11.16
Arbour CLO IV DAC Oaktree Aug 31, 2022 2,863 10.87 23.32 4.89 0.00 0.00 12.39
Arbour CLO IX DAC Oaktree Aug 31, 2022 2,809 11.27 21.51 2.93 0.00 0.00 11.44
Arbour CLO VII DAC Oaktree Aug 31, 2022 2,833 11.93 23.31 4.88 0.00 0.39 12.14
Ares European CLO IX DAC Ares Sep 06, 2022 2,856 9.36 24.99 1.48 0.00 0.00 13.98
Ares European CLO VI DAC Ares Aug 12, 2022 2,589 20.53 19.99 1.46 0.00 0.00 12.07
Ares European CLO VII DAC Ares Aug 12, 2022 2,723 14.09 20.76 1.82 0.00 0.00 14.30
Ares European CLO VIII DAC Ares Sep 06, 2022 2,890 6.70 25.10 1.82 0.00 0.00 12.37
Ares European CLO XIII DAC Ares Sep 06, 2022 2,954 6.06 28.30 1.87 0.00 0.00 14.13
Ares European CLO XIV DAC Ares Sep 06, 2022 2,949 4.78 28.52 0.96 0.00 0.00 12.71
Armada Euro CLO I DAC Brigade Aug 15, 2022 2,724 13.96 23.13 3.77 0.00 0.00 8.16
Armada Euro CLO IV DAC Brigade Aug 15, 2022 2,721 15.92 23.12 3.98 0.00 0.00 8.59
Armada Euro CLO V DAC Brigade Aug 15, 2022 2,706 11.37 22.27 1.42 0.00 0.00 7.04
Aurium CLO I DAC Spire Aug 31, 2022 2,720 15.94 21.08 1.93 0.50 0.00 11.39
Aurium CLO II DAC Spire Jul 29, 2022 2,802 15.20 24.08 2.83 0.69 0.00 11.41
Aurium CLO III DAC Spire Aug 31, 2022 2,583 24.00 20.87 2.31 0.76 0.72 12.61
Aurium CLO IV DAC Spire Aug 31, 2022 2,731 16.43 20.76 2.13 0.70 0.24 10.78
Aurium CLO V DAC Spire Aug 08, 2022 2,749 13.48 21.64 2.30 0.00 0.00 11.45
Aurium CLO VI DAC Spire Aug 31, 2022 2,727 14.69 21.10 1.94 0.00 0.00 12.27
Aurium CLO VII DAC Spire Aug 05, 2022 2,757 13.66 21.36 2.27 0.00 0.00 10.23
Aurium CLO VIII DAC Spire Jul 29, 2022 2,737 13.81 20.88 2.10 0.00 0.00 11.37
Avoca CLO XI DAC KKR Aug 31, 2022 2,718 16.79 23.68 2.53 0.00 0.00 12.47
Avoca CLO XIV Ltd. KKR Aug 31, 2022 2,816 12.71 25.86 2.81 0.00 0.00 11.51
Avoca CLO XVII DAC KKR Aug 31, 2022 2,863 10.33 27.91 2.65 0.00 0.00 12.03
Avoca CLO XVIII DAC KKR Aug 31, 2022 2,807 11.42 25.84 2.06 0.00 0.20 10.91
Avoca CLO XXI DAC KKR Aug 31, 2022 2,890 9.82 30.03 2.50 0.00 0.00 12.42
Avoca CLO XXII DAC KKR Jul 29, 2022 2,891 10.84 27.58 2.23 0.00 0.00 11.65
Avoca CLO XXIII DAC KKR Aug 31, 2022 2,877 10.64 25.62 2.15 0.00 0.00 10.60
Avoca CLO XXIV DAC KKR Aug 31, 2022 2,895 8.35 26.03 2.59 0.00 0.00 11.82
Avondale Park CLO DAC Blackstone Aug 18, 2022 2,829 10.83 20.23 4.11 0.46 0.09 9.50
BBAM European CLO I DAC BlueBay Aug 10, 2022 2,816 7.54 17.77 2.15 0.22 0.00 11.46
BBAM European CLO II DAC BlueBay Aug 10, 2022 2,821 6.82 18.37 1.65 0.22 0.00 10.40
Bain Capital Euro CLO 2017-1 DAC Bain Sep 06, 2022 2,834 17.76 24.33 6.91 1.08 0.00 17.09
Bain Capital Euro CLO 2019-1 DAC Bain Sep 06, 2022 2,752 14.61 20.70 3.99 0.12 0.00 11.87
Bain Capital Euro CLO 2020-1 DAC Bain Sep 06, 2022 2,798 10.14 25.93 1.75 0.00 0.00 14.11
Bain Capital Euro CLO 2021-1 DAC Bain Aug 08, 2022 2,805 11.07 21.62 2.34 0.50 0.00 11.79
Bain Capital Euro CLO 2021-2 DAC Bain Aug 08, 2022 2,788 10.68 22.46 1.68 0.00 0.00 11.59
