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* | |||||||||
| Jul 15, 2024 | Delachaux S.A. | EUR770 mil fltg rate term Facility B bank ln due 04/16/2029 | 170 | 376,331,913 | B+/Stable | B/Stable | Yes | |||||||||
| Jul 15, 2024 | Teamsystem Spa | EUR850 mil fltg rate callable nts due 02/15/2028 | 134 | 274,889,000 | B-/Positive | B-/Stable | No | |||||||||
| Jul 15, 2024 | Teamsystem Spa | EUR300 mil 3.50% callable nts due 02/15/2028 | 42 | 44,398,000 | B-/Positive | B-/Stable | No | |||||||||
| Jul 12, 2024 | Intrum Ab (Publ) | EUR800 mil 3.50% callable nts due 07/15/2026 | 23 | 17,028,000 | CC/Negative | CCC/Negative | Yes | |||||||||
| Jul 12, 2024 | Intrum Ab (Publ) | EUR850 mil 3.00% nts due 09/15/2027 | 55 | 63,746,000 | CC/Negative | CCC/Negative | Yes | |||||||||
| Jul 12, 2024 | Intrum Ab (Publ) | EUR850 mil 4.875% Callable nts due 08/15/2025 | 12 | 15,870,000 | CC/Negative | CCC/Negative | Yes | |||||||||
| Jul 12, 2024 | Intrum Ab (Publ) | EUR450 mil 9.25% callable nts due 03/15/2028 | 15 | 16,804,000 | CC/Negative | CCC/Negative | Yes | |||||||||
| Jul 09, 2024 | Garfunkelux Holdco 3 S.A. | GBP440 mil 7.75% nts due 11/01/2025 | 1 | 1,447,375 | CCC+/Negative | B/Negative | Yes | |||||||||
| Jul 09, 2024 | Garfunkelux Holdco 3 S.A. | EUR630 mil fltg rate callable nts due 05/01/2026 | 94 | 225,763,000 | CCC+/Negative | B/Negative | Yes | |||||||||
| Jul 09, 2024 | Garfunkelux Holdco 3 S.A. | EUR795 mil 6.75% callable nts due 11/01/2025 | 43 | 63,139,000 | CCC+/Negative | B/Negative | Yes | |||||||||
| Jul 09, 2024 | Telecom Italia Spa | EUR1 bil 3.00% med-term nts due 09/30/2025 | 1 | 1,500,000 | BB/Stable | B+/Watch Pos | Yes | |||||||||
| Jul 09, 2024 | Telecom Italia Spa | EUR1 bil 1.625% callable med-term nts ser 44 due 01/18/2029 | 7 | 12,000,000 | BB/Stable | B+/Watch Pos | Yes | |||||||||
| Jul 09, 2024 | Telecom Italia Spa | EUR500 mil 1.625% nts due 01/18/2029 | 3 | 6,000,000 | BB/Stable | B+/Watch Pos | Yes | |||||||||
| Jul 09, 2024 | Telecom Italia Spa | EUR322 mil 3.625% nts due 05/25/2026 | 1 | 3,350,000 | BB/Stable | B+/Watch Pos | Yes | |||||||||
| Jul 05, 2024 | Sig Plc | EUR300 mil 5.25% Callable nts due 11/30/2026 | 51 | 92,678,000 | B/Stable | B+/Stable | Yes | |||||||||
| Jul 04, 2024 | Samhallsbyggnadsbolaget I Norden Ab (Publ) | EUR500 mil 1.75% nts due 01/14/2025 | 5 | 7,613,000 | SD | CCC/Negative | Yes | |||||||||
| Jul 04, 2024 | Sbb Treasury Oyj | EUR700 mil 0.75% med-term nts ser 23 due 12/14/2028 | 4 | 5,745,000 | SD | CCC/Negative | Yes | |||||||||
| Jul 04, 2024 | Sbb Treasury Oyj | EUR750 mil 1.125% callable Social med-term nts ser 27 due 11/26/2029 | 5 | 5,072,000 | SD | CCC/Negative | Yes | |||||||||
| Jul 02, 2024 | Mangrove Luxco Iii Sarl | EUR356.233 mil 7.775% nts due 10/09/2025 | 18 | 25,966,963 | B/Stable | B-/Negative | Yes | |||||||||
| Jul 02, 2024 | Del Monte Foods, Inc. | US$725 mil fltg rate 1st lien term B bank ln due 05/16/2029 | 1 | 587,523 | CCC-/Negative | CCC+/Watch Neg | Yes | |||||||||
| Jun 27, 2024 | Ani Pharmaceuticals, Inc. | US$300 mil fltg rate term loan B bank ln due 11/2027 | 2 | 2,732,453 | BB-/Stable | B+/Positive | Yes | |||||||||
| Jun 26, 2024 | Carnival Corp. | EUR600 mil 1.00% nts due 10/28/2029 | 50 | 133,527,000 | BB/Stable | BB-/Stable | Yes | |||||||||
| Jun 26, 2024 | Carnival Corp. | EUR500 mil sr nts due 2030 | 13 | 13,150,000 | BB/Stable | BB-/Stable | Yes | |||||||||
| Jun 26, 2024 | Hse Finance S.A.R.L. | EUR380 mil 5.625% callable nts due 10/15/2026 | 37 | 39,754,000 | CCC+/Stable | B-/Stable | Yes | |||||||||
| Jun 26, 2024 | Hse Finance S.A.R.L. | EUR250 mil fltg rate Callable nts due 10/15/2026 | 40 | 80,060,000 | CCC+/Stable | B-/Stable | Yes | |||||||||
| Jun 26, 2024 | Pro.Gest Spa | EUR250 mil 3.25% nts due 12/15/2024 | 3 | 9,200,000 | SD | CCC/Negative | Yes | |||||||||
| Jun 24, 2024 | Birkenstock Group Bv | EUR375 mil fltg rate Term B bank ln due 04/28/2028 | 70 | 126,735,000 | BB/Positive | BB-/Stable | Yes | |||||||||
| Jun 24, 2024 | Intrum Ab (Publ) | EUR800 mil 3.50% callable nts due 07/15/2026 | 24 | 18,062,000 | CCC/Negative | B/Watch Neg | Yes | |||||||||
| Jun 24, 2024 | Intrum Ab (Publ) | EUR850 mil 3.00% nts due 09/15/2027 | 59 | 66,453,000 | CCC/Negative | B/Watch Neg | Yes | |||||||||
| Jun 24, 2024 | Intrum Ab (Publ) | EUR850 mil 4.875% Callable nts due 08/15/2025 | 14 | 19,225,000 | CCC/Negative | B/Watch Neg | Yes | |||||||||
