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CLO Pulse Q1 2024: High Leverage Affects Interest Coverage Ratios In European Obligors

European collateral loan obligations (CLOs) typically benefit from portfolio diversification, from both an issuer and a sector perspective. CLO managers maintain portfolios of leveraged loans that have an average exposure to 163 different corporate issuers operating across 39 different industry categories.

In this publication, we examine the aggregate asset quality held by European CLOs, observed through key credit metrics and consolidated by S&P Global Ratings' CLO industry sectors. Specifically, this edition of sector average metrics for European CLO assets focuses on loans issued by 633 corporate issuers, which represents over 95% of the assets under management (AUM) held in reinvesting European CLOs rated by S&P Global Ratings as reported up to Dec. 31, 2023, in the first quarter of 2024. We calculated the average metrics for all floating-rate assets with both an S&P Global Ratings' credit rating and an S&P Global Ratings' recovery rating (the S&P Global Ratings-rated CLO assets), weighted by the euro notional exposure to each asset.

European CLO Credit Stabilizes: Key Changes To Credit Metrics

Based on our review of fourth-quarter (Q4) 2023 data and comparing against Q3 2023, the average reinvesting European CLO portfolio rated by S&P Global Ratings exhibited the following changes:

  • S&P Global Ratings' weighted-average rating factor (SPWARF) increased marginally to 2,903 in Q4 2023 compared with 2,902 in Q3 2023. At the same time, underlying CLO loan prices continue to be stable, decreasing just slightly to 95.85 in Q4 2023 compared with 95.89 in Q3 2023 (see chart 1).
  • Cash flow pressures at the asset level have started mounting across sectors, combining weaker operating results in certain sectors (such as chemicals, health care services, and consumer goods) and higher cost of financing. Median EBITDA interest coverage for European CLO obligors has continued to decline to 2.7x. The average unstressed recovery rating is predominantly '3' (50%-70%), constituting 84% of CLO portfolio assets held.
  • Obligors on negative outlook, or on CreditWatch negative, continue to comprise 10% of the overall portfolio holdings, as downside risks on cash flow generation increased in Europe, driven by a combination of inflation-driven margin compression, softening demand in certain sectors, and rising interest rates.

Chart 1

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Delayed Deleveraging And Worsening Coverage Metrics

Highly leveraged issuers, needing to refinance their approaching maturities, face mounting uncertainties compared with those obligors in the same position over the past couple of years.

Median debt-to-EBITDA ratios for European obligors have remained broadly unchanged since the end of the pandemic at around 6x. However, interest coverage ratios have worsened significantly in the past 18 months to 2.7x from 3.6x in the first half of 2022. This is due to a number of factors, including continued high leverage, unwinding of pre-2022 hedges put in place due to expiry or refinancing, and persistent higher cost of financing due to higher underlying rates.

Non-financial Q1 2024 results point to resilience and a tentative recovery. However, certain sectors still remain operationally challenged, such as chemicals, telecoms, health care services, labor-intensive business services and industrials (see "Corporate Results Roundup Q1 2024: Recovery continues excluding commodity sectors but remains fragile and fragmented," published May 8, 2024).

Obligors struggling with higher leverage and fairly low interest coverage ratios of below 1.5x include TK Elevator Topco GmbH, Polaris Parent, LLC, and EG Group Ltd. Of these, TK Elevator has addressed its maturity wall through an amend and extend (A&E) this year. However, a downgrade from 'B' may ensue if operating under-performance and EBITDA margin weakness continues. Polaris Newco's liquidity curtailed as higher cost of debt weighs on cash flows and recovery remains uncertain. EG Group, though rated 'B-', is making attempts to kick-start deleveraging using debt repayment from asset sales.

Though asset sales can be a valid tool issuers use to deliver on deleveraging in a lackluster operating performance environment, there have been two instances involving high-profile issuers where that came part and parcel with priming risk.

Altice France S.A. has used its substantial basket of investments to remove valuable assets outside of the restricted group. As it pursues sales of these, it has signaled its reluctance to apply all proceeds to deleveraging. Though value arguably exists in the secured creditor restricted group for sufficient coverage of senior lenders, this may not be the case for the subordinated debt. No imminent triggers exist to precipitate an action by the owner, as creditors have pre-emptively engaged advisors as they realize they are beholden to the owner's benevolence.