Bain Capital Euro CLO 2022-1 DAC Bain Aug 09, 2022 2,796 10.38 23.14 1.55 0.00 0.00 10.38
Barings Euro CLO 2018-1 DAC Barings Jul 05, 2022 3,066 14.16 25.60 7.63 2.50 0.00 16.72
Barings Euro CLO 2020-1 DAC Barings Aug 10, 2022 2,790 14.37 22.58 4.06 0.23 0.00 12.64
Barings Euro CLO 2021-1 DAC Barings Aug 12, 2022 2,834 12.18 23.35 3.72 0.25 0.00 11.84
Barings Euro CLO 2021-2 DAC Barings Aug 03, 2022 2,889 9.87 23.94 3.45 0.50 0.00 12.84
Bastille Euro CLO 2020-3 DAC CBAM Sep 02, 2022 2,880 8.09 20.07 1.89 0.65 0.00 12.30
Bilbao CLO III DAC Guggenheim Aug 05, 2022 3,025 4.94 26.24 4.02 0.49 0.00 10.35
Bilbao CLO IV DAC Guggenheim Sep 06, 2022 2,914 4.80 23.63 2.37 0.00 0.00 8.11
Black Diamond CLO 2015-1 DAC Black Diamond Aug 08, 2022 3,200 14.90 29.21 17.04 0.85 0.00 21.81
Black Diamond CLO 2017-2 DAC Black Diamond Aug 12, 2022 2,989 9.53 25.05 6.59 0.39 0.00 14.36
Black Diamond CLO 2019-1 DAC Black Diamond Aug 03, 2022 3,088 4.72 23.61 8.38 0.00 0.00 13.14
BlackRock European CLO I DAC BlackRock Sep 02, 2022 2,769 14.10 23.87 4.40 0.00 0.00 14.48
BlackRock European CLO II DAC BlackRock Sep 02, 2022 2,836 12.14 25.62 4.31 0.00 0.00 15.00
BlackRock European CLO III DAC BlackRock Sep 06, 2022 2,838 12.36 25.98 4.53 0.00 0.00 14.54
BlackRock European CLO IV DAC BlackRock Aug 10, 2022 2,689 18.10 21.58 4.33 0.08 0.00 14.13
BlackRock European CLO IX DAC BlackRock Aug 10, 2022 2,859 11.51 26.51 4.53 0.00 0.00 15.19
BlackRock European CLO X DAC BlackRock Aug 22, 2022 2,881 10.16 26.59 4.43 0.00 0.00 13.64
BlackRock European CLO XI DAC BlackRock Aug 10, 2022 2,857 9.66 25.54 3.38 0.00 0.00 14.87
BlackRock European CLO XII DAC BlackRock Aug 08, 2022 2,862 10.10 25.75 3.06 0.00 0.00 12.01
BlueMountain EUR 2021-1 CLO DAC Assured Aug 08, 2022 2,817 12.39 25.26 1.69 0.00 0.00 8.98
BlueMountain EUR 2021-2 CLO DAC Assured Jul 05, 2022 2,935 10.55 27.15 1.82 0.84 0.00 14.51
BlueMountain EUR CLO 2016-1 DAC Assured Jul 29, 2022 2,854 11.24 26.89 1.44 0.36 0.00 14.49
BlueMountain Fuji EUR CLO II DAC Assured Aug 10, 2022 2,960 12.44 33.86 2.76 0.48 0.00 12.27
BlueMountain Fuji EUR CLO IV DAC Assured Aug 15, 2022 2,864 11.85 29.28 2.08 0.00 0.00 10.23
BlueMountain Fuji EUR CLO V DAC Assured Aug 10, 2022 2,875 12.10 28.23 1.87 0.28 0.00 11.64
Bosphorus CLO VI DAC Commerzbank Aug 15, 2022 2,860 10.06 17.84 3.68 0.57 0.00 13.71
Bridgepoint CLO 1 DAC Bridgepoint Sep 06, 2022 2,896 7.25 22.97 3.42 0.00 0.00 7.99
Bridgepoint CLO 2 DAC Bridgepoint Sep 06, 2022 2,858 6.84 21.49 2.94 0.00 0.00 3.34
CVC Cordatus Loan Fund IV DAC CVC Aug 10, 2022 2,949 9.78 26.32 5.98 0.00 0.00 7.79
CVC Cordatus Loan Fund IX DAC CVC Aug 10, 2022 2,955 9.00 25.53 6.24 0.00 0.00 9.82
CVC Cordatus Loan Fund V DAC CVC Jul 11, 2022 2,779 15.30 22.58 4.81 0.00 0.00 9.38
CVC Cordatus Loan Fund VIII DAC CVC Jul 05, 2022 2,861 12.45 23.48 4.81 0.00 0.19 9.09
CVC Cordatus Loan Fund X DAC CVC Jul 14, 2022 2,887 12.47 22.57 7.01 0.00 0.72 9.57
