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 affected 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 14, 2023 | Lucky Bucks, Llc | US$555 mil fltg rate 1st lien term loan bank ln due 07/30/2027 | 8 | 13,937,161 | D | CCC- | Yes | |||||||||
| Sep 14, 2023 | Qualtek Llc | US$380 mil fltg rate first lien term B bank ln due 07/18/2025 | 8 | 3,410,781 | CCC+/Stable | CCC- | Yes | |||||||||
| Sep 14, 2023 | Aretec Group, Inc. | US$750 mil 1st Lien term loan bank ln due 12/31/2028 | 1 | 913,409 | B/Watch Neg | B/Stable | Yes | |||||||||
| Sep 13, 2023 | Armorica Lux S.A R.L. | EUR335 mil fltg rate bank ln due 07/14/2028 | 58 | 119,497,293 | B-/Stable | B-/Negative | No | |||||||||
| Sep 12, 2023 | Mcgraw-Hill Education, Inc. | US$2.125 bil fltg rate term B bank ln due 07/28/2028 | 2 | 5,395,161 | B-/Positive | B-/Stable | No | |||||||||
| Sep 11, 2023 | Haya Holdco 2 Plc | EUR368.4 mil fltg rate nts due 11/30/2025 | 15 | 36,730,017 | D | CC/Negative | Yes | |||||||||
| Sep 08, 2023 | Oriflame Investment Holding Plc | EUR250 mil fltg rate nts due 05/04/2026 | 4 | 5,500,000 | CCC+/Negative | B-/Stable | Yes | |||||||||
| Sep 07, 2023 | Keter Group B.V. | EUR885 mil fltg rate Facility B1 bank ln due 10/31/2023 | 71 | 209,811,844 | CCC+/Developing | CCC/Watch Dev | Yes | |||||||||
| Sep 07, 2023 | Keter Group B.V. | EUR230.864 mil Facility B3 A bank ln due 10/2023 | 38 | 80,939,264 | CCC+/Developing | CCC/Watch Dev | Yes | |||||||||
| Sep 07, 2023 | Aruba Investments Holdings, Llc | EUR350 mil fltg rate term B bank ln due 11/24/2027 | 68 | 150,094,072 | B-/Negative | B-/Stable | No | |||||||||
| Sep 05, 2023 | Cullinan Holdco Scsp | EUR250 mil fltg rate callable bnds due 10/15/2026 | 66 | 92,185,000 | B+/Watch Neg | B+/Stable | Yes | |||||||||
| Sep 05, 2023 | Cullinan Holdco Scsp | EUR380 mil 4.625% callable bnds due 10/15/2026 | 36 | 33,629,000 | B+/Watch Neg | B+/Stable | Yes | |||||||||
| Sep 01, 2023 | Compact Bidco B.V. | EUR300 mil 5.75% callable nts due 05/01/2026 | 15 | 22,706,000 | CCC+/Negative | B-/Negative | Yes | |||||||||
| Aug 31, 2023 | Quimper Ab | EUR1.8 bil fltg rate Term B bank ln due 02/15/2026 | 244 | 793,384,424 | B+/Stable | B/Stable | Yes | |||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR525 mil 5.25% callable nts due 04/15/2027 | 1 | 1,000,000 | D | CC/Negative | Yes | |||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR800 mil Term B bank ln due 08/31/2025 | 80 | 220,071,000 | D | CC/Negative | Yes | |||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR900 mil 2.798% callable med-term nts ser 32 due 08/05/2026 | 4 | 5,600,000 | D | CC/Negative | Yes | |||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR900 mil 3.248% callable med-term nts due 03/07/2024 | 1 | 2,000,000 | D | CC/Negative | Yes | |||||||||
| Aug 31, 2023 | Simmons Foods, Inc. | US$850 mil 4.625% 2nd lien nts due 03/01/2029 | 1 | 1,826,818 | 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 does not include withdrawn ratings. | ||||||||||||||||
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 13, 2023 | Dometic Group Ab | EUR300 mil 3.00% med-term nts due 09/13/2023 | 2 | 4,000,000.00 | NR | 3(60%) | ||||||||
| Sep 12, 2023 | Mcgraw-Hill Education, Inc. | US$2.125 bil fltg rate term B bank ln due 07/28/2028 | 2 | 5,395,161.14 | 3(65%) | 3(60%) | ||||||||
| Sep 11, 2023 | Coty Inc. | EUR850 mil fltg rate term B bank ln due 04/05/2025 | 32 | 68,819,590.52 | NR | 2(80%) | ||||||||
| Sep 11, 2023 | Coty Inc. | EUR250 mil 4.75% sr nts due 04/15/2026 | 2 | 2,000,000.00 | 3(50%) | 3(55%) | ||||||||
| Sep 11, 2023 | Trinseo Materials Operating S.C.A. | US$750 mil fltg rate incremental term bank ln due 05/03/2028 | 1 | 1,133,089.46 | 2(75%) | 1(95%) | ||||||||
| Sep 08, 2023 | Haya Holdco 2 Plc | EUR368.4 mil fltg rate nts due 11/30/2025 | 15 | 36,730,017.35 | NR | 4(40%) | ||||||||
| Sep 07, 2023 | Banijay Entertainment Sas | EUR555 mil fltg rate TL B1 bank ln due 03/01/2028 | 128 | 267,728,295.38 | 3(60%) | 3(55%) | ||||||||
| Sep 07, 2023 | Keter Group B.V. | EUR885 mil fltg rate Facility B1 bank ln due 10/31/2023 | 71 | 209,811,843.78 | 3(55%) | 3(50%) | ||||||||
| Sep 07, 2023 | Keter Group B.V. | EUR230.864 mil Facility B3 A bank ln due 10/2023 | 38 | 80,939,263.69 | 3(55%) | 3(50%) | ||||||||
| Sep 07, 2023 | Banijay Entertainment Sas | EUR575 mil 3.50% callable nts due 03/01/2025 | 11 | 18,174,000.00 | 3(60%) | 3(55%) | ||||||||
| Sep 07, 2023 | Vivion Investments S.A.R.L. | EUR700 mil 3.00% nts due 08/08/2024 | 1 | 1,500,000.00 | 5(15%) | 2(85%) | ||||||||
| Sep 04, 2023 | Boels Topholding B.V. | EUR1.45 bil fltg rate Term Loan B bank ln due 06/29/2027 | 177 | 502,652,236.51 | 3(50%) | 3(55%) | ||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR800 mil Term B bank ln due 08/31/2025 | 80 | 220,071,000.00 | NR | 2(85%) | ||||||||
| Aug 31, 2023 | Quatrim S.A.S. | EUR800 mil 5.875% nts due 01/15/2024 | 4 | 4,900,000.00 | NR | 2(85%) | ||||||||
| Aug 31, 2023 | Simmons Foods, Inc. | US$850 mil 4.625% 2nd lien nts due 03/01/2029 | 1 | 1,826,817.68 | 4(40%) | 4(45%) | ||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR900 mil 3.248% callable med-term nts due 03/07/2024 | 1 | 2,000,000.00 | NR | 6(0%) | ||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR900 mil 2.798% callable med-term nts ser 32 due 08/05/2026 | 4 | 5,600,000.00 | NR | 6(0%) | ||||||||
| Aug 31, 2023 | Casino Guichard - Perrachon S.A. | EUR525 mil 5.25% callable nts due 04/15/2027 | 1 | 1,000,000.00 | NR | 6(0%) | ||||||||
| Aug 29, 2023 | Rain Carbon Gmbh | EUR390 mil fltg rate Term Loan bank ln due 01/16/2025 | 58 | 174,206,315.00 | NR | 1(95%) | ||||||||
| Aug 28, 2023 | Kereis Sas | EUR805 mil fltg rate Term B bank ln due 06/18/2027 | 151 | 367,758,336.81 | 3(55%) | 3(60%) | ||||||||
| Aug 28, 2023 | Primo Water Holdings Inc. | EUR450 mil 3.875% nts due 10/31/2028 | 4 | 2,625,000.00 | 4(45%) | 4(40%) | ||||||||
| Aug 23, 2023 | Sprint Bidco B.V. | EUR705 mil fltg rate TL B bank ln due 09/16/2029 | 56 | 139,974,761.92 | 3(55%) | 3(60%) | ||||||||