| Jun 24, 2024 | Intrum Ab (Publ) | EUR450 mil 9.25% callable nts due 03/15/2028 | 15 | 16,804,000 | CCC/Negative | B/Watch Neg | Yes | |||||||||
| Jun 24, 2024 | Birkenstock Financing S.A.R.L. | EUR430 mil 5.25% callable nts due 04/30/2029 | 2 | 1,500,000 | BB/Positive | BB-/Stable | Yes | |||||||||
| Jun 24, 2024 | Adler Group S.A. | EUR400 mil 6.00% Callable third-lien nts due 08/05/2025 | 2 | 6,100,000 | SD | CCC-/Negative | Yes | |||||||||
| Jun 24, 2024 | International Consolidated Airlines Group, S.A. | EUR500 mil 1.50% bnds ser B due 07/04/2027 | 9 | 13,100,000 | BBB-/Positive | BBB-/Stable | No | |||||||||
| Jun 24, 2024 | International Consolidated Airlines Group, S.A. | EUR700 mil 3.75% callable bnds ser B due 03/25/2029 | 7 | 5,800,000 | BBB-/Positive | BBB-/Stable | No | |||||||||
| Jun 24, 2024 | International Consolidated Airlines Group, S.A. | EUR500 mil 2.75% callable bnds ser A due 03/25/2025 | 6 | 6,300,000 | BBB-/Positive | BBB-/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 | ||||||||
| Jul 19, 2024 | Indicor, Llc | EUR300 mil 1st lien term bank ln due 11/22/2029 | 73 | 154,947,479.05 | NR | 3(60%) | ||||||||
| Jul 16, 2024 | Qualtek Llc | US$104.961 mil 2nd lien term bank ln due 2027 | 2 | 378,287.92 | NR | 6(0%) | ||||||||
| Jul 16, 2024 | Qualtek Llc | US$135.047 mil term bank ln due 2025 | 2 | 477,850.72 | NR | 3(50%) | ||||||||
| Jul 15, 2024 | Delachaux S.A. | EUR770 mil fltg rate term Facility B bank ln due 04/16/2029 | 170 | 376,331,912.90 | 3(55%) | 3(50%) | ||||||||
| Jul 15, 2024 | Teamsystem Spa | EUR850 mil fltg rate callable nts due 02/15/2028 | 134 | 274,889,000.00 | 3(50%) | 3(55%) | ||||||||
| Jul 15, 2024 | Teamsystem Spa | EUR300 mil 3.50% callable nts due 02/15/2028 | 42 | 44,398,000.00 | 3(50%) | 3(55%) | ||||||||
| Jul 15, 2024 | Telecom Italia Spa | EUR322 mil 3.625% nts due 05/25/2026 | 1 | 3,350,000.00 | 3(65%) | 3(50%) | ||||||||
| Jul 15, 2024 | Telecom Italia Spa | EUR500 mil 1.625% nts due 01/18/2029 | 5 | 10,000,000.00 | 3(65%) | 3(50%) | ||||||||
| Jul 12, 2024 | Deerfield Dakota Holding Llc | EUR395 mil fltg rate 1st lien term bank ln due 04/09/2027 | 89 | 218,334,904.40 | 3(55%) | 3(60%) | ||||||||
| Jul 12, 2024 | Dlg Acquisitions Ltd. | EUR405 mil Term C bank ln due 05/15/2026 | 23 | 49,632,000.00 | NR | 3(55%) | ||||||||
| Jul 11, 2024 | Garrett Lx I S.A.R.L | EUR450 mil fltg rate TLB bank ln due 04/30/2028 | 79 | 156,883,184.24 | 1(90%) | 2(85%) | ||||||||
| Jul 11, 2024 | Flint Group Midco Limited | EUR63.338 mil var rate bank ln due 06/30/2026 | 9 | 2,066,035.65 | NR | 1(95%) | ||||||||
| Jul 10, 2024 | Ramudden Global (Group) Gmbh | EUR785 mil fltg rate term B bank ln due 09/10/2026 | 132 | 355,521,067.20 | 3(60%) | 3(55%) | ||||||||
| Jul 10, 2024 | Contourglobal Power Holdings S.A. | EUR300 mil 3.125% callable nts due 01/01/2028 | 2 | 3,500,000.00 | 4(40%) | 2(80%) | ||||||||
| Jul 08, 2024 | House Of Hr Group B.V. | EUR1.17 bil fltg rate term B bank ln due 10/30/2029 | 170 | 430,400,727.35 | NR | 3(60%) | ||||||||
| Jul 08, 2024 | Manuchar Group B.V. | EUR350 mil 7.25% callable nts due 06/30/2027 | 6 | 19,624,000.00 | 4(40%) | 3(60%) | ||||||||
| Jul 08, 2024 | Ads Tactical Inc. | US$475 mil fltg rate term B bank ln due 03/19/2026 | 2 | 1,572,908.96 | NR | 3(50%) | ||||||||
| Jul 08, 2024 | J&J Ventures Gaming, Llc | US$648 mil fltg rate term bank ln due 04/26/2028 | 1 | 506,285.97 | 3(50%) | 3(55%) | ||||||||
| Jul 08, 2024 | Prestigebidco Gmbh | EUR400 mil fltg rate Callable nts due 07/15/2027 | 42 | 99,551,000.00 | NR | 3(65%) | ||||||||
| Jul 05, 2024 | Sig Plc | EUR300 mil 5.25% Callable nts due 11/30/2026 | 51 | 92,678,000.00 | 3(55%) | 3(60%) | ||||||||
| Jul 03, 2024 | Centrient Holding B.V. | EUR515 mil fltg rate Facility B bank ln due 10/01/2025 | 30 | 101,159,888.88 | NR | 3(55%) | ||||||||
| Jul 03, 2024 | Kongsberg Actuation Systems Bv | EUR275 mil 5.00% nts due 07/15/2025 | 15 | 18,141,090.46 | NR | 2(75%) | ||||||||
| Jun 26, 2024 | Suse S.A. | EUR550 mil fltg rate TL B4 bank ln due 11/07/2030 | 132 | 253,112,908.84 | NR | 3(65%) | ||||||||
| Jun 26, 2024 | Hse Finance S.A.R.L. | EUR250 mil fltg rate Callable nts due 10/15/2026 | 40 | 80,060,000.00 | 4(40%) | 3(50%) | ||||||||
| Jun 26, 2024 | Hse Finance S.A.R.L. | EUR380 mil 5.625% callable nts due 10/15/2026 | 37 | 39,754,000.00 | 4(40%) | 3(50%) | ||||||||