CVC Cordatus Loan Fund XIX DAC CVC Jul 29, 2022 2,958 8.17 27.81 3.40 0.00 0.00 10.42
CVC Cordatus Loan Fund XVI DAC CVC Jul 29, 2022 2,942 10.49 23.99 5.81 0.00 0.00 10.64
CVC Cordatus Loan Fund XVII DAC CVC Aug 08, 2022 2,901 7.91 24.83 2.79 0.00 0.00 9.10
CVC Cordatus Loan Fund XVIII DAC CVC Aug 17, 2022 2,933 10.91 25.64 4.65 0.00 0.00 8.19
CVC Cordatus Loan Fund XX DAC CVC Jul 29, 2022 2,990 5.24 29.09 3.44 0.00 0.00 7.89
CVC Cordatus Loan Fund XXI DAC CVC Jul 29, 2022 3,016 6.17 26.09 5.05 0.00 0.00 8.10
Cairn CLO VIII DAC Cairn Jul 19, 2022 2,989 9.67 22.59 9.94 0.00 1.00 15.85
Cairn CLO XI DAC Cairn Jul 05, 2022 2,988 9.15 25.12 6.92 0.43 0.92 14.77
Cairn CLO XIV DAC Cairn Aug 15, 2022 2,815 7.36 21.48 1.71 0.00 0.00 12.74
Capital Four CLO I DAC Capital Four Aug 31, 2022 2,960 5.38 17.14 5.16 0.76 0.00 18.61
Capital Four CLO II DAC Capital Four Aug 31, 2022 2,918 6.54 17.39 5.32 0.61 0.00 18.57
Capital Four CLO III DAC Capital Four Aug 31, 2022 2,807 8.31 13.89 2.94 0.60 0.00 18.51
Carlyle Euro CLO 2013-1 DAC CELF Aug 15, 2022 2,949 10.21 21.09 5.12 1.71 0.91 17.79
Carlyle Euro CLO 2017-1 DAC CELF Aug 15, 2022 3,003 5.74 27.09 5.12 0.50 0.19 18.04
Carlyle Euro CLO 2017-2 DAC CELF Aug 03, 2022 2,945 9.70 24.08 5.96 0.47 1.01 18.19
Carlyle Euro CLO 2017-3 DAC CELF Aug 22, 2022 3,065 6.56 26.57 4.60 1.55 0.96 14.79
Carlyle Euro CLO 2018-1 DAC CELF Aug 10, 2022 3,057 7.43 25.61 5.45 1.28 0.99 18.47
Carlyle Euro CLO 2019-2 DAC CELF Aug 03, 2022 3,086 3.73 26.49 3.99 1.43 0.94 14.43
Carlyle Euro CLO 2020-1 DAC CELF Aug 18, 2022 3,044 4.72 25.58 3.47 1.34 0.83 13.56
Carlyle Euro CLO 2020-2 DAC CELF Aug 18, 2022 2,986 4.23 28.38 3.17 0.00 1.41 11.28
Carlyle Euro CLO 2021-1 DAC CELF Aug 18, 2022 2,986 2.35 27.13 2.48 0.00 0.00 12.67
Carlyle Euro CLO 2021-3 DAC CELF Sep 12, 2022 3,013 5.11 25.46 1.27 1.32 0.00 15.16
Carlyle Global Market Strategies Euro CLO 2015-1 DAC CELF Aug 16, 2022 3,075 3.84 27.51 4.08 1.40 0.44 13.28
Carlyle Global Market Strategies Euro CLO 2015-3 DAC CELF Aug 22, 2022 2,993 7.79 28.22 4.14 0.97 1.01 18.32
Carlyle Global Market Strategies Euro CLO 2016-2 DAC CELF Aug 15, 2022 3,049 5.55 22.32 6.06 1.08 0.92 15.10
Carysfort Park CLO DAC Blackstone Aug 22, 2022 2,839 10.69 22.94 3.95 0.31 0.00 10.33
Clarinda Park CLO DAC Blackstone Aug 03, 2022 2,874 11.49 23.13 5.11 0.66 0.04 13.40
Clontarf Park CLO DAC Blackstone Aug 10, 2022 2,969 13.14 27.69 7.45 0.98 0.00 16.98
Contego CLO IV DAC Five Arrows Aug 31, 2022 3,000 6.87 29.14 1.46 1.27 0.00 10.74
Contego CLO IX DAC Five Arrows Jul 29, 2022 2,994 5.55 28.02 0.62 0.96 0.00 11.20
Contego CLO VII DAC Five Arrows Aug 31, 2022 2,925 9.79 28.09 1.68 0.89 0.00 9.46
Contego CLO VIII DAC Five Arrows Aug 15, 2022 2,957 6.89 28.16 1.24 0.72 0.00 10.99
Crosthwaite Park CLO DAC Blackstone Sep 02, 2022 2,880 9.68 21.00 5.22 0.59 0.03 13.21