Ardagh Holdco payment in kind (PIK) noteholders have been similarly primed as the company raised new financing, double-dipping into two separate collateral pools, particularly that of the 75% ownership in Ardagh Metals, from which the holding company lenders do not benefit.

Both situations are an illustration of the lack of creditor protection in loan documents, highlighting owner behavior as potentially a factor in recovery prospects. Perhaps these, in particular Altice France, would trigger a greater focus on enhancing protection against asset transfers by reducing investment capacity, minimizing or eliminating issuer ability to reclassify subsidiaries into unrestricted, tightening asset sale cash sweep application, and others. Patches to CLO terms in preventing "snooze-loose" terms, loan market association (LMA) loan agreement language, etc., have perhaps reached their limit and it is now time to turn to the real culprit, which is the boundless issuer-friendly flexibility in underlying loan documentation terms.

Chart 2

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The effect on European CLOs was similar with the weighted-average debt-to-EBITDA ratios relatively unchanged over the past 12 months, while the weighted-average interest coverage ratios have reduced to 2.6x from 3.6x in European CLO portfolios.

Chart 3

image

With refinancing and rating changes over the past couple of years, CLOs have been resilient with the affected notional amount per CLO low given the nature of the (as designed) well-diversified portfolios. The SPWARF has remained stable throughout, ranging only between 2879 and 2953 from the start of 2023 until the end of April 2024. The 'B' ratings moved to 43.27% of the average rating of assets in European CLO portfolios from 47.63%, 'B-' ratings moved to 26.28% from 23.87%, and nonperforming assets to 0.51% from 0.15%, which was offset by increases in 'B+' ratings and 'BBB-' ratings along with a steady decline in the 'CCC' category.

Average European CLO 'CCC' Exposure Increases

Average European CLO 'CCC' exposure decreased in Q4 2023 to 4.45% compared with 4.51% in Q3 2023. Over 22% of all European CLOs comprised on aggregate more than 7.5% exposure to 'CCC' rated obligors at the end of 2023 (see chart 4).

Chart 4

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This goes hand-in-hand with a small rise in CLO portfolio exposure to obligors on CreditWatch negative. To put this into context, however, average exposure levels to obligors on CreditWatch negative remain below 1% (see chart 5).

Chart 5

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Sector Averages Of Reinvesting European CLO Assets

Before diving deeper into the results of our analysis, it is worth highlighting the following caveats.

We calculated the average metrics for all floating-rate assets with both an S&P Global Ratings' credit rating and an S&P Global Ratings' recovery rating (the S&P Global Ratings-rated CLO assets), weighted by the euro notional exposure to each asset.

Our analysis of reinvesting European CLO portfolios at the end of each quarter exposure includes average values over time for key credit metrics (see table 1, as well as the Appendix for calculation specifics). Those metrics are:

  • Issuer count: The obligor count across all European CLO transactions.
  • SPWARF: The S&P Global Ratings' weighted-average rating factor for the CLO collateral, with a higher value indicating a lower average rating across transactions.
  • WARR: The weighted-average recovery rate for the loans in the portfolios, as implied by the corporate recovery rating we have assigned to each loan.
  • WAS: The weighted-average spread over Euro Interbank Offered Rate (EURIBOR) of the loans in each CLO portfolio.
  • WAP: The weighted-average price of the loans in each CLO portfolio based on market sources.