| Aug 17, 2023 | Playtech Plc | EUR530 mil 3.75% nts due 10/12/2023 | 2 | 2,471,698.11 | NR | 3(65%) | ||||||||
| *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 100 basis points difference between the result and test | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CLO | Latest report date | Test type | Test name | Result | Test | Difference | Pass/fail | |||||||||
| Man GLG Euro CLO III DAC | Aug 08, 2023 | OC | Class F Par Value Test | 103.00% | 103.50% | -0.50% | Fail | |||||||||
| GLG Euro CLO IV DAC | Aug 02, 2023 | OC | Class F Par Value Test | 103.58% | 104.00% | -0.42% | Fail | |||||||||
| GLG Euro CLO IV DAC | Aug 02, 2023 | OC | Class E Par Value Test | 106.71% | 106.80% | -0.09% | Fail | |||||||||
| Accunia European CLO II DAC | Jul 31, 2023 | OC | Class F Par Value Test | 104.75% | 104.63% | 0.12% | Pass | |||||||||
| Barings Euro CLO 2018-1 DAC | Jul 05, 2023 | OC | Class F Par Value Test | 104.52% | 104.11% | 0.41% | Pass | |||||||||
| Bain Capital Euro CLO 2017-1 DAC | Aug 07, 2023 | OC | Class F Par Value Test | 104.08% | 103.53% | 0.55% | Pass | |||||||||
| GLG Euro CLO IV DAC | Aug 02, 2023 | OC | Class D Par Value Test | 113.58% | 112.90% | 0.68% | Pass | |||||||||
| Man GLG Euro CLO III DAC | Aug 08, 2023 | OC | Class E Par Value Test | 107.36% | 106.60% | 0.76% | Pass | |||||||||
| Carlyle Euro CLO 2018-1 DAC | Aug 10, 2023 | OC | Class E Par Value Test | 104.88% | 104.00% | 0.88% | Pass | |||||||||
| Harvest CLO XI DAC | Jul 31, 2023 | OC | Class F-R Par Value Test | 104.86% | 103.93% | 0.93% | Pass | |||||||||
| Bp--Basis point. IC--Interest coverage. OC--Overcollateralization. | ||||||||||||||||
Chart 1
Chart 2
Table 4
| European CLOs snapshot as of Sept. 15, 2023 | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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 | Aug 02, 2023 | 2,739 | 13.09 | 24.14 | 3.16 | 0.00 | 0.00 | 9.18 | |||||||||||
| Accunia European CLO II DAC | Accunia | Jul 31, 2023 | 3,187 | 10.45 | 25.95 | 12.19 | 1.27 | 0.00 | 10.95 | |||||||||||
| Accunia European CLO IV DAC | Accunia | Jul 31, 2023 | 3,063 | 5.64 | 23.52 | 8.32 | 0.00 | 0.00 | 14.51 | |||||||||||
| Adagio IV CLO DAC | AXA | Jul 05, 2023 | 2,914 | 10.82 | 26.01 | 5.76 | 0.00 | 0.00 | 12.50 | |||||||||||
| Adagio VI CLO DAC | AXA | Jul 19, 2023 | 2,922 | 12.79 | 26.97 | 6.66 | 0.00 | 0.00 | 14.23 | |||||||||||
| AlbaCore Euro CLO I DAC | AlbaCore | Aug 08, 2023 | 2,839 | 13.98 | 26.08 | 2.90 | 0.74 | 0.21 | 12.58 | |||||||||||
| AlbaCore Euro CLO II DAC | AlbaCore | Aug 15, 2023 | 2,812 | 14.93 | 24.90 | 2.62 | 0.86 | 0.05 | 12.54 | |||||||||||
| AlbaCore Euro CLO III DAC | AlbaCore | Aug 15, 2023 | 2,830 | 13.68 | 24.29 | 2.17 | 0.93 | 0.10 | 12.78 | |||||||||||
| Albacore Euro CLO IV DAC | AlbaCore | Aug 15, 2023 | 2,828 | 12.46 | 24.62 | 2.57 | 0.66 | 0.09 | 13.56 | |||||||||||
| Albacore Euro CLO V DAC | AlbaCore | Jul 17, 2023 | 2,739 | 11.26 | 23.08 | 0.58 | 0.00 | 0.00 | 10.37 | |||||||||||
| Anchorage Capital Europe CLO 2 DAC | Anchorage | Aug 02, 2023 | 2,933 | 8.68 | 25.62 | 5.33 | 0.00 | 0.34 | 5.77 | |||||||||||
| Anchorage Capital Europe CLO 2021-4 DAC | Anchorage | Aug 15, 2023 | 2,919 | 8.87 | 25.71 | 5.10 | 0.00 | 0.34 | 5.28 | |||||||||||
| Anchorage Capital Europe CLO 3 DAC | Anchorage | Aug 10, 2023 | 2,937 | 8.65 | 26.13 | 5.28 | 0.00 | 0.34 | 5.76 | |||||||||||
| Anchorage Capital Europe CLO 6 DAC | Anchorage | Aug 10, 2023 | 2,958 | 8.36 | 27.38 | 4.95 | 0.00 | 0.35 | 5.56 | |||||||||||
| Anchorage Capital Europe CLO 8 DAC | Anchorage | Jul 18, 2023 | 2,899 | 10.26 | 23.85 | 5.02 | 0.00 | 0.49 | 5.44 | |||||||||||
| Aqueduct European CLO 1-2017 DAC | HPS | Jul 10, 2023 | 2,849 | 15.50 | 34.11 | 4.55 | 0.00 | 0.68 | 13.31 | |||||||||||
| Aqueduct European CLO 2-2017 DAC | HPS | Jul 05, 2023 | 2,877 | 15.84 | 33.60 | 7.55 | 0.00 | 0.73 | 16.51 | |||||||||||
| Aqueduct European CLO 5-2020 DAC | HPS | Aug 09, 2023 | 2,849 | 12.62 | 28.54 | 4.50 | 0.00 | 0.99 | 11.22 | |||||||||||
| Aqueduct European CLO 6-2021 DAC | HPS | Jul 05, 2023 | 2,981 | 7.22 | 33.01 | 4.25 | 0.00 | 0.25 | 12.09 | |||||||||||
| Aqueduct European CLO 7-2022 DAC | HPS | Jul 31, 2023 | 2,874 | 8.30 | 32.31 | 1.00 | 0.00 | 0.00 | 11.50 | |||||||||||
| Arbour CLO II DAC | Oaktree | Jul 31, 2023 | 2,858 | 14.58 | 23.50 | 7.18 | 0.44 | 0.00 | 13.02 | |||||||||||
| Arbour CLO III DAC | Oaktree | Jul 31, 2023 | 2,852 | 13.65 | 22.37 | 7.41 | 0.47 | 0.00 | 12.76 | |||||||||||
| Arbour CLO IV DAC | Oaktree | Jul 31, 2023 | 2,895 | 13.38 | 25.23 | 6.86 | 0.44 | 0.00 | 12.95 | |||||||||||
| Arbour CLO IX DAC | Oaktree | Jul 31, 2023 | 2,822 | 12.72 | 24.86 | 5.59 | 0.00 | 0.00 | 11.64 | |||||||||||
| Arbour CLO VII DAC | Oaktree | Jul 31, 2023 | 2,890 | 12.73 | 25.76 | 6.56 | 0.44 | 0.30 | 13.58 | |||||||||||
| Arbour CLO XI DAC | Oaktree | Jul 31, 2023 | 2,973 | 5.31 | 32.91 | 2.73 | 0.00 | 0.75 | 9.67 | |||||||||||
| Ares European CLO IX DAC | Ares | Aug 07, 2023 | 2,951 | 11.60 | 24.90 | 7.13 | 1.10 | 1.40 | 14.07 | |||||||||||
| Ares European CLO VI DAC | Ares | Aug 14, 2023 | 2,476 | 28.31 | 17.25 | 4.28 | 0.00 | 1.80 | 10.15 | |||||||||||
| Ares European CLO VII DAC | Ares | Aug 14, 2023 | 2,777 | 16.11 | 22.69 | 6.85 | 0.47 | 1.18 | 12.79 | |||||||||||
| Ares European CLO VIII DAC | Ares | Aug 07, 2023 | 3,024 | 4.90 | 26.31 | 5.94 | 0.54 | 0.40 | 12.84 | |||||||||||
| Ares European CLO XIII DAC | Ares | Aug 08, 2023 | 3,070 | 4.80 | 29.16 | 6.79 | 0.50 | 1.55 | 13.79 | |||||||||||
| Ares European CLO XIV DAC | Ares | Aug 08, 2023 | 3,087 | 3.57 | 29.60 | 5.80 | 0.80 | 0.59 | 13.81 | |||||||||||
| Ares European CLO XVI DAC | Ares | Aug 08, 2023 | 3,120 | 3.75 | 33.88 | 4.95 | 0.74 | 0.61 | 11.53 | |||||||||||
| Armada Euro CLO I DAC | Brigade | Aug 15, 2023 | 2,761 | 12.39 | 25.19 | 3.39 | 0.00 | 0.00 | 14.33 | |||||||||||
| Armada Euro CLO IV DAC | Brigade | Aug 15, 2023 | 2,764 | 14.96 | 25.06 | 3.63 | 0.00 | 0.00 | 15.11 | |||||||||||
| Armada Euro CLO V DAC | Brigade | Aug 15, 2023 | 2,816 | 8.31 | 27.47 | 3.37 | 0.00 | 0.00 | 16.84 | |||||||||||