Dartry Park CLO DAC Blackstone Jul 18, 2022 2,900 9.61 22.38 4.90 0.89 0.00 12.08
Deer Park CLO DAC Blackstone Aug 18, 2022 2,858 11.13 22.62 4.42 0.56 0.07 9.47
Dillons Park CLO DAC Blackstone Aug 18, 2022 2,865 10.41 19.11 3.77 0.64 0.10 13.68
Dryden 27 R Euro CLO 2017 DAC PGIM Jul 31, 2022 3,013 7.45 27.39 4.94 0.50 0.00 17.13
Dryden 29 Euro CLO 2013 DAC PGIM Aug 31, 2022 2,986 7.00 28.87 2.91 0.87 0.00 18.22
Dryden 35 Euro CLO 2014 DAC PGIM Aug 31, 2022 2,872 9.03 22.94 3.07 0.46 0.00 17.54
Dryden 39 Euro CLO 2015 DAC PGIM Jul 31, 2022 2,975 7.65 25.85 4.55 1.02 0.00 17.27
Dryden 44 Euro CLO 2015 DAC PGIM Jul 31, 2022 3,028 6.22 28.78 4.39 0.55 0.00 17.17
Dryden 46 Euro CLO 2016 DAC PGIM Jul 31, 2022 3,010 6.09 27.99 4.39 0.68 0.00 16.16
Dryden 48 Euro CLO 2016 DAC PGIM Aug 31, 2022 2,981 6.30 23.88 4.31 0.69 0.00 16.25
Dryden 51 Euro CLO 2017 DAC PGIM Aug 31, 2022 2,882 11.11 26.21 3.25 0.50 0.00 16.79
Dryden 52 Euro CLO 2017 DAC PGIM Jul 31, 2022 2,963 8.93 25.92 3.27 1.11 0.00 17.12
Dryden 56 Euro CLO 2017 DAC PGIM Aug 31, 2022 2,920 9.17 26.32 3.76 0.59 0.00 17.30
Dryden 73 Euro CLO 2018 DAC PGIM Aug 31, 2022 2,904 9.93 21.56 5.00 0.61 0.00 14.96
Dryden 74 Euro CLO 2020 DAC PGIM Aug 31, 2022 2,977 5.03 24.67 3.09 0.62 0.00 13.58
Dryden 88 Euro CLO 2020 DAC PGIM Jul 31, 2022 3,038 6.90 25.84 3.67 0.86 0.00 12.35
Dryden 89 Euro CLO 2020 DAC PGIM Aug 31, 2022 3,046 3.96 25.70 2.50 1.08 0.00 15.39
Dunedin Park CLO DAC Blackstone Aug 10, 2022 2,851 11.46 22.58 5.96 0.00 0.74 10.62
Elm Park CLO DAC Blackstone Aug 15, 2022 2,900 9.50 20.20 5.11 0.89 0.25 12.98
Euro-Galaxy III CLO DAC PineBridge Aug 05, 2022 2,881 12.03 20.10 5.14 0.86 0.00 13.01
Euro-Galaxy IV CLO DAC PineBridge Aug 15, 2022 2,946 12.43 23.26 4.86 1.48 0.00 14.88
Euro-Galaxy V CLO DAC PineBridge Sep 06, 2022 2,886 12.15 21.79 5.05 0.80 0.00 13.52
Fair Oaks Loan Funding I DAC Fair Oaks Aug 15, 2022 2,681 14.43 16.93 3.26 0.00 0.00 5.69
Fair Oaks Loan Funding II DAC Fair Oaks Aug 15, 2022 2,766 12.57 18.85 4.40 0.00 0.27 9.10
Fair Oaks Loan Funding III DAC Fair Oaks Aug 15, 2022 2,717 13.09 16.20 3.21 0.00 0.27 5.33
GLG Euro CLO IV DAC GLG Aug 03, 2022 3,058 15.20 20.11 4.78 3.98 0.00 13.68
GoldenTree Loan Management EUR CLO 3 DAC GoldenTree Aug 15, 2022 2,798 13.38 22.21 3.59 0.00 0.00 6.13
GoldenTree Loan Management EUR CLO 4 DAC GoldenTree Aug 15, 2022 2,761 14.87 22.22 2.93 0.00 0.00 6.01
GoldenTree Loan Management EUR CLO 5 DAC GoldenTree Aug 15, 2022 2,767 14.98 23.84 2.57 0.00 0.00 6.73
Harvest CLO VII DAC Investcorp Aug 31, 2022 3,031 9.33 31.26 5.96 0.98 0.00 16.47
Harvest CLO VIII DAC Investcorp Jul 29, 2022 2,951 8.67 26.66 4.02 0.50 0.00 14.89
Harvest CLO XI DAC Investcorp Jul 29, 2022 2,865 12.59 23.57 3.84 0.70 0.00 14.74
Harvest CLO XVII DAC Investcorp Aug 01, 2022 2,988 7.19 27.34 3.31 0.61 0.00 11.14
Harvest CLO XVIII DAC Investcorp Aug 31, 2022 2,941 11.11 21.55 6.47 0.62 0.00 17.39