Table 1

Floating-rate European CLO assets with derived S&P Global Ratings' credit rating and recovery rating*
CLO (no.) Obligor count (no.) Asset count (no.) Debt count (no.) Asset amount (mil. €) SPWARF WARR (%) WAS (%) WAP On CreditWatch negative (%) Negative outlook (%)
Q1 2019 89 437 574 16,037 32,214 2,649 57.88 3.68 98.18 0.15 15.44
Q2 2019 89 451 602 17,211 32,723 2,628 57.97 3.71 98.39 0.13 17.96
Q3 2019 86 448 584 16,735 31,441 2,641 57.76 3.71 98.56 0.15 19.60
Q4 2019 93 449 593 78,798 34,568 2,677 57.56 3.77 98.30 1.02 20.68
Q1 2020 118 462 617 23,100 44,158 2,797 56.86 3.76 87.93 3.32 22.75
Q2 2020 133 460 609 26,383 49,168 2,931 56.64 3.77 93.30 6.80 40.77
Q3 2020 144 463 611 29,315 52,070 2,927 56.46 3.80 95.29 5.01 38.88
Q4 2020 161 671 980 37,943 61,690 2,893 55.96 3.82 97.99 3.10 35.22
Q1 2021 165 677 1,015 40,609 62,813 2,902 55.56 3.79 98.90 0.41 29.02
Q2 2021 170 679 991 42,276 66,776 2,891 55.23 3.76 99.13 0.42 19.23
Q3 2021 209 687 993 53,999 84,167 2,886 55.21 3.74 99.24 0.46 14.35
Q4 2021 226 695 1,011 59,561 92,612 2,870 55.11 3.72 99.12 0.24 12.08
Q1 2022 224 709 1,040 60,091 91,357 2,876 54.92 3.82 96.91 0.81 11.56
Q2 2022 225 698 1,001 63,121 91,147 2,870 55.08 3.85 92.41 0.65 11.06
Q3 2022 232 708 1,020 65,196 93,609 2,870 55.01 3.88 91.34 0.52 11.03
Q4 2022 243 703 1,031 66,966 97,758 2,897 55.24 3.92 91.13 0.34 10.31
Q1 2023 254 700 1,026 72,636 101,848 2,903 55.41 3.99 93.12 0.16 9.98
Q2 2023 269 709 1,055 77,403 107,492 2,884 55.47 4.02 94.30 0.28 9.27
Q3 2023 278 643 986 80,623 110,753 2,902 55.45 4.10 95.89 0.75 10.29
Q4 2023 285 633 975 81,520 114,133 2,903 55.71 4.16 95.85 0.11 9.82
*See the appendix for detailed explanations of these metrics. SPWARF--S&P Global Ratings weighted-average rating factor. WARR--Weighted-average recovery ratio. WAS--Weighted-average spread. WAP--Weighted-average price.

CLO Assets Weighted By Exposure

Weighted-average metrics

Our analysis focuses on a pool of loans issued by 633 corporate issuers, representing over 95% of the AUM currently held in reinvesting European CLOs that we rate. For each sector, we calculated the average metrics for all the assets that we rate, weighted by the euro notional exposure to each asset. These metrics include the SPWARF, WARR, WAS, and WAP (see table 1 and the Appendix).

Average metrics per industry

The corporate issuers operating within various industries have different credit profiles, and the loans they issue also have different characteristics. Using CLO exposures for these CLO assets, we calculated the average metrics described in the Appendix, weighted by par, across the various Global Industry Classification Standard (GICS) sectors.