| Aurium CLO I DAC | Spire | Jul 31, 2023 | 2,757 | 17.11 | 21.99 | 3.45 | 0.75 | 0.94 | 9.39 | |||||||||||
| Aurium CLO II DAC | Spire | Jul 31, 2023 | 2,816 | 15.43 | 24.96 | 3.01 | 1.00 | 0.84 | 9.45 | |||||||||||
| Aurium CLO III DAC | Spire | Jul 31, 2023 | 2,555 | 27.32 | 20.58 | 2.91 | 0.81 | 0.51 | 10.94 | |||||||||||
| Aurium CLO IV DAC | Spire | Jul 31, 2023 | 2,728 | 18.16 | 19.92 | 3.48 | 0.76 | 0.73 | 10.11 | |||||||||||
| Aurium CLO IX DAC | Spire | Jun 30, 2023 | 2,863 | 10.33 | 25.05 | 1.40 | 0.52 | 0.77 | 11.64 | |||||||||||
| Aurium CLO V DAC | Spire | Aug 07, 2023 | 2,819 | 15.26 | 23.08 | 3.16 | 0.91 | 0.88 | 9.23 | |||||||||||
| Aurium CLO VI DAC | Spire | Aug 14, 2023 | 2,824 | 15.75 | 23.50 | 3.33 | 0.89 | 0.89 | 9.76 | |||||||||||
| Aurium CLO VII DAC | Spire | Aug 04, 2023 | 2,828 | 15.19 | 22.98 | 2.97 | 1.01 | 0.94 | 9.45 | |||||||||||
| Aurium CLO VIII DAC | Spire | Jul 31, 2023 | 2,807 | 15.08 | 23.23 | 2.75 | 0.92 | 0.92 | 10.64 | |||||||||||
| Aurium CLO X DAC | Spire | Jul 31, 2023 | 2,784 | 12.75 | 24.33 | 1.84 | 0.00 | 0.97 | 9.93 | |||||||||||
| Avoca CLO XI DAC | KKR | Jul 31, 2023 | 2,700 | 19.16 | 21.82 | 3.82 | 1.04 | 0.00 | 12.03 | |||||||||||
| Avoca CLO XIV Ltd. | KKR | Jul 31, 2023 | 2,765 | 15.66 | 25.11 | 3.23 | 0.52 | 0.13 | 10.47 | |||||||||||
| Avoca CLO XVII DAC | KKR | Jul 31, 2023 | 2,862 | 12.04 | 26.60 | 2.84 | 0.65 | 0.23 | 9.79 | |||||||||||
| Avoca CLO XVIII DAC | KKR | Jul 31, 2023 | 2,740 | 15.57 | 24.56 | 3.23 | 0.73 | 0.00 | 9.96 | |||||||||||
| Avoca CLO XXI DAC | KKR | Jul 31, 2023 | 2,863 | 11.28 | 26.99 | 4.53 | 0.00 | 0.35 | 10.65 | |||||||||||
| Avoca CLO XXII DAC | KKR | Jul 31, 2023 | 2,856 | 12.81 | 27.85 | 3.34 | 0.00 | 0.00 | 11.10 | |||||||||||
| Avoca CLO XXIII DAC | KKR | Jul 31, 2023 | 2,875 | 11.14 | 26.46 | 3.41 | 0.00 | 0.00 | 11.02 | |||||||||||
| Avoca CLO XXIV DAC | KKR | Jul 31, 2023 | 2,883 | 10.30 | 27.35 | 3.73 | 0.00 | 0.00 | 11.73 | |||||||||||
| Avoca CLO XXVIII DAC | KKR | Jun 30, 2023 | 2,902 | 7.12 | 26.57 | 2.11 | 0.00 | 0.00 | 9.79 | |||||||||||
| Avondale Park CLO DAC | Blackstone | Aug 18, 2023 | 2,780 | 13.23 | 22.84 | 2.70 | 0.25 | 0.44 | 13.17 | |||||||||||
| BBAM European CLO I DAC | BlueBay | Aug 10, 2023 | 2,930 | 5.91 | 16.02 | 3.87 | 1.24 | 0.76 | 13.36 | |||||||||||
| BBAM European CLO II DAC | BlueBay | Aug 10, 2023 | 2,903 | 6.44 | 15.83 | 4.17 | 0.80 | 0.76 | 13.21 | |||||||||||
| Bain Capital Euro CLO 2017-1 DAC | Bain | Aug 07, 2023 | 3,027 | 19.11 | 24.65 | 10.31 | 2.57 | 0.85 | 18.77 | |||||||||||
| Bain Capital Euro CLO 2019-1 DAC | Bain | Aug 08, 2023 | 2,854 | 14.58 | 21.25 | 4.10 | 1.56 | 0.50 | 14.49 | |||||||||||
| Bain Capital Euro CLO 2020-1 DAC | Bain | Aug 08, 2023 | 2,905 | 11.69 | 23.58 | 3.79 | 1.46 | 0.00 | 15.42 | |||||||||||
| Bain Capital Euro CLO 2021-1 DAC | Bain | Aug 08, 2023 | 2,918 | 11.81 | 23.51 | 4.38 | 1.49 | 0.38 | 15.48 | |||||||||||
| Bain Capital Euro CLO 2021-2 DAC | Bain | Aug 08, 2023 | 2,906 | 10.56 | 25.00 | 3.96 | 0.92 | 0.03 | 15.49 | |||||||||||
| Bain Capital Euro CLO 2022-1 DAC | Bain | Aug 09, 2023 | 2,821 | 11.49 | 24.06 | 4.25 | 0.00 | 0.00 | 15.88 | |||||||||||
| Bain Capital Euro CLO 2022-2 DAC | Bain | Aug 10, 2023 | 2,839 | 8.92 | 25.83 | 2.16 | 0.00 | 0.00 | 15.03 | |||||||||||
| Barings Euro CLO 2018-1 DAC | Barings | Jul 05, 2023 | 3,054 | 14.70 | 25.29 | 12.32 | 1.70 | 1.37 | 11.52 | |||||||||||
| Barings Euro CLO 2020-1 DAC | Barings | Aug 09, 2023 | 2,766 | 15.52 | 24.05 | 3.04 | 0.54 | 0.00 | 10.90 | |||||||||||
| Barings Euro CLO 2021-1 DAC | Barings | Aug 14, 2023 | 2,809 | 12.94 | 24.92 | 3.54 | 0.34 | 0.00 | 11.35 | |||||||||||
| Barings Euro CLO 2021-2 DAC | Barings | Aug 03, 2023 | 2,815 | 12.55 | 25.00 | 3.13 | 0.34 | 0.00 | 10.24 | |||||||||||
| Barings Euro CLO 2022-1 DAC | Barings | Aug 16, 2023 | 2,662 | 14.41 | 21.86 | 1.93 | 0.00 | 0.00 | 7.45 | |||||||||||
| Barings Euro CLO 2023-1 DAC | Barings | Aug 17, 2023 | 2,660 | 16.22 | 21.46 | 1.78 | 0.00 | 0.00 | 4.99 | |||||||||||
| Bastille Euro CLO 2020-3 DAC | CELF | Aug 02, 2023 | 3,149 | 4.52 | 27.99 | 5.28 | 1.37 | 1.68 | 16.05 | |||||||||||
| Bilbao CLO III DAC | Guggenheim | Aug 04, 2023 | 3,040 | 4.89 | 32.00 | 5.60 | 0.00 | 0.00 | 15.15 | |||||||||||
| Bilbao CLO IV DAC | Guggenheim | Aug 08, 2023 | 2,932 | 5.27 | 28.35 | 2.54 | 0.00 | 0.00 | 11.32 | |||||||||||
| Black Diamond CLO 2015-1 DAC | Black Diamond | Aug 07, 2023 | 3,209 | 20.37 | 28.72 | 14.39 | 3.54 | 0.00 | 20.30 | |||||||||||
| Black Diamond CLO 2017-2 DAC | Black Diamond | Aug 14, 2023 | 3,020 | 11.12 | 22.75 | 7.45 | 1.25 | 0.30 | 9.74 | |||||||||||
| Black Diamond CLO 2019-1 DAC | Black Diamond | Aug 03, 2023 | 3,079 | 7.70 | 23.16 | 7.62 | 1.15 | 0.23 | 9.32 | |||||||||||
| BlackRock European CLO I DAC | BlackRock | Aug 10, 2023 | 2,854 | 15.93 | 26.02 | 7.14 | 0.88 | 0.64 | 14.38 | |||||||||||
| BlackRock European CLO II DAC | BlackRock | Aug 02, 2023 | 2,961 | 11.53 | 26.86 | 6.12 | 0.91 | 0.96 | 10.76 | |||||||||||
| BlackRock European CLO III DAC | BlackRock | Aug 08, 2023 | 2,935 | 11.60 | 26.75 | 6.01 | 0.85 | 0.70 | 12.13 | |||||||||||
| BlackRock European CLO IV DAC | BlackRock | Aug 10, 2023 | 2,761 | 21.72 | 21.10 | 6.77 | 1.11 | 0.24 | 12.26 | |||||||||||
| BlackRock European CLO IX DAC | BlackRock | Aug 10, 2023 | 2,964 | 10.75 | 26.66 | 6.66 | 0.78 | 0.66 | 12.68 | |||||||||||
| BlackRock European CLO X DAC | BlackRock | Jul 05, 2023 | 2,940 | 11.17 | 27.48 | 5.81 | 0.66 | 0.58 | 11.07 | |||||||||||
| BlackRock European CLO XI DAC | BlackRock | Aug 10, 2023 | 2,954 | 10.93 | 27.85 | 6.03 | 0.75 | 0.67 | 11.66 | |||||||||||
| BlackRock European CLO XII DAC | BlackRock | Aug 08, 2023 | 2,920 | 11.35 | 26.98 | 6.44 | 0.00 | 0.66 | 11.79 | |||||||||||
| Blackrock European CLO XIII DAC | BlackRock | Aug 15, 2023 | 2,906 | 10.59 | 27.25 | 5.73 | 0.00 | 0.55 | 12.52 | |||||||||||
| Blackrock European CLO XIV DAC | BlackRock | Aug 09, 2023 | 2,878 | 9.07 | 27.52 | 4.53 | 0.00 | 0.74 | 9.45 | |||||||||||