Harvest CLO XXII DAC Investcorp Jul 29, 2022 2,941 7.58 27.01 2.59 0.00 0.00 11.32
Harvest CLO XXIII DAC Investcorp Jul 29, 2022 2,942 7.22 30.31 1.91 0.00 0.00 11.81
Harvest CLO XXV DAC Investcorp Aug 09, 2022 2,948 6.14 27.47 1.37 0.00 0.00 11.09
Harvest CLO XXVI DAC Investcorp Aug 31, 2022 2,944 6.52 26.76 1.50 0.00 0.00 12.63
Hayfin Emerald CLO IV DAC Hayfin Sep 02, 2022 2,824 11.69 24.73 3.38 0.18 0.00 14.97
Hayfin Emerald CLO IX DAC Hayfin Aug 15, 2022 2,736 10.06 20.75 0.96 0.00 0.00 13.64
Hayfin Emerald CLO V DAC Hayfin Aug 05, 2022 2,796 12.77 25.96 2.46 0.27 0.00 18.11
Hayfin Emerald CLO VI DAC Hayfin Aug 15, 2022 2,778 10.36 24.38 2.28 0.24 1.00 17.18
Hayfin Emerald CLO VII DAC Hayfin Sep 02, 2022 2,835 10.31 27.19 2.79 0.21 0.00 15.72
Hayfin Emerald CLO VIII DAC Hayfin Aug 15, 2022 2,764 11.08 22.23 0.96 0.24 0.00 15.12
Henley CLO I DAC Napier Park Aug 15, 2022 2,938 4.85 26.76 1.50 0.00 0.00 13.38
Henley CLO II DAC Napier Park Aug 15, 2022 3,018 2.51 31.58 1.50 0.00 0.00 13.92
Henley CLO III DAC Napier Park Jul 13, 2022 2,994 3.16 29.82 1.58 0.00 0.00 12.09
Henley CLO IV DAC Napier Park Aug 15, 2022 2,973 3.70 29.81 1.48 0.00 0.00 12.11
Henley CLO V DAC Napier Park Aug 15, 2022 3,010 3.84 30.63 1.66 0.00 0.00 12.30
Henley CLO VI DAC Napier Park Aug 15, 2022 3,018 3.74 29.28 1.84 0.00 0.00 11.39
Holland Park CLO DAC Blackstone Aug 03, 2022 2,882 11.03 19.69 5.32 0.72 0.05 13.11
ICG Euro CLO 2021-1 DAC Intermediate Aug 08, 2022 2,943 6.68 27.93 2.36 0.00 0.00 9.38
ICG Euro CLO 2022-1 DAC Intermediate Aug 15, 2022 2,931 7.55 28.40 1.25 0.00 0.00 10.49
Invesco Euro CLO II DAC Invesco Aug 03, 2022 2,947 11.37 28.99 5.69 0.72 0.00 15.36
Invesco Euro CLO III DAC Invesco Aug 15, 2022 2,922 12.63 30.32 4.99 0.60 0.00 13.77
Invesco Euro CLO IV DAC Invesco Aug 15, 2022 2,861 12.72 29.07 3.81 0.32 0.00 15.70
Invesco Euro CLO VI DAC Invesco Aug 15, 2022 2,825 11.87 22.04 3.00 0.97 0.00 14.14
Jubilee CLO 2013-X DAC Alcentra Sep 02, 2022 2,833 13.62 25.64 4.37 0.01 0.00 13.30
Jubilee CLO 2014-XI DAC Alcentra Sep 02, 2022 2,810 14.87 29.21 4.39 0.06 0.00 13.51
Jubilee CLO 2015-XV DAC Alcentra Aug 15, 2022 2,933 17.19 33.11 8.96 0.19 0.00 10.51
Jubilee CLO 2015-XVI DAC Alcentra Sep 02, 2022 2,912 16.16 33.35 5.62 0.06 0.00 14.39
Jubilee CLO 2017-XIX DAC Alcentra Aug 03, 2022 2,811 13.44 22.74 4.38 0.00 0.00 14.20
Jubilee CLO 2019-XXII DAC Alcentra Jul 08, 2022 2,836 13.02 25.29 3.27 0.24 0.00 13.35
Jubilee CLO 2019-XXIII DAC Alcentra Aug 10, 2022 2,824 11.59 26.94 1.88 0.00 0.00 13.90
Jubilee CLO 2020-XXIV DAC Alcentra Aug 10, 2022 2,793 12.32 27.30 0.67 0.00 0.00 11.51
MAN GLG Euro CLO VI DAC GLG Sep 08, 2022 2,786 14.52 15.97 4.53 0.50 0.00 9.44
MacKay Shields Euro CLO-1 DAC MacKay Shields Aug 15, 2022 2,689 14.42 16.22 1.82 0.42 0.00 12.78
Madison Park Euro Funding IX DAC Credit Suisse Aug 04, 2022 2,821 11.77 17.76 3.47 0.81 0.00 12.96