Table 2

Floating-rate European CLO assets with derived S&P Global Ratings' credit and recovery ratings
Global Industry Classification Standard Sector Obligor count (no.) Asset amount (mil. €) Exposure (%) SPWARF WARR (%) WAS (%) WAP On CreditWatch negative (%) Outlook negative (%) Debt-to-EBITDA ratio EBITDA interest coverage
Health Care Providers And Services 40 9,601 8.41 3,133 54.14 4.02 95.22 - 18.84 7.70x 2.54x
Software 36 9,591 8.40 3,063 57.31 4.14 97.39 - 4.71 7.28x 2.24x
Diversified Telecommunication Services 34 7,834 6.86 2,603 54.31 3.77 91.58 - 5.27 5.85x 3.64x
Chemicals 39 7,090 6.21 2,587 59.56 4.25 94.49 1.65 17.08 6.59x 2.56x
Capital Markets 22 5,997 5.25 2,625 56.85 4.23 97.08 - 5.82 6.60x 2.70x
Diversified Consumer Services 16 5,047 4.42 2,916 55.75 3.94 98.67 - - 6.23x 3.03x
Hotels, Restaurants And Leisure 39 4,990 4.37 2,943 58.97 4.17 97.89 0.06 10.33 6.27x 2.97x
Pharmaceuticals 20 4,778 4.19 2,849 53.48 4.06 98.20 - 3.15 6.68x 3.05x
Food Products 23 4,253 3.73 2,844 53.83 3.95 95.75 - 9.47 7.16x 2.33x
Machinery 19 4,052 3.55 3,115 56.84 4.34 95.41 - 30.72 7.64x 2.40x
Professional Services 19 3,990 3.50 2,843 55.25 4.57 98.05 - 13.85 6.21x 2.60x
Specialty Retail 28 3,776 3.31 3,168 56.02 4.82 96.01 - - 6.45x 3.56x
Commercial Services And Supplies 29 3,627 3.18 2,596 54.84 4.57 94.14 - 6.19 6.52x 2.62x
Trading Companies And Distributors 16 3,226 2.83 2,640 51.46 4.35 96.64 - 2.19 5.93x 3.14x
IT Services 18 3,129 2.74 2,952 53.32 4.42 96.69 0.22 - 6.12x 2.74x
Building Products 9 2,539 2.22 3,044 55.84 3.89 93.60 - - 5.71x 3.91x
Household Durables 12 2,251 1.97 3,048 49.93 4.26 92.96 - 31.81 7.60x 2.40x
Media 13 2,178 1.91 4,134 62.55 4.10 94.81 - - 8.30x 2.41x
Construction And Engineering 10 2,160 1.89 2,922 53.31 4.21 97.61 - - 5.81x 2.88x
Food And Staples Retailing 12 2,092 1.83 3,651 59.46 3.99 92.71 - - 8.31x 2.67x
Health Care Equipment And Supplies 10 1,832 1.61 3,501 50.37 4.27 95.79 - 6.47 9.41x 1.67x
Personal Products 9 1,769 1.55 2,948 58.77 4.17 97.80 - 1.36 7.40x 2.51x
Containers And Packaging 22 1,601 1.40 3,019 43.30 4.82 94.79 - 10.51 6.74x 2.99x
Entertainment 10 1,356 1.19 2,855 60.03 4.03 92.85 - - 5.81x 3.09x
Auto Components 16 1,345 1.18 2,400 59.63 3.78 96.61 - - 4.77x 3.50x
Real Estate Management And Development 11 1,294 1.13 2,903 51.54 3.67 93.25 - 61.58 8.46x 2.74x
Paper And Forest Products 7 1,161 1.02 2,880 46.58 4.61 93.58 - 52.94 7.47x 2.56x
Construction Materials 5 1,044 0.91 2,847 57.95 4.37 95.06 - 40.79 6.66x 2.64x
Multiline Retail 3 1,024 0.90 1,235 60.13 3.61 99.66 - 2.52 2.77x 8.84x
Life Sciences Tools And Services 7 1,005 0.88 2,726 59.78 4.00 98.03 - - 7.23x 2.77x
Insurance 3 1,003 0.88 2,860 56.21 3.52 98.79 - - 6.75x 2.82x
Interactive Media And Services 5 975 0.85 2,788 59.59 4.31 98.52 - - 6.93x 2.61x
Textiles, Apparel And Luxury Goods 8 878 0.77 2,665 56.99 4.12 96.94 - - 4.64x 4.39x
Leisure Products 2 605 0.53 2,661 61.17 4.63 95.32 - 25.54 3.36x 3.24x
Aerospace And Defense 5 604 0.53 3,509 58.71 3.67 96.09 - 27.66 11.57x 1.80x
Health Care Technology 1 536 0.47 3,610 65.00 4.02 95.85 - - 8.68x 1.25x
Biotechnology 3 441 0.39 3,028 58.18 3.54 98.69 - - 6.97x 2.56x
Consumer Finance 4 429 0.38 2,613 51.60 4.82 98.61 - 48.42 9.80x 1.69x
Metals And Mining 3 416 0.36 2,855 43.64 3.52 94.26 - - 6.00x 3.13x
Electronic Equipment, Instruments And Components 3 402 0.35 2,794 55.94 3.46 96.90 - - 6.96x 2.80x
Distributors 4 369 0.32 2,215 62.16 4.28 95.46 - - 6.30x 2.33x
Marine 4 362 0.32 4,053 50.00 4.49 88.49 - 97.17 8.29x 2.68x
Wireless Telecommunication Services 3 334 0.29 1,985 55.00 4.32 96.02 - - 5.02x 4.61x
Transportation Infrastructure 3 232 0.20 1,512 46.82 3.75 96.35 - - 0.00x 0.00x
Beverages 2 206 0.18 3,535 59.31 4.75 90.57 - - 7.41x 1.75x
Energy Equipment and Services 4 169 0.15 2,829 56.94 4.25 98.54 - - 4.38 5.71
Semiconductors And Semiconductor Equipment 2 112 0.10 1,268 51.54 3.00 100.02 - 10.26 3.35x 3.46x
Household Products 2 89 0.08 1,982 32.90 2.88 92.65 - - 4.38x 5.90x
Air Freight And Logistics 2 88 0.08 2,557 40.00 6.75 97.11 - - 5.00x 2.11x
Automobiles 4 85 0.07 1,179 84.59 3.00 98.32 - - 1.14 10.79
Electrical Equipment 1 40 0.04 3,610 55.00 4.50 96.24 - - 5.90x 2.31x
Airlines 4 39 0.03 918 65.00 - 94.44 - - 3.08x 5.26x
Oil, Gas And Consumable Fuels 1 25 0.02 1,982 - - 84.58 - - - -
Project Leisure and Gaming 1 24 0.02 2,860 20.00 - 95.71 - - 0.00x 0.00x
Industrial Conglomerates 1 20 0.02 3,610 55.00 3.50 94.07 - 100.00 14.19x 0.97x
Equity Real Estate Investment Trusts (REITS) 1 9 0.01 4,641 65.00 - 53.81 - 100.00 19.25 1.97
Multi-Utilities 1 5 0.00 540 - - 78.59 - - - -
Road and Rail 1 4 0.00 1,982 80.00 - 95.85 - - - -
Electric Utilities 1 3 0.00 5,751 - - 101.72 - - 0.00x 0.00x
SPWARF--S&P Global Ratings' weighted-average rating factor. WARR--Weighted-average recovery ratio. WAS--Weighted-average spread. WAP--Weighted-average price.
Ratings bias per GICS sector