| Jun 26, 2024 | Spectrum Brands Inc. | EUR425 mil 4.00% sr nts due 10/01/2026 | 2 | 2,000,000.00 | 3(55%) | 3(50%) | ||||||||
| 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 100 basis points difference between the result and test | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CLO | Latest report date | Test type | Test name | Result | Test | Difference | Pass/fail | |||||||||
| Accunia European CLO II DAC | May 31, 2024 | OC | Class F Par Value Test | 102.72% | 104.63% | -1.91% | Fail | |||||||||
| Man GLG Euro CLO III DAC | Jun 10, 2024 | OC | Class F Par Value Test | 102.55% | 103.50% | -0.95% | Fail | |||||||||
| Bain Capital Euro CLO 2017-1 DAC | Jun 06, 2024 | OC | Class F Par Value Test | 102.89% | 103.53% | -0.64% | Fail | |||||||||
| GLG Euro CLO IV DAC | Jun 10, 2024 | OC | Class F Par Value Test | 103.79% | 104.00% | -0.21% | Fail | |||||||||
| Carlyle Euro CLO 2017-3 DAC | Jun 20, 2024 | OC | Class E Par Value Test | 104.87% | 104.10% | 0.77% | Pass | |||||||||
| Dryden 29 Euro CLO 2013 DAC | May 31, 2024 | OC | Class F Principal Coverage Test | 104.37% | 103.49% | 0.88% | Pass | |||||||||
| Bp--Basis point. IC--Interest coverage. OC--Overcollateralization. | ||||||||||||||||
Chart 1
Chart 2
Table 4
| European CLOs Snapshot as of July 19, 2024 | ||||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| CLO | Collateral manager | Latest report date | SPWARF | 'BB-' and above (%) | 'B-' (%) | 'CCC' category | Nonperforming category (%) | CreditWatch negative (%) | Negative outlook (%) | |||||||||||||
| AB Carval Euro CLO I-C DAC | CarVal | Jun 10, 2024 | 2,738 | 15.29 | 27.38 | 0.59 | 0.00 | 0.00 | 13.08 | |||||||||||||
| Accunia European CLO II DAC | Accunia | May 31, 2024 | 3,295 | 9.75 | 30.51 | 17.32 | 0.00 | 0.60 | 7.34 | |||||||||||||
| Accunia European CLO IV DAC | Accunia | May 31, 2024 | 3,126 | 9.44 | 30.81 | 7.63 | 1.50 | 0.00 | 12.44 | |||||||||||||
| Adagio IV CLO DAC | AXA | Apr 03, 2024 | 2,832 | 15.54 | 24.88 | 6.22 | 0.00 | 0.00 | 17.35 | |||||||||||||
| Adagio VI CLO DAC | AXA | May 20, 2024 | 2,923 | 16.98 | 27.80 | 8.18 | 0.00 | 0.41 | 18.75 | |||||||||||||
| Adagio X EUR CLO DAC | AXA | May 20, 2024 | 2,885 | 12.04 | 27.72 | 4.16 | 0.00 | 0.30 | 20.13 | |||||||||||||
| AlbaCore Euro CLO I DAC | AlbaCore | May 07, 2024 | 2,863 | 12.97 | 27.36 | 3.42 | 0.77 | 0.75 | 12.36 | |||||||||||||
| AlbaCore Euro CLO II DAC | AlbaCore | Jun 05, 2024 | 2,817 | 14.35 | 25.79 | 3.10 | 0.77 | 0.50 | 13.07 | |||||||||||||
| AlbaCore Euro CLO III DAC | AlbaCore | Jun 05, 2024 | 2,819 | 13.31 | 25.93 | 2.34 | 0.78 | 0.00 | 12.85 | |||||||||||||
| AlbaCore Euro CLO IV DAC | AlbaCore | Jun 17, 2024 | 2,827 | 12.69 | 25.87 | 2.27 | 0.60 | 0.00 | 13.73 | |||||||||||||
| AlbaCore Euro CLO VI DAC | AlbaCore | Jun 07, 2024 | 2,867 | 9.03 | 29.80 | 1.25 | 0.00 | 0.00 | 13.69 | |||||||||||||
| Albacore Euro CLO V DAC | AlbaCore | May 15, 2024 | 2,782 | 13.82 | 27.26 | 1.68 | 0.00 | 0.56 | 13.70 | |||||||||||||
| Anchorage Capital Europe CLO 2 DAC | Anchorage | Jun 05, 2024 | 2,887 | 9.77 | 25.42 | 3.37 | 0.93 | 0.48 | 8.74 | |||||||||||||
| Anchorage Capital Europe CLO 2021-4 DAC | Anchorage | Jun 12, 2024 | 2,842 | 9.92 | 25.37 | 3.28 | 0.37 | 0.47 | 8.36 | |||||||||||||
| Anchorage Capital Europe CLO 3 DAC | Anchorage | May 10, 2024 | 2,930 | 11.77 | 23.83 | 3.93 | 1.85 | 0.48 | 9.59 | |||||||||||||
| Anchorage Capital Europe CLO 6 DAC | Anchorage | Jun 11, 2024 | 2,849 | 9.91 | 25.78 | 3.17 | 0.39 | 0.50 | 8.82 | |||||||||||||
| Anchorage Capital Europe CLO 8 DAC | Anchorage | May 02, 2024 | 2,953 | 9.79 | 25.77 | 4.11 | 1.52 | 0.48 | 9.23 | |||||||||||||
| Aqueduct European CLO 1-2017 DAC | HPS | May 31, 2024 | 2,836 | 17.20 | 25.21 | 7.80 | 0.00 | 0.00 | 16.48 | |||||||||||||
| Aqueduct European CLO 5-2020 DAC | HPS | May 08, 2024 | 2,797 | 13.89 | 24.27 | 4.54 | 0.00 | 0.31 | 13.80 | |||||||||||||
| Aqueduct European CLO 6-2021 DAC | HPS | May 31, 2024 | 2,884 | 10.25 | 27.90 | 3.72 | 0.00 | 0.00 | 12.36 | |||||||||||||
| Aqueduct European CLO 7-2022 DAC | HPS | Jun 05, 2024 | 2,850 | 10.79 | 29.97 | 1.35 | 0.00 | 0.00 | 11.04 | |||||||||||||
| Arbour CLO II DAC | Oaktree | May 31, 2024 | 2,838 | 17.07 | 24.77 | 4.11 | 1.21 | 0.00 | 18.02 | |||||||||||||
| Arbour CLO III DAC | Oaktree | Apr 30, 2024 | 2,859 | 14.06 | 23.83 | 4.19 | 1.31 | 0.00 | 17.73 | |||||||||||||