| BlueMountain EUR 2021-1 CLO DAC | Sound Point | Aug 07, 2023 | 2,842 | 12.87 | 27.43 | 3.44 | 0.00 | 0.53 | 12.20 | |||||||||||
| BlueMountain EUR 2021-2 CLO DAC | Sound Point | Aug 07, 2023 | 2,901 | 10.98 | 27.51 | 4.77 | 0.00 | 0.36 | 10.78 | |||||||||||
| BlueMountain EUR CLO 2016-1 DAC | Sound Point | Jul 31, 2023 | 2,919 | 12.22 | 29.87 | 5.84 | 0.27 | 0.27 | 14.27 | |||||||||||
| BlueMountain Fuji EUR CLO II DAC | Sound Point | Aug 10, 2023 | 2,992 | 14.03 | 32.57 | 6.79 | 0.79 | 0.73 | 13.40 | |||||||||||
| BlueMountain Fuji EUR CLO IV DAC | Sound Point | Aug 15, 2023 | 2,877 | 13.18 | 28.57 | 4.95 | 0.00 | 0.53 | 10.24 | |||||||||||
| BlueMountain Fuji EUR CLO V DAC | Sound Point | Jul 05, 2023 | 2,878 | 14.05 | 27.77 | 3.85 | 0.42 | 0.49 | 10.63 | |||||||||||
| Bosphorus CLO VI DAC | Commerzbank | Aug 15, 2023 | 2,840 | 11.81 | 25.20 | 2.86 | 0.00 | 0.00 | 11.32 | |||||||||||
| Bridgepoint CLO 1 DAC | Bridgepoint | Aug 08, 2023 | 2,930 | 6.93 | 26.48 | 4.29 | 0.00 | 0.74 | 15.96 | |||||||||||
| Bridgepoint CLO 2 DAC | Bridgepoint | Aug 08, 2023 | 2,895 | 6.41 | 24.36 | 5.15 | 0.00 | 0.70 | 12.83 | |||||||||||
| Bridgepoint CLO IV DAC | Bridgepoint | Aug 10, 2023 | 2,924 | 5.09 | 23.20 | 2.78 | 0.00 | 0.00 | 11.38 | |||||||||||
| Bushy Park CLO DAC | Blackstone | Aug 14, 2023 | 2,790 | 10.90 | 24.56 | 1.60 | 0.00 | 0.25 | 10.86 | |||||||||||
| CVC Cordatus Loan Fund IV DAC | CVC | Aug 10, 2023 | 2,942 | 11.02 | 29.87 | 3.27 | 1.32 | 0.29 | 9.40 | |||||||||||
| CVC Cordatus Loan Fund IX DAC | CVC | Aug 09, 2023 | 2,912 | 11.19 | 28.96 | 3.42 | 1.01 | 0.44 | 9.82 | |||||||||||
| CVC Cordatus Loan Fund V DAC | CVC | Jul 11, 2023 | 2,839 | 15.22 | 24.95 | 5.28 | 1.15 | 0.90 | 7.94 | |||||||||||
| CVC Cordatus Loan Fund VIII DAC | CVC | Jul 05, 2023 | 2,847 | 13.36 | 26.43 | 3.67 | 0.77 | 0.29 | 11.70 | |||||||||||
| CVC Cordatus Loan Fund X DAC | CVC | Jul 14, 2023 | 2,882 | 14.20 | 26.42 | 5.34 | 1.18 | 0.64 | 8.12 | |||||||||||
| CVC Cordatus Loan Fund XIX DAC | CVC | Jul 31, 2023 | 2,909 | 10.54 | 28.50 | 3.40 | 0.97 | 0.75 | 7.86 | |||||||||||
| CVC Cordatus Loan Fund XVI DAC | CVC | Jul 31, 2023 | 2,912 | 10.62 | 25.54 | 3.60 | 1.04 | 0.62 | 9.66 | |||||||||||
| CVC Cordatus Loan Fund XVII DAC | CVC | Aug 08, 2023 | 2,882 | 9.79 | 27.33 | 3.34 | 0.42 | 0.85 | 9.62 | |||||||||||
| CVC Cordatus Loan Fund XVIII DAC | CVC | Jul 21, 2023 | 2,955 | 10.50 | 27.56 | 4.85 | 0.71 | 0.99 | 9.60 | |||||||||||
| CVC Cordatus Loan Fund XX DAC | CVC | Jul 31, 2023 | 2,963 | 7.22 | 29.42 | 3.78 | 0.90 | 0.91 | 10.28 | |||||||||||
| CVC Cordatus Loan Fund XXI DAC | CVC | Jul 31, 2023 | 2,934 | 8.46 | 27.61 | 4.68 | 0.34 | 0.32 | 10.92 | |||||||||||
| CVC Cordatus Loan Fund XXIV DAC | CVC | Aug 04, 2023 | 2,947 | 6.91 | 30.75 | 3.02 | 0.00 | 0.00 | 12.22 | |||||||||||
| CVC Cordatus Loan Fund XXV DAC | CVC | Aug 09, 2023 | 2,923 | 7.94 | 30.74 | 1.11 | 0.10 | 0.00 | 9.98 | |||||||||||
| CVC Cordatus Loan Fund XXVI DAC | CVC | Aug 15, 2023 | 2,908 | 9.42 | 30.15 | 1.92 | 0.10 | 0.00 | 9.14 | |||||||||||
| CVC Cordatus Loan Fund XXVII Designated Activity Company | CVC | Aug 09, 2023 | 2,830 | 9.08 | 25.20 | 0.68 | 0.00 | 0.00 | 9.51 | |||||||||||
| Cairn CLO VIII DAC | Cairn | Aug 21, 2023 | 3,059 | 12.09 | 27.95 | 5.75 | 2.80 | 0.30 | 19.80 | |||||||||||
| Cairn CLO XI DAC | Cairn | Aug 08, 2023 | 3,066 | 9.56 | 29.15 | 5.35 | 1.85 | 0.25 | 13.69 | |||||||||||
| Cairn CLO XIV DAC | Cairn | Aug 15, 2023 | 2,899 | 7.48 | 25.43 | 3.90 | 0.25 | 0.25 | 17.08 | |||||||||||
| Capital Four CLO I DAC | Capital Four | Jul 05, 2023 | 2,812 | 11.97 | 22.12 | 4.88 | 0.00 | 0.00 | 12.75 | |||||||||||
| Capital Four CLO II DAC | Capital Four | Jul 31, 2023 | 2,815 | 12.61 | 25.33 | 3.58 | 0.00 | 0.00 | 12.41 | |||||||||||
| Capital Four CLO III DAC | Capital Four | Jul 05, 2023 | 2,796 | 9.79 | 20.71 | 3.31 | 0.00 | 0.00 | 12.81 | |||||||||||
| Capital Four CLO IV DAC | Capital Four | Jul 31, 2023 | 2,829 | 10.79 | 24.87 | 2.98 | 0.00 | 0.00 | 11.38 | |||||||||||
| Capital Four CLO V DAC | Capital Four | Aug 09, 2023 | 2,843 | 8.89 | 26.09 | 1.33 | 0.00 | 0.00 | 12.87 | |||||||||||
| Carlyle Euro CLO 2013-1 DAC | CELF | Aug 15, 2023 | 2,950 | 10.72 | 22.31 | 7.49 | 1.39 | 0.43 | 14.80 | |||||||||||
| Carlyle Euro CLO 2017-1 DAC | CELF | Aug 15, 2023 | 3,201 | 3.75 | 26.37 | 8.88 | 1.13 | 0.31 | 19.40 | |||||||||||
| Carlyle Euro CLO 2017-2 DAC | CELF | Aug 03, 2023 | 3,093 | 9.13 | 25.62 | 6.07 | 2.46 | 0.00 | 13.97 | |||||||||||
| Carlyle Euro CLO 2017-3 DAC | CELF | Aug 21, 2023 | 2,984 | 9.02 | 27.06 | 5.71 | 1.05 | 0.53 | 14.46 | |||||||||||
| Carlyle Euro CLO 2018-1 DAC | CELF | Aug 10, 2023 | 3,017 | 11.26 | 21.19 | 7.64 | 2.10 | 0.33 | 16.41 | |||||||||||
| Carlyle Euro CLO 2019-2 DAC | CELF | Aug 02, 2023 | 3,138 | 3.03 | 30.24 | 7.54 | 0.51 | 0.55 | 15.69 | |||||||||||
| Carlyle Euro CLO 2020-1 DAC | CELF | Jul 05, 2023 | 3,156 | 4.38 | 27.05 | 6.25 | 1.80 | 0.88 | 13.38 | |||||||||||
| Carlyle Euro CLO 2020-2 DAC | CELF | Jul 05, 2023 | 3,152 | 4.88 | 28.76 | 5.73 | 1.52 | 0.31 | 10.60 | |||||||||||
| Carlyle Euro CLO 2021-1 DAC | CELF | Aug 18, 2023 | 3,245 | 3.13 | 26.04 | 6.87 | 2.26 | 0.31 | 14.10 | |||||||||||
| Carlyle Euro CLO 2021-3 DAC | CELF | Aug 02, 2023 | 3,176 | 3.90 | 28.48 | 7.12 | 1.50 | 0.73 | 14.59 | |||||||||||
| Carlyle Euro CLO 2022-3 DAC | CELF | Aug 08, 2023 | 3,017 | 5.80 | 28.79 | 2.79 | 0.60 | 0.70 | 13.16 | |||||||||||
| Carlyle Euro CLO 2022-5 DAC | CELF | Aug 21, 2023 | 3,073 | 4.88 | 29.82 | 4.29 | 0.56 | 0.98 | 12.74 | |||||||||||
| Carlyle Global Market Strategies Euro CLO 2015-1 DAC | CELF | Jul 05, 2023 | 3,052 | 4.73 | 24.34 | 9.42 | 0.00 | 0.42 | 15.74 | |||||||||||
| Carlyle Global Market Strategies Euro CLO 2015-3 DAC | CELF | Aug 21, 2023 | 3,099 | 8.90 | 28.48 | 7.67 | 1.91 | 0.81 | 17.18 | |||||||||||
| Carlyle Global Market Strategies Euro CLO 2016-2 DAC | CELF | Aug 15, 2023 | 3,164 | 5.61 | 25.47 | 6.61 | 1.92 | 0.31 | 17.50 | |||||||||||