At the end of Q4 2023, 9.93% of S&P Global Ratings-rated CLO assets had a negative rating bias (i.e., ratings from issuers with a negative outlook, or on CreditWatch negative), down from 11.04% at the end of Q3 2023. We also examined the breakdown between negative bias, positive bias, and stable for 24 GICS sectors, each weighted by euro notional exposure (see chart 4). The bias breakdown per GICS sector can be sensitive to the rating bias of the issuers with higher CLO exposure, particularly the GICS sectors with fewer obligors.

image

European CLO key metrics

Our "Weekly European CLO Update," covers all currently S&P Global Ratings' rated European CLOs, including those that are in their reinvestment period. We refresh the rating actions and benchmarks weekly to provide an update of the European CLO market.

Our EMEA CLO Collateral Managers 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

Appendix

The scope: S&P Global Ratings-rated CLO assets, representing 95% of AUM in reinvesting European CLOs

The information is based on the aggregation of CLO exposures to corporate issuers as reported in the Q4 2023 trustee reports of reinvesting European CLOs.

S&P Global Ratings' corporate group issues and maintains credit ratings for most companies that issue the loans held in CLOs. As part of our credit rating process, we capture various ratios of the issuer at the time of the rating. We also issue and maintain recovery ratings for most loans held in CLOs.

Almost all the companies that issue loans held in European CLOs are classified within the GICS. These industry classifications are utilized within the CDO Evaluator credit model, which we use as part of our rating process for CLOs.

We aggregate CLO exposures reported in trustee reports available as of the end of Q4 2023 and calculate various metrics, weighted by the outstanding par amount of exposures and stratified by the GICS classification of the issuer of the loans. Our analysis focuses on those assets with an S&P Global Ratings' credit rating and an S&P Global Ratings' recovery rating. These CLO assets were issued by 633 corporate issuers operating across various GICS industries and represent over 95% of the total par of the CLOs aggregated in this Q4 2023 update. We used the credit rating, recovery rating, spread, price, and leverage ratio values of these floating-rate CLO assets to calculate the averages outlined in tables 1 and 2.

The seven metrics we use in our analysis are listed below.

Weighted-average life (WAL)

For a subset of assets, the WAL is the sum product of each asset's term to maturity and the asset's par exposure as a percentage of the sum of the par of the subset of assets.

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

The SPWARF of a CLO portfolio provides an indication of the portfolio's overall credit rating distribution, 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 'CC', 'SD', or 'D' rating, 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.