Madison Park Euro Funding VIII DAC Credit Suisse Aug 22, 2022 2,816 11.92 17.27 3.69 0.79 0.00 12.21
Madison Park Euro Funding X DAC Credit Suisse Jul 14, 2022 2,923 16.38 20.99 6.31 1.48 0.00 12.83
Madison Park Euro Funding XV DAC Credit Suisse Aug 22, 2022 2,875 12.76 23.53 1.79 1.27 0.00 14.18
Madison Park Euro Funding XVI DAC Credit Suisse Aug 22, 2022 2,704 10.96 18.57 0.00 0.00 0.00 10.72
Madison Park Euro Funding XVII DAC Credit Suisse Aug 22, 2022 2,814 9.56 19.26 1.52 0.00 0.00 12.39
Man GLG Euro CLO III DAC GLG Aug 08, 2022 3,089 13.94 21.09 6.97 3.16 0.90 15.30
Marino Park CLO DAC Blackstone Jul 06, 2022 2,876 9.85 24.17 3.74 0.60 0.00 11.97
Montmartre Euro CLO 2020-2 DAC CBAM Sep 02, 2022 2,941 6.73 21.04 2.08 1.02 0.22 12.55
Neuberger Berman Loan Advisers Euro CLO 1 DAC Neuberger Berman Aug 15, 2022 2,759 8.68 15.21 1.56 0.00 0.00 9.09
Neuberger Berman Loan Advisers Euro CLO 2 DAC Neuberger Berman Aug 17, 2022 2,745 8.63 14.48 1.23 0.00 0.00 10.53
Newhaven CLO DAC Bain Aug 02, 2022 2,805 15.17 19.41 5.05 1.15 0.00 15.32
North Westerly VI ESG CLO DAC NIBC Aug 10, 2022 2,760 13.63 25.55 1.70 0.00 0.00 8.65
North Westerly VII ESG CLO DAC NIBC Aug 31, 2022 2,765 10.62 21.93 0.49 0.00 0.00 10.56
Northwoods Capital 19 Euro DAC Northwoods Aug 15, 2022 2,896 10.96 17.73 4.15 1.24 0.00 6.91
Northwoods Capital 21 Euro DAC Northwoods Aug 10, 2022 2,912 10.09 16.87 3.50 1.13 0.00 7.24
Northwoods Capital 23 Euro DAC Northwoods Sep 05, 2022 2,833 11.65 17.10 2.92 0.98 0.00 6.62
Northwoods Capital 24 Euro DAC Northwoods Sep 05, 2022 2,869 9.06 13.09 2.96 1.24 0.00 7.47
Northwoods Capital 26 Euro DAC Northwoods Sep 05, 2022 2,800 8.16 15.34 2.88 0.00 0.00 7.03
OCP EURO CLO 2022-5 DAC Onex Aug 08, 2022 2,832 8.55 25.00 0.49 0.00 0.00 15.28
OCP Euro CLO 2017-1 DAC Onex Aug 08, 2022 2,683 14.13 15.31 1.65 0.00 0.00 15.25
OCP Euro CLO 2017-2 DAC Onex Sep 06, 2022 2,662 16.10 19.15 1.12 0.00 0.00 12.46
OCP Euro CLO 2019-3 DAC Onex Aug 08, 2022 2,750 10.46 19.19 1.06 0.00 0.00 13.75
OCP Euro CLO 2020-4 DAC Onex Aug 08, 2022 2,804 9.10 23.68 0.37 0.00 0.00 14.93
OZLME III DAC Sculptor Aug 12, 2022 2,817 15.49 20.31 4.94 1.04 0.00 13.14
Oak Hill European Credit Partners VIII DAC Oak Hill Aug 06, 2022 2,715 12.78 14.97 2.57 0.00 0.00 10.08
Palmer Square European CLO 2021-1 DAC Palmer Square Aug 31, 2022 2,633 16.39 15.14 0.57 0.77 0.00 9.13
Palmer Square European CLO 2021-2 DAC Palmer Square Aug 04, 2022 2,647 16.93 15.55 1.05 0.76 0.00 9.87
Palmer Square European CLO 2022-1 DAC Palmer Square Aug 31, 2022 2,593 16.34 14.97 0.50 0.00 0.41 7.73
Penta CLO 5 DAC Partners Aug 31, 2022 2,941 11.30 24.87 4.28 0.85 0.00 11.59
Penta CLO 7 DAC Partners Aug 31, 2022 2,921 9.86 26.81 3.85 0.50 0.00 11.61
Penta CLO 8 DAC Partners Aug 31, 2022 2,960 12.48 28.04 4.52 1.03 0.00 13.46
Penta CLO 9 DAC Partners Jul 29, 2022 2,912 9.54 21.89 4.42 0.91 0.00 12.74