| Arbour CLO IV DAC | Oaktree | Apr 30, 2024 | 2,872 | 16.04 | 26.00 | 4.06 | 1.21 | 0.00 | 17.71 | |||||||||||||
| Arbour CLO IX DAC | Oaktree | Apr 30, 2024 | 2,811 | 14.77 | 24.62 | 4.39 | 0.50 | 0.00 | 18.99 | |||||||||||||
| Arbour CLO VII DAC | Oaktree | May 31, 2024 | 2,886 | 12.82 | 28.06 | 4.41 | 0.53 | 0.00 | 17.55 | |||||||||||||
| Arbour CLO XII DAC | Oaktree | May 31, 2024 | 2,797 | 11.57 | 28.46 | 1.39 | 0.00 | 0.00 | 14.30 | |||||||||||||
| Ares European CLO IX DAC | Ares | May 07, 2024 | 3,144 | 12.69 | 24.59 | 11.14 | 2.32 | 0.41 | 19.60 | |||||||||||||
| Ares European CLO VI DAC | Ares | Jun 12, 2024 | 2,711 | 27.95 | 15.76 | 8.26 | 1.60 | 0.47 | 21.46 | |||||||||||||
| Ares European CLO VII DAC | Ares | Jun 12, 2024 | 3,069 | 14.63 | 27.66 | 10.40 | 2.07 | 0.39 | 17.35 | |||||||||||||
| Ares European CLO VIII DAC | Ares | Jun 06, 2024 | 3,041 | 6.39 | 25.58 | 6.01 | 1.15 | 0.00 | 18.61 | |||||||||||||
| Ares European CLO XIII DAC | Ares | Jun 06, 2024 | 3,055 | 7.43 | 27.36 | 5.92 | 1.12 | 0.26 | 16.09 | |||||||||||||
| Ares European CLO XIV DAC | Ares | Jun 06, 2024 | 3,036 | 8.52 | 27.24 | 8.07 | 0.44 | 0.37 | 20.30 | |||||||||||||
| Ares European CLO XVII DAC | Ares | May 13, 2024 | 2,935 | 3.70 | 28.02 | 1.21 | 0.00 | 0.00 | 14.73 | |||||||||||||
| Arini European CLO I DAC | Squarepoint | May 31, 2024 | 2,820 | 12.64 | 16.44 | 4.19 | 0.99 | 0.00 | 10.80 | |||||||||||||
| Armada Euro CLO I DAC | Brigade | May 15, 2024 | 2,719 | 13.81 | 19.70 | 4.17 | 0.00 | 0.00 | 15.69 | |||||||||||||
| Armada Euro CLO IV DAC | Brigade | Jun 17, 2024 | 2,767 | 14.02 | 21.57 | 4.96 | 0.00 | 0.08 | 17.73 | |||||||||||||
| Armada Euro CLO V DAC | Brigade | May 15, 2024 | 2,761 | 10.71 | 19.42 | 4.44 | 0.00 | 1.17 | 18.18 | |||||||||||||
| Aurium CLO I DAC | Spire | May 31, 2024 | 2,829 | 13.94 | 24.27 | 4.64 | 0.00 | 0.00 | 15.20 | |||||||||||||
| Aurium CLO II DAC | Spire | Apr 30, 2024 | 2,800 | 17.32 | 23.89 | 5.36 | 0.00 | 0.29 | 12.35 | |||||||||||||
| Aurium CLO III DAC | Spire | May 31, 2024 | 2,630 | 26.19 | 23.30 | 6.23 | 0.00 | 0.23 | 16.30 | |||||||||||||
| Aurium CLO IV DAC | Spire | May 31, 2024 | 2,738 | 20.01 | 22.35 | 5.35 | 0.00 | 0.14 | 16.13 | |||||||||||||
| Aurium CLO IX DAC | Spire | May 31, 2024 | 2,807 | 13.53 | 24.04 | 2.83 | 0.00 | 0.00 | 13.02 | |||||||||||||
| Aurium CLO V DAC | Spire | May 07, 2024 | 2,782 | 16.60 | 21.84 | 5.13 | 0.00 | 0.23 | 13.77 | |||||||||||||
| Aurium CLO VI DAC | Spire | May 31, 2024 | 2,778 | 15.90 | 23.17 | 4.20 | 0.00 | 0.00 | 13.72 | |||||||||||||
| Aurium CLO VII DAC | Spire | Jun 07, 2024 | 2,772 | 15.99 | 23.60 | 3.87 | 0.00 | 0.00 | 13.07 | |||||||||||||
| Aurium CLO VIII DAC | Spire | Jun 13, 2024 | 2,760 | 15.56 | 23.95 | 3.24 | 0.00 | 0.00 | 13.46 | |||||||||||||
| Aurium CLO X DAC | Spire | Apr 30, 2024 | 2,818 | 13.98 | 25.00 | 3.28 | 0.00 | 0.00 | 12.17 | |||||||||||||
| Aurium CLO XI DAC | Spire | May 31, 2024 | 2,759 | 13.08 | 23.53 | 1.24 | 0.00 | 0.00 | 11.12 | |||||||||||||
| Avoca CLO XI DAC | KKR | Apr 30, 2024 | 2,888 | 12.75 | 26.35 | 7.07 | 0.37 | 0.00 | 15.81 | |||||||||||||
| Avoca CLO XIV Ltd. | KKR | Jun 28, 2024 | 2,827 | 13.11 | 25.17 | 4.95 | 0.00 | 0.00 | 16.46 | |||||||||||||
| Avoca CLO XVII DAC | KKR | May 31, 2024 | 2,811 | 10.37 | 23.94 | 3.08 | 0.00 | 0.00 | 13.32 | |||||||||||||
| Avoca CLO XVIII DAC | KKR | May 31, 2024 | 2,853 | 12.92 | 30.23 | 5.42 | 0.21 | 0.00 | 14.69 | |||||||||||||
| Avoca CLO XXI DAC | KKR | May 31, 2024 | 2,845 | 10.76 | 26.29 | 3.28 | 0.00 | 0.00 | 16.14 | |||||||||||||
| Avoca CLO XXII DAC | KKR | Apr 30, 2024 | 2,850 | 11.42 | 27.12 | 2.92 | 0.00 | 0.00 | 16.82 | |||||||||||||
| Avoca CLO XXIII DAC | KKR | Apr 30, 2024 | 2,871 | 9.77 | 27.40 | 2.71 | 0.00 | 0.00 | 17.12 | |||||||||||||
| Avoca CLO XXIV DAC | KKR | Apr 30, 2024 | 2,863 | 9.73 | 26.15 | 3.47 | 0.00 | 0.00 | 15.91 | |||||||||||||
| Avoca CLO XXIX DAC | KKR | Jun 28, 2024 | 2,822 | 6.88 | 22.33 | 1.59 | 0.00 | 0.00 | 13.63 | |||||||||||||
| Avoca CLO XXVIII DAC | KKR | Apr 30, 2024 | 2,890 | 6.22 | 25.61 | 2.25 | 0.00 | 0.00 | 15.38 | |||||||||||||
| Avondale Park CLO DAC | Blackstone | Jun 07, 2024 | 2,858 | 11.12 | 24.59 | 4.27 | 0.37 | 0.00 | 14.35 | |||||||||||||
| BBAM European CLO I DAC | BlueBay | May 10, 2024 | 2,846 | 10.47 | 17.92 | 2.16 | 1.41 | 0.00 | 10.00 | |||||||||||||