| Carysfort Park CLO DAC | Blackstone | Jul 18, 2023 | 2,793 | 13.57 | 23.74 | 2.75 | 0.25 | 0.53 | 13.55 | |||||||||||
| Clarinda Park CLO DAC | Blackstone | Aug 02, 2023 | 2,802 | 13.83 | 23.78 | 3.50 | 0.41 | 0.96 | 13.78 | |||||||||||
| Clonmore Park CLO DAC | Blackstone | Aug 09, 2023 | 2,880 | 7.21 | 25.59 | 2.31 | 0.00 | 0.27 | 13.29 | |||||||||||
| Clontarf Park CLO DAC | Blackstone | Aug 10, 2023 | 3,060 | 16.56 | 32.63 | 9.49 | 1.90 | 0.55 | 14.78 | |||||||||||
| Contego CLO IV DAC | Five Arrows | Jul 31, 2023 | 3,059 | 5.50 | 32.26 | 6.17 | 0.00 | 0.98 | 12.17 | |||||||||||
| Contego CLO IX DAC | Five Arrows | Jul 31, 2023 | 3,001 | 5.83 | 32.00 | 3.76 | 0.00 | 0.22 | 11.31 | |||||||||||
| Contego CLO VII DAC | Five Arrows | Jul 31, 2023 | 2,953 | 7.81 | 26.85 | 5.61 | 0.00 | 0.97 | 10.62 | |||||||||||
| Contego CLO VIII DAC | Five Arrows | Aug 15, 2023 | 2,990 | 6.68 | 31.49 | 4.14 | 0.00 | 1.21 | 11.42 | |||||||||||
| Contego CLO X DAC | Five Arrows | Aug 02, 2023 | 3,016 | 3.78 | 30.29 | 3.06 | 0.00 | 0.00 | 11.66 | |||||||||||
| Crosthwaite Park CLO DAC | Blackstone | Aug 21, 2023 | 2,784 | 12.74 | 22.22 | 2.69 | 0.34 | 0.45 | 13.36 | |||||||||||
| Dartry Park CLO DAC | Blackstone | Aug 15, 2023 | 2,803 | 12.98 | 24.82 | 2.91 | 0.51 | 0.79 | 13.80 | |||||||||||
| Deer Park CLO DAC | Blackstone | Jul 05, 2023 | 2,816 | 13.32 | 24.68 | 2.71 | 0.28 | 0.54 | 11.61 | |||||||||||
| Dillons Park CLO DAC | Blackstone | Jul 05, 2023 | 2,829 | 10.51 | 23.45 | 3.56 | 0.00 | 0.38 | 13.28 | |||||||||||
| Dryden 103 Euro CLO 2021 DAC | PGIM | Jul 31, 2023 | 3,026 | 8.15 | 28.13 | 5.86 | 0.99 | 0.00 | 15.28 | |||||||||||
| Dryden 27 R Euro CLO 2017 DAC | PGIM | Jul 31, 2023 | 3,101 | 8.38 | 30.04 | 5.43 | 2.13 | 0.60 | 15.67 | |||||||||||
| Dryden 29 Euro CLO 2013 DAC | PGIM | Jul 31, 2023 | 3,166 | 12.17 | 25.20 | 7.54 | 3.84 | 2.61 | 12.72 | |||||||||||
| Dryden 35 Euro CLO 2014 DAC | PGIM | Jul 31, 2023 | 3,092 | 10.38 | 24.18 | 5.31 | 3.10 | 0.75 | 13.27 | |||||||||||
| Dryden 39 Euro CLO 2015 DAC | PGIM | Jul 31, 2023 | 3,131 | 9.17 | 25.09 | 7.71 | 2.45 | 0.45 | 14.08 | |||||||||||
| Dryden 44 Euro CLO 2015 DAC | PGIM | Jul 31, 2023 | 3,148 | 7.57 | 28.91 | 7.08 | 2.18 | 0.34 | 13.57 | |||||||||||
| Dryden 46 Euro CLO 2016 DAC | PGIM | Jul 31, 2023 | 3,163 | 8.32 | 28.67 | 6.17 | 2.95 | 0.29 | 12.87 | |||||||||||
| Dryden 48 Euro CLO 2016 DAC | PGIM | Jul 31, 2023 | 3,253 | 6.32 | 27.26 | 6.77 | 3.70 | 0.92 | 13.38 | |||||||||||
| Dryden 51 Euro CLO 2017 DAC | PGIM | Jul 31, 2023 | 3,130 | 12.26 | 27.45 | 7.57 | 3.08 | 1.55 | 14.63 | |||||||||||
| Dryden 52 Euro CLO 2017 DAC | PGIM | Jul 31, 2023 | 3,157 | 10.82 | 30.24 | 6.37 | 2.93 | 0.39 | 14.18 | |||||||||||
| Dryden 56 Euro CLO 2017 DAC | PGIM | Jul 31, 2023 | 3,124 | 11.81 | 25.27 | 7.46 | 3.40 | 1.59 | 15.60 | |||||||||||
| Dryden 73 Euro CLO 2018 DAC | PGIM | Jul 31, 2023 | 3,127 | 10.58 | 25.26 | 6.69 | 3.12 | 0.23 | 11.74 | |||||||||||
| Dryden 74 Euro CLO 2020 DAC | PGIM | Jul 31, 2023 | 3,120 | 6.68 | 27.24 | 6.66 | 1.95 | 0.90 | 13.59 | |||||||||||
| Dryden 88 Euro CLO 2020 DAC | PGIM | Jul 31, 2023 | 3,109 | 8.13 | 28.74 | 6.61 | 1.47 | 0.00 | 16.19 | |||||||||||
| Dryden 89 Euro CLO 2020 DAC | PGIM | Jul 31, 2023 | 3,181 | 5.44 | 29.75 | 7.39 | 1.64 | 0.51 | 16.86 | |||||||||||
| Dryden 96 Euro CLO 2021 DAC | PGIM | Jul 31, 2023 | 3,063 | 8.66 | 27.14 | 5.77 | 1.48 | 0.32 | 15.65 | |||||||||||
| Dunedin Park CLO DAC | Blackstone | Aug 09, 2023 | 2,837 | 13.27 | 25.46 | 4.26 | 0.00 | 1.30 | 12.52 | |||||||||||
| Edmondstown Park CLO DAC | Blackstone | Jul 11, 2023 | 2,780 | 10.08 | 23.67 | 1.03 | 0.00 | 0.33 | 11.96 | |||||||||||
| Elm Park CLO DAC | Blackstone | Aug 15, 2023 | 2,842 | 11.76 | 24.13 | 3.53 | 0.37 | 0.67 | 14.11 | |||||||||||
| Euro-Galaxy III CLO DAC | PineBridge | Aug 08, 2023 | 2,877 | 13.04 | 23.09 | 5.48 | 0.75 | 0.00 | 12.58 | |||||||||||
| Euro-Galaxy IV CLO DAC | PineBridge | Aug 15, 2023 | 2,831 | 13.37 | 24.68 | 5.20 | 0.00 | 0.00 | 13.66 | |||||||||||
| Euro-Galaxy V CLO DAC | PineBridge | Aug 02, 2023 | 2,863 | 13.35 | 24.09 | 5.74 | 0.43 | 0.00 | 12.99 | |||||||||||
| Fair Oaks Loan Funding I DAC | Fair Oaks | Aug 15, 2023 | 2,662 | 12.29 | 15.37 | 3.71 | 0.00 | 0.98 | 11.39 | |||||||||||
| Fair Oaks Loan Funding II DAC | Fair Oaks | Aug 15, 2023 | 2,711 | 11.97 | 17.04 | 4.49 | 0.00 | 1.29 | 12.41 | |||||||||||
| Fair Oaks Loan Funding III DAC | Fair Oaks | Aug 15, 2023 | 2,645 | 12.61 | 14.10 | 3.29 | 0.00 | 0.00 | 10.91 | |||||||||||
| Fidelity Grand Harbour CLO 2022 -1 DAC | FIL | Aug 08, 2023 | 2,807 | 13.21 | 23.36 | 3.43 | 0.00 | 0.00 | 12.64 | |||||||||||
| GLG Euro CLO IV DAC | GLG | Aug 02, 2023 | 3,033 | 13.61 | 24.99 | 5.44 | 3.24 | 1.39 | 13.23 | |||||||||||
| GoldenTree Loan Management EUR CLO 3 DAC | GoldenTree | Aug 15, 2023 | 2,740 | 15.68 | 24.33 | 3.11 | 0.23 | 0.53 | 6.93 | |||||||||||
| GoldenTree Loan Management EUR CLO 4 DAC | GoldenTree | Aug 15, 2023 | 2,724 | 15.45 | 25.05 | 2.82 | 0.00 | 0.55 | 8.02 | |||||||||||
| GoldenTree Loan Management EUR CLO 5 DAC | GoldenTree | Aug 15, 2023 | 2,759 | 14.60 | 27.32 | 3.34 | 0.00 | 0.76 | 7.94 | |||||||||||
| GoldenTree Loan Management EUR CLO 6 DAC | GoldenTree | Jun 09, 2023 | 2,764 | 13.75 | 28.35 | 2.65 | 0.00 | 0.74 | 9.14 | |||||||||||
| Grosvenor Place CLO 2022-1 DAC | CQS | Aug 14, 2023 | 2,831 | 10.28 | 22.85 | 3.64 | 0.00 | 0.00 | 8.11 | |||||||||||
| Harvest CLO VII DAC | Investcorp | Jul 31, 2023 | 3,044 | 8.38 | 40.01 | 5.70 | 0.47 | 0.00 | 14.86 | |||||||||||
| Harvest CLO VIII DAC | Investcorp | Jul 31, 2023 | 2,804 | 13.28 | 27.38 | 3.88 | 0.00 | 0.37 | 10.31 | |||||||||||
| Harvest CLO XI DAC | Investcorp | Jul 31, 2023 | 2,788 | 15.91 | 28.96 | 3.51 | 0.00 | 0.00 | 11.68 | |||||||||||
| Harvest CLO XVII DAC | Investcorp | Aug 01, 2023 | 2,973 | 8.74 | 27.00 | 2.49 | 1.30 | 0.11 | 10.40 | |||||||||||
| Harvest CLO XVIII DAC | Investcorp | Jul 31, 2023 | 2,829 | 14.30 | 24.32 | 5.59 | 0.00 | 0.18 | 12.85 | |||||||||||
| Harvest CLO XXII DAC | Investcorp | Jul 31, 2023 | 2,926 | 7.37 | 26.70 | 1.48 | 0.84 | 0.11 | 10.90 | |||||||||||