Providus CLO I DAC Permira Aug 03, 2022 2,771 13.90 29.19 1.29 0.00 0.26 11.28
Providus CLO III DAC Permira Jul 29, 2022 2,805 12.36 31.11 0.69 0.00 0.44 10.07
Providus CLO IV DAC Permira Jul 29, 2022 2,836 9.66 29.79 0.57 0.00 0.29 11.07
Providus CLO V DAC Permira Jul 29, 2022 2,848 10.49 31.78 0.57 0.00 0.47 10.65
Providus CLO VI DAC Permira Aug 08, 2022 2,831 10.34 30.40 0.81 0.00 0.18 10.63
Purple Finance CLO 1 DAC Ostrum Aug 15, 2022 2,874 13.30 16.93 6.40 1.27 0.00 14.74
Purple Finance CLO 2 DAC Ostrum Aug 15, 2022 2,893 9.52 16.27 3.86 2.03 0.00 14.67
RRE 1 Loan Management DAC Redding Ridge Aug 31, 2022 2,855 11.66 21.10 1.93 1.08 0.00 10.82
RRE 10 Loan Management DAC Redding Ridge Aug 31, 2022 2,896 9.62 20.51 1.78 1.55 0.00 9.64
RRE 11 Loan Management DAC Redding Ridge Aug 31, 2022 2,887 7.72 22.13 3.49 0.00 0.00 8.23
RRE 12 Loan Management DAC Redding Ridge Aug 31, 2022 2,969 6.19 24.03 4.80 0.00 0.00 7.08
RRE 2 Loan Management DAC Redding Ridge Aug 31, 2022 2,841 10.49 19.72 2.77 0.77 0.00 9.56
RRE 3 Loan Management DAC Redding Ridge Aug 31, 2022 2,822 10.78 19.67 2.53 0.65 0.00 10.51
RRE 5 Loan Management DAC Redding Ridge Aug 31, 2022 2,922 9.91 23.36 2.54 1.42 0.00 10.70
RRE 6 Loan Management DAC Redding Ridge Aug 31, 2022 2,854 11.69 22.73 2.68 0.64 0.00 10.27
RRE 7 Loan Management DAC Redding Ridge Aug 31, 2022 2,884 10.27 20.92 3.07 1.03 0.00 10.15
RRE 8 Loan Management DAC Redding Ridge Aug 31, 2022 2,982 6.56 21.09 3.20 1.55 0.00 10.70
RRE 9 Loan Management DAC Redding Ridge Aug 31, 2022 2,977 7.67 22.22 2.12 1.93 0.00 10.38
Rockfield Park CLO DAC Blackstone Aug 12, 2022 2,850 10.17 20.43 3.08 0.67 0.00 8.23
Rockford Tower Europe CLO 2021-1 DAC Rockford Tower Aug 15, 2022 2,772 18.18 19.46 6.57 0.00 0.57 12.99
Rockford Tower Europe CLO 2021-2 DAC Rockford Tower Aug 15, 2022 2,759 16.65 14.50 6.24 0.00 0.00 11.21
Sculptor European CLO I DAC Sculptor Aug 10, 2022 2,820 14.51 23.01 3.81 0.70 0.00 11.17
Sculptor European CLO II DAC Sculptor Sep 12, 2022 2,818 14.10 22.00 3.71 0.70 0.23 11.88
Sculptor European CLO VI DAC Sculptor Aug 05, 2022 2,777 14.37 21.89 4.65 0.00 0.35 11.32
Sculptor European CLO VII DAC Sculptor Aug 15, 2022 2,781 16.38 23.53 5.15 0.00 0.31 9.37
Sculptor European CLO VIII DAC Sculptor Sep 06, 2022 2,743 14.00 22.48 1.08 0.00 0.62 10.38
Seapoint Park CLO DAC Blackstone Aug 10, 2022 2,801 11.48 20.10 4.54 0.00 0.74 11.18
Segovia European CLO 1-2014 DAC Segovia Aug 03, 2022 3,081 13.20 22.63 5.34 3.48 0.50 16.01
Segovia European CLO 3-2017 DAC HPS Aug 15, 2022 3,014 11.33 22.53 4.81 2.13 0.98 12.16
Segovia European CLO 4-2017 DAC Segovia Aug 08, 2022 2,999 15.45 20.70 5.47 2.60 0.33 15.18
Sound Point Euro CLO III Funding DAC Sound Point Aug 10, 2022 2,709 14.14 19.73 1.25 0.00 0.00 7.53
Sound Point Euro CLO IV Funding DAC Sound Point Sep 01, 2022 2,710 13.22 20.48 0.00 0.00 0.00 5.38