| BBAM European CLO II DAC | BlueBay | May 10, 2024 | 2,864 | 9.74 | 17.98 | 2.51 | 1.34 | 0.00 | 9.69 | |||||||||||||
| BBAM European CLO IV DAC | RBC | Jun 10, 2024 | 2,711 | 8.16 | 16.06 | 0.00 | 0.00 | 0.00 | 7.63 | |||||||||||||
| Bain Capital Euro CLO 2017-1 DAC | Bain | Jun 06, 2024 | 3,033 | 17.55 | 21.99 | 16.06 | 1.20 | 1.18 | 27.66 | |||||||||||||
| Bain Capital Euro CLO 2019-1 DAC | Bain | May 07, 2024 | 2,858 | 13.76 | 21.24 | 6.02 | 0.72 | 0.00 | 17.00 | |||||||||||||
| Bain Capital Euro CLO 2020-1 DAC | Bain | Jun 06, 2024 | 2,913 | 11.05 | 22.67 | 6.38 | 0.62 | 0.69 | 19.18 | |||||||||||||
| Bain Capital Euro CLO 2021-1 DAC | Bain | Jun 06, 2024 | 2,944 | 11.91 | 23.28 | 6.43 | 1.03 | 0.79 | 18.76 | |||||||||||||
| Bain Capital Euro CLO 2021-2 DAC | Bain | Jun 06, 2024 | 2,935 | 10.10 | 24.32 | 5.18 | 0.83 | 0.56 | 17.02 | |||||||||||||
| Bain Capital Euro CLO 2022-1 DAC | Bain | Jun 07, 2024 | 2,930 | 10.51 | 24.03 | 6.39 | 0.59 | 0.07 | 19.11 | |||||||||||||
| Bain Capital Euro CLO 2022-2 DAC | Bain | May 10, 2024 | 2,889 | 9.00 | 23.45 | 5.03 | 0.25 | 0.07 | 19.04 | |||||||||||||
| Bain Capital Euro CLO 2023-1 DAC | Bain | Jun 10, 2024 | 2,847 | 10.00 | 24.82 | 2.34 | 0.54 | 0.00 | 16.10 | |||||||||||||
| Barings Euro CLO 2020-1 DAC | Barings | Jun 11, 2024 | 2,852 | 16.96 | 26.06 | 4.72 | 1.17 | 0.00 | 17.99 | |||||||||||||
| Barings Euro CLO 2021-1 DAC | Barings | Jun 12, 2024 | 2,914 | 14.39 | 27.40 | 4.88 | 1.27 | 0.00 | 17.38 | |||||||||||||
| Barings Euro CLO 2021-2 DAC | Barings | May 02, 2024 | 2,844 | 17.06 | 26.83 | 3.47 | 1.27 | 0.00 | 17.26 | |||||||||||||
| Barings Euro CLO 2023-1 DAC | Barings | Jun 19, 2024 | 2,691 | 17.24 | 23.29 | 2.55 | 0.00 | 0.00 | 15.78 | |||||||||||||
| Barings Euro CLO 2023-2 DAC | Barings | Jun 10, 2024 | 2,736 | 15.65 | 24.10 | 2.89 | 0.00 | 0.00 | 16.56 | |||||||||||||
| Bastille Euro CLO 2020-3 DAC | CELF | Jun 05, 2024 | 2,912 | 9.46 | 28.56 | 3.97 | 0.00 | 0.00 | 16.55 | |||||||||||||
| Bilbao CLO III DAC | Guggenheim | Jun 06, 2024 | 3,004 | 4.26 | 32.48 | 3.65 | 0.00 | 0.00 | 10.63 | |||||||||||||
| Bilbao CLO IV DAC | Guggenheim | Jun 06, 2024 | 2,913 | 5.29 | 27.29 | 2.59 | 0.00 | 0.00 | 10.54 | |||||||||||||
| Black Diamond CLO 2017-2 DAC | Black Diamond | Jun 12, 2024 | 3,080 | 11.11 | 23.05 | 12.92 | 0.08 | 1.01 | 19.03 | |||||||||||||
| Black Diamond CLO 2019-1 DAC | Black Diamond | Jun 12, 2024 | 2,982 | 11.62 | 23.56 | 9.27 | 0.00 | 0.42 | 16.47 | |||||||||||||
| BlackRock European CLO I DAC | BlackRock | Jun 05, 2024 | 2,929 | 14.69 | 27.31 | 8.49 | 0.77 | 0.00 | 21.15 | |||||||||||||
| BlackRock European CLO II DAC | BlackRock | Jun 05, 2024 | 2,802 | 14.33 | 20.92 | 5.28 | 0.68 | 0.00 | 14.48 | |||||||||||||
| BlackRock European CLO III DAC | BlackRock | May 07, 2024 | 2,818 | 14.31 | 20.75 | 5.59 | 0.67 | 0.00 | 14.73 | |||||||||||||
| BlackRock European CLO IV DAC | BlackRock | Jun 10, 2024 | 2,714 | 21.29 | 20.07 | 7.43 | 0.50 | 0.00 | 20.69 | |||||||||||||
| BlackRock European CLO IX DAC | BlackRock | Jun 05, 2024 | 2,814 | 13.20 | 22.79 | 4.89 | 0.43 | 0.00 | 15.21 | |||||||||||||
| BlackRock European CLO X DAC | BlackRock | May 20, 2024 | 2,769 | 14.76 | 20.08 | 5.06 | 0.40 | 0.00 | 15.94 | |||||||||||||
| BlackRock European CLO XI DAC | BlackRock | Jun 10, 2024 | 2,766 | 13.65 | 20.05 | 5.09 | 0.50 | 0.00 | 15.42 | |||||||||||||
| BlackRock European CLO XII DAC | BlackRock | Jun 06, 2024 | 2,776 | 13.27 | 20.73 | 4.09 | 0.50 | 0.00 | 15.27 | |||||||||||||
| Blackrock European CLO XIII DAC | BlackRock | May 15, 2024 | 2,784 | 13.71 | 21.18 | 4.53 | 0.50 | 0.00 | 15.39 | |||||||||||||
| Blackrock European CLO XIV DAC | BlackRock | May 09, 2024 | 2,696 | 12.08 | 21.28 | 1.48 | 0.00 | 0.00 | 11.14 | |||||||||||||
| BlueMountain EUR 2021-1 CLO DAC | Sound Point | Jun 07, 2024 | 2,831 | 12.51 | 28.83 | 1.30 | 0.00 | 0.28 | 17.33 | |||||||||||||
| BlueMountain EUR 2021-2 CLO DAC | Sound Point | May 07, 2024 | 2,872 | 11.95 | 29.02 | 2.10 | 0.00 | 0.43 | 16.71 | |||||||||||||
| BlueMountain EUR CLO 2016-1 DAC | Sound Point | Apr 30, 2024 | 2,983 | 11.96 | 33.06 | 7.92 | 0.00 | 0.00 | 20.93 | |||||||||||||
| BlueMountain Fuji EUR CLO IV DAC | Sound Point | Jun 07, 2024 | 2,847 | 11.95 | 27.73 | 2.06 | 0.00 | 0.00 | 16.99 | |||||||||||||
| BlueMountain Fuji EUR CLO V DAC | Sound Point | Jun 10, 2024 | 2,884 | 10.56 | 31.65 | 1.09 | 0.00 | 0.00 | 18.56 | |||||||||||||