Weighted-average recovery rate (WARR)

For a subset of assets with an S&P Global Ratings' recovery rating, the WARR is the sum product of each asset's recovery rate (the number within parenthesis to the right of the recovery rating) and the asset's par exposure as a percentage of the sum of the par of the subset of assets. For more details on S&P Global Ratings' recovery ratings, see "Recovery Rating Criteria For Speculative-Grade Corporate Issuers," published Dec. 7, 2016.

Weighted-average spread (WAS)

For a subset of floating-rate assets, the WAS is the sum product of each asset's nominal spread above the base rate and the asset's par exposure as a percentage of the sum of the par of the subset of assets.

Weighted-average price (WAP)

For a subset of assets with loan prices, the WAP is the sum product of each asset's price at the end of the quarter and the asset's par exposure as a percentage of the sum of the par of the subset of assets. Where we have no loan price, we assumed par at 100.

On CreditWatch negative

For those assets with a rating on CreditWatch negative, the CreditWatch negative percentage of assets is a proportion of the total CLO par amount considered in this analysis. This is also split per GICS sector (see table 2) as a total sum of the par of CLO GICS sector assets.

With a 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. This is also split per GICS sector (see table 2) as a total sum of the par of CLO GICS sector assets.

Debt-to-EBITDA ratio

The leverage is based on our debt and EBITDA assumptions used in our rating analysis:

  • Debt: For the purpose of debt, we include items such as leases (both capital and operating), preferred shares (if deemed as debt-like), and accrued dividends.
  • EBITDA: Our analysis generally adheres to what EBITDA stands for (earnings before interest, taxes, depreciation, and amortization). That is, revenue minus operating expenses plus depreciation and amortization, including noncurrent asset impairment and asset reversal.

Beyond that definition, our decision to include or exclude an activity from EBITDA depends on whether we consider that activity to be operating (e.g., acquisition-related or restructuring costs) or nonoperating (e.g., asset impairment or non-recurring items).

We generally calculate a company's credit ratios based on a three-year weighted average: the previous one year's results, our current-year forecast (incorporating any reported year-to-date results and our estimates for the remainder of the fiscal year), and our forecast for the next fiscal year. We apply weights to the core and supplemental ratios for the respective years to get to one final ratio for each metric. The length of the time series applied is dependent on the relative credit risk of the company and other qualitative factors, and the weighting of the time series varies according to transformational events.

For a subset of floating-rate assets, the debt-to-EBITDA ratio is the sum product of each asset's obligor nominal debt-to-EBITDA ratio and the asset's par exposure as a percentage of the sum of the par of the subset of assets.

Interest coverage ratio

For entities with weaker leverage assessments, interest coverage ratios can also shed light into the issuer's ability to service its debt.

We use the EBITDA value, as described above, divided by the carrying cost, or interest burden of the issuer's debt.

For a subset of floating-rate assets, the EBITDA interest coverage ratio is the sum product of each asset's obligor nominal EBITDA interest coverage and the asset's par exposure as a percentage of the sum of the par of the subset of assets.

Data coverage of the floating S&P Global Ratings-rated CLO assets listed in tables 1 and 2

Because we focus only on S&P Global Ratings-rated CLO assets (which represent over 95% of the overall AUM in the sample), by definition, we have full coverage of the data used to calculate the SPWARF, WARR, and WAS in tables 1 and 2. Credit ratings, recovery ratings, and spread information for all loans issued by the 633 issuers are as of Dec. 31, 2023, and each quarter-end in table 1.

Due to various data source limitations, we had inadequate coverage of the price and leverage ratios for all the loans issued from all issuers. We were able to source pricing information for 99% of the loans and corporate leverage ratio information for 93% of the loans.

This report does not constitute a rating action.

Primary Credit Analysts:Sandeep Chana, London + 44 20 7176 3923;
sandeep.chana@spglobal.com
Marta Stojanova, London + 44 20 7176 0476;
marta.stojanova@spglobal.com
Shane Ryan, London + 44 20 7176 3461;
shane.ryan@spglobal.com
John Finn, Paris +33 144206767;
john.finn@spglobal.com
Nicole Guido, London +44 2071760468;
nicole.guido@spglobal.com

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