St. Paul's CLO II DAC Intermediate Aug 10, 2022 2,881 12.82 26.18 5.11 0.14 0.00 13.71
St. Paul's CLO VI DAC Intermediate Aug 10, 2022 2,906 13.80 27.31 6.07 0.00 0.00 14.32
St. Paul's CLO VII DAC Intermediate Aug 08, 2022 2,899 13.56 24.35 5.25 0.38 0.00 16.97
St. Paul's CLO X DAC Intermediate Aug 05, 2022 2,939 9.59 30.58 3.27 0.00 0.00 10.16
St. Paul's CLO XII DAC Intermediate Aug 08, 2022 2,869 11.34 28.53 3.13 0.00 0.00 7.65
St. Paul's CLO IX DAC Intermediate Aug 08, 2022 2,865 13.99 26.13 5.25 0.00 0.00 9.52
Tikehau CLO III DAC Tikehau Jul 29, 2022 2,831 13.24 29.14 3.67 0.00 0.00 10.04
Tikehau CLO V DAC Tikehau Aug 31, 2022 2,782 12.15 26.01 2.35 0.00 0.00 9.97
Toro European CLO 2 DAC Chenavari Aug 15, 2022 2,817 11.41 19.22 4.63 0.00 0.00 13.39
Toro European CLO 3 DAC Chenavari Aug 15, 2022 2,743 13.49 17.72 4.30 0.00 0.00 12.64
Toro European CLO 5 DAC Chenavari Aug 15, 2022 2,779 11.90 21.17 1.80 0.00 0.00 14.56
Toro European CLO 6 DAC Chenavari Aug 15, 2022 2,856 9.56 24.30 2.22 0.00 0.00 15.11
Toro European CLO 7 DAC Chenavari Aug 03, 2022 2,745 9.57 22.06 0.00 0.00 0.00 17.71
Toro European CLO 8 DAC Chenavari Aug 15, 2022 2,755 10.80 19.51 1.63 0.00 0.00 8.11
Trinitas EURO CLO II DAC WhiteStar Aug 15, 2022 2,630 14.09 15.43 0.38 0.13 0.00 11.52
Tymon Park CLO DAC Blackstone Aug 15, 2022 2,918 10.65 22.58 5.30 0.87 0.06 10.26
Vendome Funding CLO 2020-1 DAC CBAM Aug 10, 2022 2,913 7.41 22.42 1.91 0.85 0.16 10.50
Vesey Park CLO DAC Blackstone Aug 04, 2022 2,854 9.38 20.94 5.08 0.36 0.27 10.57
Voya Euro CLO I DAC Voya Aug 10, 2022 2,937 12.89 24.55 2.11 2.04 0.20 15.86
Voya Euro CLO III DAC Voya Aug 10, 2022 2,814 12.16 22.50 2.32 0.28 0.20 14.71
Voya Euro CLO IV DAC Voya Sep 06, 2022 2,765 11.04 19.17 0.54 0.00 0.12 12.99
Voya Euro CLO V DAC Voya Sep 02, 2022 2,758 10.15 16.26 0.00 0.00 0.20 10.83
Note: All data is as of the date of the table.

To compare European CLO data each week, S&P Global Ratings provides you with an EMEA CLO Collateral Managers Dashboard. This dashboard is a single snapshot view of CLO-critical credit risk factors where you can examine, compare, and benchmark individual S&P Global Ratings' rated European CLOs.

https://www.spglobal.com/ratings/en/research-insights/topics/powerbinew

To compare how obligors' ESG credit indicators may influence the credit quality in European CLOs portfolios, S&P Global Ratings provides you with a global CLO ESG credit indicator report card.

Appendix

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

Rating and recovery actions listed for nonfinancial corporations only include those that were present in the rated S&P European CLOs on the date of the rating or recovery 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
John Finn, Paris;
john.finn@spglobal.com
David Maman, Paris +33 1 4075 2518;
david.maman@spglobal.com

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