| Harvest CLO XXIII DAC | Investcorp | Jul 31, 2023 | 2,949 | 7.70 | 29.41 | 1.14 | 0.88 | 0.13 | 9.63 | |||||||||||
| Harvest CLO XXIX DAC | Investcorp | Aug 09, 2023 | 2,874 | 5.62 | 27.01 | 0.50 | 0.00 | 0.00 | 10.99 | |||||||||||
| Harvest CLO XXV DAC | Investcorp | Aug 09, 2023 | 2,952 | 6.46 | 27.87 | 1.10 | 0.84 | 0.14 | 10.57 | |||||||||||
| Harvest CLO XXVI DAC | Investcorp | Jul 31, 2023 | 2,957 | 6.94 | 27.32 | 1.70 | 0.74 | 0.16 | 11.23 | |||||||||||
| Hayfin Emerald CLO IV DAC | Hayfin | Aug 02, 2023 | 2,899 | 12.87 | 24.19 | 1.74 | 1.66 | 0.55 | 13.05 | |||||||||||
| Hayfin Emerald CLO IX DAC | Hayfin | Aug 02, 2023 | 2,870 | 12.50 | 22.48 | 2.19 | 1.43 | 0.00 | 14.57 | |||||||||||
| Hayfin Emerald CLO V DAC | Hayfin | Aug 04, 2023 | 2,876 | 13.03 | 23.68 | 2.21 | 1.11 | 0.00 | 14.20 | |||||||||||
| Hayfin Emerald CLO VI DAC | Hayfin | Aug 15, 2023 | 2,864 | 11.16 | 22.92 | 2.04 | 1.21 | 0.49 | 14.62 | |||||||||||
| Hayfin Emerald CLO VII DAC | Hayfin | Aug 02, 2023 | 2,903 | 11.47 | 25.35 | 2.62 | 1.09 | 0.66 | 15.39 | |||||||||||
| Hayfin Emerald CLO VIII DAC | Hayfin | Aug 15, 2023 | 2,875 | 11.91 | 21.39 | 3.10 | 0.97 | 0.73 | 14.77 | |||||||||||
| Hayfin Emerald CLO X DAC | Hayfin | Jul 05, 2023 | 2,859 | 11.92 | 25.01 | 2.11 | 0.85 | 0.00 | 13.95 | |||||||||||
| Hayfin Emerald CLO XI DAC | Hayfin | Aug 02, 2023 | 2,800 | 10.07 | 24.46 | 1.20 | 0.00 | 0.00 | 11.99 | |||||||||||
| Henley CLO I DAC | Napier Park | Aug 15, 2023 | 3,003 | 6.47 | 36.02 | 2.87 | 0.00 | 0.84 | 9.82 | |||||||||||
| Henley CLO II DAC | Napier Park | Aug 15, 2023 | 3,087 | 3.54 | 37.33 | 3.43 | 0.00 | 0.86 | 10.92 | |||||||||||
| Henley CLO III DAC | Napier Park | Aug 15, 2023 | 3,100 | 4.12 | 39.58 | 3.21 | 0.00 | 1.19 | 10.06 | |||||||||||
| Henley CLO IV DAC | Napier Park | Aug 15, 2023 | 3,028 | 5.11 | 36.05 | 3.32 | 0.00 | 1.41 | 9.77 | |||||||||||
| Henley CLO V DAC | Napier Park | Aug 15, 2023 | 3,040 | 4.84 | 35.45 | 3.71 | 0.00 | 1.29 | 8.24 | |||||||||||
| Henley CLO VI DAC | Napier Park | Aug 15, 2023 | 3,071 | 4.10 | 35.31 | 2.81 | 0.00 | 1.17 | 9.84 | |||||||||||
| Henley CLO VII DAC | Napier Park | Aug 15, 2023 | 3,001 | 5.00 | 32.71 | 2.88 | 0.00 | 0.58 | 7.90 | |||||||||||
| Holland Park CLO DAC | Blackstone | Aug 01, 2023 | 2,802 | 14.45 | 23.60 | 3.63 | 0.18 | 0.47 | 13.49 | |||||||||||
| ICG Euro CLO 2021-1 DAC | Intermediate | Aug 08, 2023 | 3,051 | 4.02 | 32.06 | 4.12 | 0.86 | 0.00 | 9.46 | |||||||||||
| ICG Euro CLO 2022-1 DAC | Intermediate | Aug 04, 2023 | 3,060 | 5.01 | 33.49 | 4.44 | 0.72 | 0.00 | 11.25 | |||||||||||
| Invesco Euro CLO II DAC | Invesco | Aug 02, 2023 | 2,994 | 11.59 | 27.74 | 5.88 | 1.94 | 0.00 | 13.35 | |||||||||||
| Invesco Euro CLO III DAC | Invesco | Aug 15, 2023 | 2,983 | 11.56 | 26.56 | 5.78 | 1.90 | 0.00 | 14.13 | |||||||||||
| Invesco Euro CLO IV DAC | Invesco | Aug 15, 2023 | 2,949 | 10.87 | 28.61 | 5.72 | 1.12 | 0.00 | 14.77 | |||||||||||
| Invesco Euro CLO IX DAC | Invesco | Aug 15, 2023 | 2,832 | 10.12 | 26.75 | 2.57 | 0.00 | 0.00 | 11.36 | |||||||||||
| Invesco Euro CLO VI DAC | Invesco | Aug 15, 2023 | 2,890 | 10.85 | 27.79 | 5.18 | 0.62 | 0.00 | 13.48 | |||||||||||
| Jubilee CLO 2013-X DAC | Alcentra | Aug 03, 2023 | 2,836 | 13.88 | 28.11 | 2.37 | 0.47 | 0.00 | 9.53 | |||||||||||
| Jubilee CLO 2014-XI DAC | Alcentra | Aug 03, 2023 | 2,738 | 17.05 | 27.70 | 3.14 | 0.29 | 1.40 | 7.60 | |||||||||||
| Jubilee CLO 2015-XVI DAC | Alcentra | Aug 18, 2023 | 3,046 | 13.40 | 36.02 | 6.06 | 1.46 | 2.06 | 9.58 | |||||||||||
| Jubilee CLO 2017-XIX DAC | Alcentra | Aug 03, 2023 | 2,811 | 13.91 | 28.84 | 3.24 | 0.00 | 0.22 | 11.94 | |||||||||||
| Jubilee CLO 2019-XXII DAC | Alcentra | Aug 09, 2023 | 2,765 | 15.77 | 25.37 | 3.09 | 0.00 | 0.43 | 9.86 | |||||||||||
| Jubilee CLO 2019-XXIII DAC | Alcentra | Aug 09, 2023 | 2,827 | 12.72 | 27.87 | 2.68 | 0.00 | 0.00 | 9.81 | |||||||||||
| Jubilee CLO 2020-XXIV DAC | Alcentra | Aug 09, 2023 | 2,828 | 13.41 | 27.90 | 2.93 | 0.00 | 0.00 | 10.69 | |||||||||||
| Jubilee CLO 2022-XXVI DAC | Alcentra | Aug 09, 2023 | 2,858 | 10.55 | 28.94 | 1.45 | 0.00 | 0.00 | 9.69 | |||||||||||
| Madison Park Euro Funding IX DAC | Credit Suisse | Aug 04, 2023 | 2,930 | 11.98 | 19.12 | 6.45 | 1.74 | 0.39 | 9.12 | |||||||||||
| Madison Park Euro Funding VIII DAC | Credit Suisse | Jul 06, 2023 | 2,915 | 12.41 | 20.40 | 5.71 | 1.61 | 0.27 | 10.31 | |||||||||||
| Madison Park Euro Funding X DAC | Credit Suisse | Jul 14, 2023 | 2,884 | 16.34 | 21.40 | 6.30 | 1.81 | 0.94 | 9.89 | |||||||||||
| Madison Park Euro Funding XV DAC | Credit Suisse | Jul 06, 2023 | 2,958 | 13.04 | 24.93 | 6.38 | 1.20 | 0.54 | 9.56 | |||||||||||
| Madison Park Euro Funding XVI DAC | Credit Suisse | Aug 21, 2023 | 2,822 | 10.71 | 20.88 | 4.21 | 0.55 | 0.93 | 7.04 | |||||||||||
| Madison Park Euro Funding XVII DAC | Credit Suisse | Jul 18, 2023 | 2,922 | 9.23 | 22.21 | 5.31 | 0.86 | 1.03 | 8.63 | |||||||||||
| Madison Park Euro Funding XX DAC | Credit Suisse | Jul 06, 2023 | 2,924 | 6.09 | 21.96 | 5.15 | 0.49 | 0.64 | 9.97 | |||||||||||
| Man GLG Euro CLO III DAC | GLG | Aug 08, 2023 | 3,174 | 14.02 | 25.49 | 8.04 | 4.03 | 1.39 | 13.29 | |||||||||||
| Man GLG Euro CLO VI DAC | GLG | Aug 08, 2023 | 2,906 | 15.75 | 22.99 | 6.05 | 1.73 | 0.57 | 13.81 | |||||||||||
| Margay CLO I DAC | M&G | Aug 09, 2023 | 2,625 | 14.74 | 17.31 | 0.23 | 0.00 | 0.74 | 9.40 | |||||||||||
| Montmartre Euro CLO 2020-2 DAC | CELF | Aug 02, 2023 | 3,117 | 5.51 | 25.91 | 4.93 | 1.58 | 1.31 | 13.94 | |||||||||||
| Neuberger Berman Loan Advisers Euro CLO 1 DAC | Neuberger Berman | Aug 15, 2023 | 2,771 | 9.35 | 20.61 | 3.01 | 0.00 | 0.33 | 11.48 | |||||||||||
| Neuberger Berman Loan Advisers Euro CLO 2 DAC | Neuberger Berman | Aug 17, 2023 | 2,762 | 8.90 | 20.34 | 2.51 | 0.00 | 0.33 | 11.11 | |||||||||||
| Neuberger Berman Loan Advisers Euro CLO 3 DAC | Neuberger Berman | Aug 16, 2023 | 2,769 | 8.27 | 19.61 | 2.18 | 0.00 | 0.33 | 12.40 | |||||||||||