| Bosphorus CLO VI DAC | Cross Ocean | May 31, 2024 | 2,783 | 16.05 | 26.10 | 3.75 | 0.00 | 0.00 | 20.24 | |||||||||||||
| Bridgepoint CLO 1 DAC | Bridgepoint | Jun 05, 2024 | 2,860 | 9.64 | 23.29 | 4.09 | 0.00 | 0.00 | 14.65 | |||||||||||||
| Bridgepoint CLO 2 DAC | Bridgepoint | Jun 05, 2024 | 2,794 | 9.83 | 23.38 | 2.38 | 0.00 | 0.00 | 11.51 | |||||||||||||
| Bridgepoint CLO IV DAC | Bridgepoint | May 10, 2024 | 2,878 | 6.84 | 20.92 | 4.22 | 0.00 | 0.00 | 10.95 | |||||||||||||
| Bridgepoint CLO V DAC | Bridgepoint | Jun 05, 2024 | 2,835 | 7.51 | 27.39 | 0.80 | 0.00 | 0.00 | 9.10 | |||||||||||||
| Bushy Park CLO DAC | Blackstone | May 13, 2024 | 2,909 | 9.15 | 27.83 | 3.04 | 0.34 | 0.00 | 15.03 | |||||||||||||
| CVC Cordatus Loan Fund IV DAC | CVC | May 10, 2024 | 2,881 | 11.13 | 28.74 | 3.45 | 0.45 | 0.23 | 14.01 | |||||||||||||
| CVC Cordatus Loan Fund IX DAC | CVC | May 08, 2024 | 2,916 | 11.19 | 25.31 | 3.59 | 1.18 | 0.47 | 15.08 | |||||||||||||
| CVC Cordatus Loan Fund V DAC | CVC | Apr 10, 2024 | 2,823 | 19.59 | 19.72 | 4.59 | 2.03 | 0.00 | 13.02 | |||||||||||||
| CVC Cordatus Loan Fund VIII DAC | CVC | May 31, 2024 | 2,892 | 12.18 | 23.83 | 3.60 | 1.28 | 0.23 | 14.10 | |||||||||||||
| CVC Cordatus Loan Fund X DAC | CVC | May 31, 2024 | 2,765 | 18.98 | 22.44 | 3.64 | 1.39 | 0.00 | 15.83 | |||||||||||||
| CVC Cordatus Loan Fund XIX DAC | CVC | Jun 11, 2024 | 2,886 | 11.17 | 28.07 | 1.84 | 1.07 | 0.40 | 13.57 | |||||||||||||
| CVC Cordatus Loan Fund XVI DAC | CVC | Jun 05, 2024 | 2,938 | 10.27 | 26.84 | 3.07 | 1.25 | 0.00 | 12.91 | |||||||||||||
| CVC Cordatus Loan Fund XVII DAC | CVC | May 08, 2024 | 2,914 | 10.49 | 26.71 | 3.07 | 0.86 | 0.19 | 13.70 | |||||||||||||
| CVC Cordatus Loan Fund XVIII DAC | CVC | Jun 18, 2024 | 2,930 | 10.52 | 25.80 | 3.01 | 1.02 | 0.00 | 14.68 | |||||||||||||
| CVC Cordatus Loan Fund XX DAC | CVC | Apr 30, 2024 | 2,939 | 9.44 | 29.32 | 3.12 | 0.89 | 0.00 | 14.38 | |||||||||||||
| CVC Cordatus Loan Fund XXI DAC | CVC | Apr 30, 2024 | 2,935 | 8.46 | 25.57 | 2.99 | 0.86 | 0.25 | 14.50 | |||||||||||||
| CVC Cordatus Loan Fund XXIV DAC | CVC | Jun 07, 2024 | 2,979 | 8.29 | 37.12 | 3.14 | 0.00 | 0.00 | 19.48 | |||||||||||||
| CVC Cordatus Loan Fund XXIX DAC | CVC | May 02, 2024 | 2,903 | 7.89 | 32.74 | 1.87 | 0.00 | 0.00 | 13.10 | |||||||||||||
| CVC Cordatus Loan Fund XXV DAC | CVC | May 08, 2024 | 2,916 | 8.57 | 29.51 | 2.33 | 0.00 | 0.00 | 15.91 | |||||||||||||
| CVC Cordatus Loan Fund XXVI DAC | CVC | May 15, 2024 | 2,901 | 8.97 | 31.91 | 2.01 | 0.00 | 0.00 | 15.20 | |||||||||||||
| CVC Cordatus Loan Fund XXVII DAC | CVC | May 09, 2024 | 2,830 | 9.58 | 25.08 | 1.77 | 0.00 | 0.00 | 13.72 | |||||||||||||
| CVC Cordatus Loan Fund XXVIII DAC | CVC | May 02, 2024 | 2,939 | 7.05 | 29.08 | 2.94 | 0.00 | 0.00 | 12.91 | |||||||||||||
| Cairn CLO VIII DAC | Cairn | May 20, 2024 | 2,876 | 15.67 | 29.58 | 8.96 | 0.00 | 0.32 | 20.06 | |||||||||||||
| Cairn CLO XI DAC | Cairn | Jun 05, 2024 | 2,921 | 11.34 | 30.13 | 7.08 | 0.00 | 0.00 | 14.78 | |||||||||||||
| Cairn CLO XIV DAC | Cairn | May 15, 2024 | 2,884 | 11.09 | 30.36 | 4.53 | 0.00 | 0.49 | 20.55 | |||||||||||||
| Cairn CLO XVI DAC | Cairn | May 15, 2024 | 2,655 | 15.40 | 22.37 | 1.99 | 0.00 | 0.00 | 13.26 | |||||||||||||
| Cairn CLO XVII DAC | Cairn | May 15, 2024 | 2,697 | 14.46 | 23.10 | 2.04 | 0.00 | 0.00 | 13.28 | |||||||||||||
| Canyon Euro CLO 2022-1 DAC | Canyon | Apr 30, 2024 | 2,708 | 14.62 | 18.12 | 3.17 | 0.00 | 0.00 | 9.29 | |||||||||||||
| Capital Four CLO I DAC | Capital Four | May 31, 2024 | 2,858 | 12.48 | 27.19 | 4.60 | 0.00 | 0.00 | 11.01 | |||||||||||||
| Capital Four CLO II DAC | Capital Four | Apr 30, 2024 | 2,839 | 12.03 | 26.77 | 3.54 | 0.00 | 0.00 | 10.69 | |||||||||||||
| Capital Four CLO III DAC | Capital Four | Apr 30, 2024 | 2,843 | 9.89 | 25.23 | 3.20 | 0.00 | 0.00 | 11.63 | |||||||||||||
| Capital Four CLO V DAC | Capital Four | Apr 15, 2024 | 2,896 | 8.78 | 28.27 | 3.02 | 0.00 | 0.00 | 13.23 | |||||||||||||
| Capital Four CLO VI DAC | Capital Four | Jun 11, 2024 | 2,831 | 8.83 | 24.39 | 2.05 | 0.00 | 0.00 | 10.72 | |||||||||||||
| Capital Four CLO VII DAC | Capital Four | Jun 06, 2024 | 2,779 | 8.23 | 24.95 | 0.00 | 0.00 | 0.00 | 8.65 | |||||||||||||
| Carlyle Euro CLO 2013-1 DAC | CELF | Jun 17, 2024 | 2,788 | 11.89 | 21.81 | 5.63 | 0.00 | 0.37 | 21.79 | |||||||||||||
| Carlyle Euro CLO 2017-1 DAC | CELF | May 15, 2024 | 2,948 | 9.51 | 22.93 | 6.67 | 0.34 | 0.00 | 19.06 | |||||||||||||
| Carlyle Euro CLO 2017-2 DAC | CELF | May 02, 2024 | 2,955 | 12.20 | 22.16 | 9.45 | 0.00 | 2.07 | 19.77 | |||||||||||||
| Carlyle Euro CLO 2017-3 DAC | CELF | Jun 20, 2024 | 2,932 | 8.02 | 26.55 | 5.34 | 0.00 | 0.00 | 20.36 | |||||||||||||
| Carlyle Euro CLO 2018-1 DAC | CELF | Jun 10, 2024 | 2,903 | 12.73 | 24.53 | 7.11 | 0.00 | 1.06 | 20.88 | |||||||||||||
| Carlyle Euro CLO 2019-2 DAC | CELF | May 02, 2024 | 2,995 | 6.21 | 27.16 | 5.27 | 0.34 | 0.00 | 19.96 | |||||||||||||
| Carlyle Euro CLO 2020-1 DAC | CELF | Jun 18, 2024 | 2,901 | 7.71 | 24.46 | 4.40 | 0.00 | 0.00 | 18.27 | |||||||||||||
| Carlyle Euro CLO 2020-2 DAC | CELF | May 20, 2024 | 2,967 | 9.35 | 25.97 | 5.88 | 0.35 | 0.00 | 14.74 | |||||||||||||
| Carlyle Euro CLO 2021-1 DAC | CELF | Jun 18, 2024 | 2,892 | 9.91 | 22.25 | 5.64 | 0.00 | 0.00 | 15.71 | |||||||||||||
| Carlyle Euro CLO 2021-3 DAC | CELF | Jun 12, 2024 | 2,973 | 7.69 | 28.13 | 5.86 | 0.00 | 0.00 | 17.71 | |||||||||||||
| Carlyle Euro CLO 2022-5 DAC | Carlyle | May 20, 2024 | 2,950 | 7.84 | 28.54 | 3.72 | 0.00 | 0.00 | 15.44 | |||||||||||||
| Carlyle Global Market Strategies Euro CLO 2015-1 DAC | CELF | May 16, 2024 | 2,933 | 8.35 | 23.23 | 5.74 | 0.46 | 0.00 | 17.74 | |||||||||||||
| Carlyle Global Market Strategies Euro CLO 2015-3 DAC | CELF | May 20, 2024 | 2,983 | 10.76 | 25.28 | 8.30 | 0.00 | 1.32 | 22.49 | |||||||||||||
| Carlyle Global Market Strategies Euro CLO 2016-2 DAC | CELF | May 15, 2024 | 2,902 | 10.85 | 23.43 | 6.85 | 0.18 | 0.00 | 17.36 | |||||||||||||
| Carysfort Park CLO DAC | Blackstone | Jun 20, 2024 | 2,818 | 12.64 | 25.34 | 3.99 | 0.00 | 0.00 | 14.88 | |||||||||||||
| Clarinda Park CLO DAC | Blackstone | May 02, 2024 | 2,881 | 10.31 | 26.42 | 4.13 | 0.30 | 0.00 | 16.24 | |||||||||||||
| Clonmore Park CLO DAC | Blackstone | May 09, 2024 | 3,012 | 5.09 | 29.95 | 4.49 | 0.00 | 0.00 | 17.39 | |||||||||||||
| Contego CLO IV DAC | Five Arrows | May 31, 2024 | 3,057 | 5.72 | 35.49 | 5.23 | 0.00 | 0.47 | 14.38 | |||||||||||||
| Contego CLO IX DAC | Five Arrows | May 31, 2024 | 3,013 | 5.65 | 32.99 | 4.36 | 0.00 | 0.40 | 12.90 | |||||||||||||
| Contego CLO VII DAC | Five Arrows | May 31, 2024 | 2,953 | 8.11 | 30.90 | 4.30 | 0.00 | 0.00 | 13.85 | |||||||||||||
| Contego CLO VIII DAC | Five Arrows | May 15, 2024 | 2,952 | 6.83 | 30.40 | 4.13 | 0.00 | 0.33 | 13.73 | |||||||||||||
| Contego CLO XI DAC | Five Arrows | May 31, 2024 | 2,937 | 5.71 | 30.69 | 2.39 | 0.00 | 0.53 | 12.72 | |||||||||||||
| Contego CLO XII DAC | Five Arrows | Apr 18, 2024 | 2,910 | 5.70 | 29.04 | 2.23 | 0.00 | 0.00 | 12.84 | |||||||||||||
| Cross Ocean Bosphorus CLO IX DAC | Cross Ocean | May 31, 2024 | 2,710 | 12.02 | 18.71 | 1.08 | 0.00 | 0.00 | 12.75 | |||||||||||||
| Crosthwaite Park CLO DAC | Blackstone | May 20, 2024 | 2,917 | 12.22 | 25.57 | 4.13 | 1.11 | 0.00 | 16.60 | |||||||||||||
| Dartry Park CLO DAC | Blackstone | May 15, 2024 | 2,884 | 10.03 | 27.03 | 4.10 | 0.37 | 0.00 | 15.22 | |||||||||||||
| Deer Park CLO DAC | Blackstone | May 20, 2024 | 2,885 | 12.39 | 27.01 | 4.05 | 0.47 | 0.00 | 14.35 | |||||||||||||
| Dillons Park CLO DAC | Blackstone | May 20, 2024 | 2,973 | 7.70 | 27.16 | 5.21 | 0.50 | 0.00 | 15.43 | |||||||||||||
| Dryden 103 Euro CLO 2021 DAC | PGIM | May 31, 2024 | 2,840 | 9.30 | 31.07 | 3.36 | 0.00 | 0.00 | 15.94 | |||||||||||||
| Dryden 27 R Euro CLO 2017 DAC | PGIM | May 31, 2024 | 2,996 | 13.87 | 30.88 | 4.24 | 2.06 | 0.00 | 17.46 | |||||||||||||
| Dryden 29 Euro CLO 2013 DAC | PGIM | May 31, 2024 | 2,908 | 18.41 | 27.63 | 5.13 | 2.17 | 0.00 | 13.32 | |||||||||||||
| Dryden 35 Euro CLO 2014 DAC | PGIM | May 31, 2024 | 2,918 | 9.71 | 27.25 | 4.85 | 1.22 | 0.00 | 13.73 | |||||||||||||
| Dryden 39 Euro CLO 2015 DAC | PGIM | May 31, 2024 | 2,893 | 11.43 | 28.50 | 5.45 | 0.81 | 0.00 | 13.42 | |||||||||||||
| Dryden 44 Euro CLO 2015 DAC | PGIM | May 31, 2024 | 2,887 | 8.84 | 31.54 | 5.38 | 0.11 | 0.00 | 14.83 | |||||||||||||
| Dryden 46 Euro CLO 2016 DAC | PGIM | May 31, 2024 | 2,860 | 10.47 | 29.52 | 4.27 | 0.62 | 0.00 | 13.16 | |||||||||||||
| Dryden 48 Euro CLO 2016 DAC | PGIM | May 31, 2024 | 3,037 | 8.42 | 29.67 | 4.87 | 2.20 | 0.00 | 16.43 | |||||||||||||
| Dryden 52 Euro CLO 2017 DAC | PGIM | May 31, 2024 | 2,949 | 15.56 | 30.63 | 5.86 | 1.58 | 0.00 | 17.43 | |||||||||||||