| Neuberger Berman Loan Advisers Euro CLO 5 DAC | Neuberger Berman | Aug 16, 2023 | 2,686 | 9.91 | 19.03 | 0.93 | 0.00 | 0.27 | 11.46 | |||||||||||
| Newhaven CLO DAC | Bain | Aug 02, 2023 | 2,934 | 14.81 | 24.28 | 4.67 | 2.12 | 0.37 | 16.30 | |||||||||||
| North Westerly VI ESG CLO DAC | NIBC | Aug 09, 2023 | 2,839 | 13.75 | 23.45 | 4.83 | 0.44 | 0.99 | 13.04 | |||||||||||
| North Westerly VII ESG CLO DAC | NIBC | Aug 02, 2023 | 2,934 | 9.44 | 25.64 | 5.33 | 0.37 | 0.56 | 13.65 | |||||||||||
| Northwoods Capital 19 Euro DAC | Northwoods | Aug 15, 2023 | 2,826 | 11.68 | 22.22 | 4.47 | 0.00 | 0.00 | 13.10 | |||||||||||
| Northwoods Capital 21 Euro DAC | Northwoods | Aug 10, 2023 | 2,861 | 11.41 | 24.11 | 4.42 | 0.00 | 0.00 | 12.48 | |||||||||||
| Northwoods Capital 23 Euro DAC | Northwoods | Jul 31, 2023 | 2,847 | 10.65 | 24.63 | 3.67 | 0.00 | 0.00 | 13.80 | |||||||||||
| Northwoods Capital 24 Euro DAC | Northwoods | Aug 03, 2023 | 2,869 | 9.89 | 22.42 | 4.66 | 0.00 | 0.00 | 15.27 | |||||||||||
| Northwoods Capital 26 Euro DAC | Northwoods | Aug 03, 2023 | 2,847 | 9.64 | 23.55 | 3.63 | 0.00 | 0.00 | 15.18 | |||||||||||
| OCP EURO CLO 2022-5 DAC | Onex | Aug 08, 2023 | 2,805 | 13.30 | 30.27 | 0.49 | 0.00 | 0.81 | 13.37 | |||||||||||
| OCP Euro CLO 2017-1 DAC | Onex | Aug 07, 2023 | 2,667 | 17.41 | 23.27 | 0.56 | 0.00 | 0.83 | 11.73 | |||||||||||
| OCP Euro CLO 2017-2 DAC | Onex | Aug 07, 2023 | 2,676 | 16.34 | 24.56 | 2.38 | 0.00 | 1.51 | 11.00 | |||||||||||
| OCP Euro CLO 2019-3 DAC | Onex | Aug 07, 2023 | 2,751 | 13.79 | 24.53 | 1.08 | 0.00 | 0.57 | 11.66 | |||||||||||
| OCP Euro CLO 2020-4 DAC | Onex | Aug 08, 2023 | 2,771 | 14.21 | 28.15 | 0.48 | 0.00 | 0.61 | 12.85 | |||||||||||
| OZLME III DAC | Sculptor | Aug 14, 2023 | 2,789 | 18.20 | 21.60 | 6.39 | 1.03 | 0.16 | 11.16 | |||||||||||
| Oak Hill European Credit Partners VIII DAC | Oak Hill | Aug 06, 2023 | 2,851 | 13.28 | 19.80 | 3.25 | 1.46 | 0.45 | 8.91 | |||||||||||
| Palmer Square European CLO 2021-1 DAC | Palmer Square | Jul 05, 2023 | 2,729 | 13.57 | 21.63 | 2.70 | 0.00 | 0.49 | 12.18 | |||||||||||
| Palmer Square European CLO 2021-2 DAC | Palmer Square | Aug 03, 2023 | 2,748 | 13.66 | 21.43 | 2.98 | 0.00 | 0.74 | 12.53 | |||||||||||
| Palmer Square European CLO 2022-1 DAC | Palmer Square | Jul 11, 2023 | 2,731 | 13.30 | 22.48 | 2.28 | 0.00 | 0.87 | 11.64 | |||||||||||
| Palmer Square European CLO 2022-2 DAC | Palmer Square | Jul 31, 2023 | 2,705 | 12.76 | 20.06 | 1.53 | 0.00 | 1.02 | 8.61 | |||||||||||
| Penta CLO 12 DAC | Partners | Jul 10, 2023 | 2,921 | 6.27 | 32.56 | 1.32 | 0.00 | 0.00 | 11.06 | |||||||||||
| Penta CLO 14 DAC | Partners | Jul 31, 2023 | 2,892 | 7.20 | 31.31 | 0.63 | 0.00 | 0.00 | 8.79 | |||||||||||
| Penta CLO 5 DAC | Partners | Jul 10, 2023 | 2,935 | 11.12 | 32.27 | 4.85 | 0.00 | 1.31 | 10.24 | |||||||||||
| Penta CLO 7 DAC | Partners | Jul 13, 2023 | 2,948 | 9.82 | 31.65 | 6.20 | 0.00 | 1.40 | 10.23 | |||||||||||
| Penta CLO 8 DAC | Partners | Jul 31, 2023 | 2,972 | 10.19 | 36.39 | 3.02 | 0.38 | 0.74 | 12.63 | |||||||||||
| Penta CLO 9 DAC | Partners | Jul 31, 2023 | 2,889 | 9.73 | 30.23 | 2.99 | 0.50 | 0.46 | 11.83 | |||||||||||
| Providus CLO I DAC | Permira | Aug 01, 2023 | 2,794 | 15.63 | 30.84 | 3.66 | 0.00 | 0.68 | 10.95 | |||||||||||
| Providus CLO III DAC | Permira | Jul 31, 2023 | 2,877 | 10.63 | 31.82 | 3.21 | 0.00 | 0.37 | 9.25 | |||||||||||
| Providus CLO IV DAC | Permira | Jul 31, 2023 | 2,906 | 9.64 | 31.32 | 3.89 | 0.00 | 0.67 | 10.73 | |||||||||||
| Providus CLO V DAC | Permira | Jul 31, 2023 | 2,920 | 9.19 | 33.08 | 3.63 | 0.00 | 0.54 | 9.69 | |||||||||||
| Providus CLO VI DAC | Permira | Aug 04, 2023 | 2,931 | 9.63 | 31.22 | 4.44 | 0.00 | 0.51 | 10.49 | |||||||||||
| Providus Clo VII DAC | Permira | Jul 05, 2023 | 2,927 | 8.50 | 32.71 | 3.39 | 0.00 | 0.62 | 8.04 | |||||||||||
| Purple Finance CLO 1 DAC | Ostrum | Aug 15, 2023 | 2,753 | 16.03 | 21.69 | 4.52 | 0.51 | 0.00 | 17.11 | |||||||||||
| Purple Finance CLO 2 DAC | Ostrum | Aug 15, 2023 | 2,803 | 8.24 | 19.24 | 1.74 | 0.00 | 0.00 | 15.58 | |||||||||||
| RRE 1 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,834 | 10.92 | 28.97 | 2.06 | 0.00 | 0.00 | 7.82 | |||||||||||
| RRE 10 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,804 | 11.62 | 28.01 | 1.96 | 0.00 | 0.00 | 8.36 | |||||||||||
| RRE 11 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,863 | 9.22 | 28.38 | 2.41 | 0.00 | 0.00 | 8.77 | |||||||||||
| RRE 12 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,877 | 8.08 | 27.04 | 2.47 | 0.00 | 0.00 | 7.00 | |||||||||||
| RRE 14 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,860 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 | |||||||||||
| RRE 15 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,858 | 8.57 | 25.44 | 2.04 | 0.00 | 0.00 | 7.56 | |||||||||||
| RRE 2 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,827 | 11.16 | 27.52 | 2.44 | 0.00 | 0.00 | 8.21 | |||||||||||
| RRE 3 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,790 | 11.93 | 26.68 | 1.85 | 0.00 | 0.00 | 7.95 | |||||||||||
| RRE 5 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,840 | 10.97 | 29.87 | 2.35 | 0.00 | 0.00 | 8.76 | |||||||||||
| RRE 6 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,805 | 13.47 | 27.69 | 2.52 | 0.00 | 0.00 | 7.90 | |||||||||||
| RRE 7 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,835 | 11.17 | 28.84 | 2.55 | 0.00 | 0.00 | 8.96 | |||||||||||
| RRE 8 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,886 | 8.35 | 30.26 | 2.55 | 0.00 | 0.00 | 8.38 | |||||||||||
| RRE 9 Loan Management DAC | Redding Ridge | Jul 31, 2023 | 2,877 | 8.92 | 31.56 | 2.20 | 0.00 | 0.00 | 8.91 | |||||||||||
| Rockfield Park CLO DAC | Blackstone | Aug 14, 2023 | 2,750 | 12.26 | 22.87 | 1.78 | 0.00 | 0.42 | 11.93 | |||||||||||
| Rockford Tower Europe CLO 2021-1 DAC | Rockford | Aug 15, 2023 | 2,770 | 20.32 | 23.28 | 6.60 | 0.00 | 1.08 | 8.41 | |||||||||||
| Rockford Tower Europe CLO 2021-2 DAC | Rockford | Aug 15, 2023 | 2,826 | 16.72 | 25.05 | 5.35 | 0.00 | 0.99 | 7.95 | |||||||||||
| Sculptor European CLO I DAC | Sculptor | Aug 10, 2023 | 2,831 | 15.16 | 22.12 | 6.06 | 0.77 | 0.00 | 10.98 | |||||||||||
| Sculptor European CLO II DAC | Sculptor | Aug 10, 2023 | 2,832 | 14.37 | 21.95 | 5.84 | 0.77 | 0.00 | 11.70 | |||||||||||
| Sculptor European CLO VI DAC | Sculptor | Aug 08, 2023 | 2,802 | 14.67 | 21.77 | 6.30 | 0.24 | 0.00 | 11.70 | |||||||||||
| Sculptor European CLO VII DAC | Sculptor | Aug 15, 2023 | 2,820 | 16.24 | 24.87 | 5.08 | 0.59 | 0.00 | 11.29 | |||||||||||
| Sculptor European CLO VIII DAC | Sculptor | Aug 08, 2023 | 2,855 | 12.53 | 24.21 | 2.72 | 0.98 | 0.00 | 11.81 | |||||||||||
| Seapoint Park CLO DAC | Blackstone | Aug 10, 2023 | 2,783 | 14.31 | 21.92 | 3.21 | 0.25 | 0.73 | 12.00 | |||||||||||
| Segovia European CLO 1-2014 DAC | Segovia | Aug 02, 2023 | 2,929 | 11.27 | 27.63 | 7.28 | 0.00 | 0.50 | 13.70 | |||||||||||
| Segovia European CLO 3-2017 DAC | Segovia | Aug 15, 2023 | 2,984 | 9.02 | 28.65 | 6.82 | 0.00 | 0.50 | 13.38 | |||||||||||
| Segovia European CLO 4-2017 DAC | Segovia | Jul 06, 2023 | 2,887 | 16.17 | 30.47 | 7.25 | 0.00 | 0.00 | 12.31 | |||||||||||
| Sound Point Euro CLO III Funding DAC | Sound Point | Aug 10, 2023 | 2,786 | 13.83 | 22.01 | 2.80 | 0.00 | 0.00 | 11.64 | |||||||||||
| Sound Point Euro CLO IV Funding DAC | Sound Point | Aug 01, 2023 | 2,804 | 12.86 | 24.61 | 2.12 | 0.00 | 0.00 | 11.24 | |||||||||||
| St. Paul's CLO II DAC | Intermediate | Aug 10, 2023 | 3,024 | 9.04 | 32.72 | 5.94 | 0.89 | 0.00 | 9.83 | |||||||||||
| St. Paul's CLO IX DAC | Intermediate | Aug 08, 2023 | 3,019 | 10.13 | 28.84 | 6.17 | 1.15 | 0.00 | 11.76 | |||||||||||
| St. Paul's CLO VI DAC | Intermediate | Aug 09, 2023 | 3,025 | 10.31 | 32.38 | 5.71 | 1.02 | 0.00 | 11.44 | |||||||||||
| St. Paul's CLO VII DAC | Intermediate | Aug 08, 2023 | 3,007 | 9.93 | 31.67 | 5.21 | 1.00 | 0.00 | 9.13 | |||||||||||
| St. Paul's CLO X DAC | Intermediate | Aug 04, 2023 | 2,982 | 7.96 | 30.93 | 5.78 | 0.30 | 0.00 | 11.89 | |||||||||||
| St. Paul's CLO XII DAC | Intermediate | Aug 08, 2023 | 2,997 | 9.36 | 29.31 | 5.88 | 0.95 | 0.00 | 10.93 | |||||||||||
| Tikehau CLO III DAC | Tikehau | Jul 31, 2023 | 2,809 | 16.06 | 28.42 | 5.64 | 0.00 | 0.24 | 11.17 | |||||||||||
| Tikehau CLO IX DAC | Tikehau | Jul 31, 2023 | 2,832 | 8.94 | 22.35 | 2.37 | 0.00 | 0.00 | 10.31 | |||||||||||
| Tikehau CLO V DAC | Tikehau | Jul 31, 2023 | 2,830 | 10.74 | 25.37 | 4.34 | 0.00 | 0.23 | 9.97 | |||||||||||
| Tikehau CLO VII DAC | Tikehau | Jul 31, 2023 | 2,880 | 7.72 | 27.10 | 2.12 | 0.00 | 0.00 | 10.72 | |||||||||||
| Tikehau CLO VIII DAC | Tikehau | Jul 31, 2023 | 2,811 | 8.72 | 23.85 | 1.73 | 0.00 | 0.00 | 11.18 | |||||||||||
| Toro European CLO 2 DAC | Chenavari | Aug 15, 2023 | 2,808 | 14.98 | 12.98 | 6.53 | 1.32 | 0.00 | 9.76 | |||||||||||
| Toro European CLO 3 DAC | Chenavari | Aug 15, 2023 | 2,769 | 14.92 | 13.11 | 5.53 | 1.22 | 0.00 | 10.07 | |||||||||||
| Toro European CLO 5 DAC | Chenavari | Aug 15, 2023 | 2,839 | 14.69 | 23.43 | 6.33 | 0.64 | 0.00 | 10.84 | |||||||||||
| Toro European CLO 6 DAC | Chenavari | Aug 15, 2023 | 2,875 | 11.50 | 18.61 | 5.33 | 1.39 | 0.00 | 9.04 | |||||||||||
| Toro European CLO 7 DAC | Chenavari | Aug 02, 2023 | 2,819 | 12.01 | 19.21 | 3.17 | 1.27 | 0.00 | 11.31 | |||||||||||
| Toro European CLO 8 DAC | Chenavari | Aug 15, 2023 | 2,741 | 11.70 | 21.26 | 1.99 | 0.00 | 0.00 | 10.42 | |||||||||||
| Trinitas EURO CLO II DAC | WhiteStar | Aug 15, 2023 | 2,670 | 15.76 | 20.51 | 1.16 | 0.00 | 0.16 | 10.98 | |||||||||||
| Trinitas Euro CLO I DAC | WhiteStar | Aug 15, 2023 | 2,702 | 15.23 | 21.71 | 1.26 | 0.43 | 0.27 | 11.23 | |||||||||||
| Trinitas Euro CLO III DAC | WhiteStar | Aug 15, 2023 | 2,671 | 13.02 | 20.60 | 0.78 | 0.00 | 0.29 | 11.56 | |||||||||||
| Trinitas Euro CLO IV DAC | WhiteStar | Aug 02, 2023 | 2,651 | 14.33 | 21.17 | 0.67 | 0.00 | 0.26 | 9.56 | |||||||||||
| Tymon Park CLO DAC | Blackstone | Aug 15, 2023 | 2,847 | 11.21 | 24.84 | 3.48 | 0.51 | 0.94 | 12.07 | |||||||||||
| Vendome Funding CLO 2020-1 DAC | CELF | Aug 09, 2023 | 3,112 | 5.08 | 27.65 | 4.11 | 1.43 | 1.13 | 13.68 | |||||||||||
| Vesey Park CLO DAC | Blackstone | Aug 03, 2023 | 2,803 | 13.28 | 23.39 | 2.50 | 0.58 | 0.57 | 12.85 | |||||||||||
| Voya Euro CLO I DAC | Voya | Aug 10, 2023 | 2,816 | 14.17 | 28.15 | 4.48 | 0.12 | 0.48 | 12.58 | |||||||||||
| Voya Euro CLO III DAC | Voya | Aug 10, 2023 | 2,917 | 10.10 | 26.14 | 5.26 | 0.16 | 0.61 | 15.14 | |||||||||||
| Voya Euro CLO IV DAC | Voya | Aug 08, 2023 | 2,826 | 10.49 | 23.34 | 2.66 | 0.00 | 0.00 | 16.86 | |||||||||||
| Voya Euro CLO V DAC | Voya | Aug 03, 2023 | 2,820 | 9.54 | 22.54 | 2.05 | 0.00 | 0.00 | 16.20 | |||||||||||
| Voya Euro CLO VI DAC | Voya | Aug 18, 2023 | 2,819 | 7.49 | 20.98 | 0.87 | 0.00 | 0.00 | 13.19 | |||||||||||
| Note: All data is as of the date of the table. SPWARF--S&P Global Ratings' weighted-average rating factor. | ||||||||||||||||||||
Our EMEA CLO Collateral Managers Dashboard compares weekly European CLO data. This 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
Appendix
The scope: All our 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 our rated European CLOs on the rating or recovery action date. In most cases the rating action will be a change in the issuer credit rating (ICR), however under our 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. 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
As well as looking at the impact that downgrades and upgrades may have, we would also consider the impact of a CreditWatch placement (as described above), any placement which would mean we would run CDO Evaluator with an updated rating input will be classified as having an rating impact for CDO Evaluator.
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 provided 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 nonperforming 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 +33 144206767; john.finn@spglobal.com | |
| David Maman, Paris +33 1 4075 2518; david.maman@spglobal.com |
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