| Dryden 56 Euro CLO 2017 DAC | PGIM | Jun 30, 2024 | 2,949 | 17.04 | 26.63 | 4.81 | 2.73 | 0.00 | 13.07 | |||||||||||||
| Dryden 73 Euro CLO 2018 DAC | PGIM | Apr 30, 2024 | 2,951 | 10.60 | 30.16 | 4.64 | 1.34 | 0.00 | 14.20 | |||||||||||||
| Dryden 74 Euro CLO 2020 DAC | PGIM | May 31, 2024 | 2,923 | 8.91 | 30.37 | 4.98 | 0.51 | 0.00 | 13.21 | |||||||||||||
| Dryden 88 Euro CLO 2020 DAC | PGIM | May 31, 2024 | 2,883 | 9.11 | 30.33 | 5.70 | 0.00 | 0.00 | 17.28 | |||||||||||||
| Dryden 89 Euro CLO 2020 DAC | PGIM | Apr 30, 2024 | 2,968 | 8.54 | 32.39 | 7.32 | 0.00 | 0.00 | 16.33 | |||||||||||||
| Dryden 96 Euro CLO 2021 DAC | PGIM | Apr 30, 2024 | 2,857 | 9.87 | 32.19 | 3.65 | 0.00 | 0.00 | 13.73 | |||||||||||||
| Dunedin Park CLO DAC | Blackstone | Jun 17, 2024 | 2,846 | 11.51 | 24.26 | 4.59 | 0.00 | 0.00 | 13.71 | |||||||||||||
| Edmondstown Park CLO DAC | Blackstone | May 13, 2024 | 2,967 | 6.32 | 28.42 | 3.55 | 0.49 | 0.00 | 14.18 | |||||||||||||
| Elm Park CLO DAC | Blackstone | May 15, 2024 | 2,896 | 10.99 | 25.40 | 3.68 | 0.63 | 0.00 | 16.39 | |||||||||||||
| Euro-Galaxy III CLO DAC | PineBridge | Jun 05, 2024 | 2,852 | 15.57 | 23.24 | 5.65 | 0.65 | 0.48 | 14.41 | |||||||||||||
| Euro-Galaxy IV CLO DAC | PineBridge | Jun 17, 2024 | 2,852 | 12.37 | 22.06 | 5.46 | 0.27 | 0.00 | 16.75 | |||||||||||||
| Euro-Galaxy V CLO DAC | PineBridge | Jun 05, 2024 | 2,857 | 13.37 | 21.55 | 5.91 | 0.59 | 0.19 | 15.68 | |||||||||||||
| Fair Oaks Loan Funding I DAC | Fair Oaks | Jun 17, 2024 | 2,666 | 14.02 | 19.18 | 2.56 | 0.00 | 0.00 | 13.39 | |||||||||||||
| Fair Oaks Loan Funding II DAC | Fair Oaks | Jun 17, 2024 | 2,708 | 14.73 | 21.56 | 3.14 | 0.00 | 0.00 | 13.34 | |||||||||||||
| Fair Oaks Loan Funding III DAC | Fair Oaks | Jun 17, 2024 | 2,645 | 15.83 | 19.19 | 1.98 | 0.00 | 0.00 | 12.28 | |||||||||||||
| Fidelity Grand Harbour CLO 2022-1 DAC | FIL | May 07, 2024 | 2,854 | 13.71 | 28.82 | 3.29 | 0.00 | 0.00 | 11.11 | |||||||||||||
| Fidelity Grand Harbour CLO 2023-1 DAC | FIL | May 02, 2024 | 2,859 | 11.89 | 29.77 | 2.38 | 0.00 | 0.00 | 10.64 | |||||||||||||
| Fidelity Grand Harbour CLO 2023-2 DAC | FIL | Apr 10, 2024 | 2,812 | 11.73 | 26.26 | 2.00 | 0.00 | 0.00 | 10.64 | |||||||||||||
| GLG Euro CLO IV DAC | GLG | Jun 10, 2024 | 2,910 | 12.25 | 27.57 | 5.83 | 0.67 | 0.00 | 11.87 | |||||||||||||
| Glenbrook Park CLO DAC | Blackstone | May 08, 2024 | 2,927 | 7.22 | 28.07 | 2.34 | 0.35 | 0.14 | 16.77 | |||||||||||||
| GoldenTree Loan Management EUR CLO 3 DAC | GoldenTree | Jun 17, 2024 | 2,764 | 18.83 | 21.44 | 2.49 | 0.96 | 0.81 | 10.51 | |||||||||||||
| GoldenTree Loan Management EUR CLO 4 DAC | GoldenTree | Jun 17, 2024 | 2,748 | 16.74 | 21.98 | 2.47 | 0.42 | 0.56 | 11.68 | |||||||||||||
| GoldenTree Loan Management EUR CLO 5 DAC | GoldenTree | May 15, 2024 | 2,774 | 17.24 | 23.35 | 2.76 | 0.51 | 0.76 | 11.98 | |||||||||||||
| GoldenTree Loan Management EUR CLO 6 DAC | GoldenTree | Jun 17, 2024 | 2,749 | 16.08 | 23.21 | 1.06 | 0.78 | 0.52 | 11.46 | |||||||||||||
| Harvest CLO VIII DAC | Investcorp | May 31, 2024 | 2,841 | 17.29 | 25.33 | 6.74 | 0.00 | 0.00 | 23.57 | |||||||||||||
| Harvest CLO XVII DAC | Investcorp | Apr 29, 2024 | 2,885 | 9.13 | 24.62 | 4.01 | 0.03 | 0.00 | 17.77 | |||||||||||||
| Harvest CLO XVIII DAC | Investcorp | Apr 30, 2024 | 2,859 | 16.68 | 23.13 | 8.94 | 0.00 | 0.69 | 22.47 | |||||||||||||
| Harvest CLO XXII DAC | Investcorp | Apr 30, 2024 | 2,823 | 9.61 | 26.14 | 1.92 | 0.03 | 0.00 | 19.16 | |||||||||||||
| Harvest CLO XXIII DAC | Investcorp | Apr 30, 2024 | 2,881 | 8.62 | 27.09 | 1.78 | 0.03 | 0.00 | 17.98 | |||||||||||||
| Harvest CLO XXV DAC | Investcorp | May 09, 2024 | 2,873 | 9.12 | 24.94 | 2.36 | 0.03 | 0.00 | 18.48 | |||||||||||||
| Harvest CLO XXVI DAC | Investcorp | Apr 30, 2024 | 2,876 | 8.73 | 25.05 | 2.42 | 0.03 | 0.00 | 18.51 | |||||||||||||
| Harvest CLO XXX DAC | Investcorp | May 09, 2024 | 2,838 | 7.77 | 22.62 | 0.86 | 0.00 | 0.00 | 17.65 | |||||||||||||
| Harvest CLO XXXI DAC | Investcorp | May 09, 2024 | 2,826 | 9.15 | 21.81 | 1.47 | 0.00 | 0.00 | 17.02 | |||||||||||||
| Hayfin Emerald CLO IV DAC | Hayfin | Jun 05, 2024 | 2,786 | 17.16 | 25.06 | 5.24 | 0.60 | 0.00 | 11.69 | |||||||||||||
| Hayfin Emerald CLO IX DAC | Hayfin | May 02, 2024 | 2,822 | 16.43 | 24.80 | 5.22 | 0.75 | 0.00 | 13.25 | |||||||||||||
| Hayfin Emerald CLO V DAC | Hayfin | May 07, 2024 | 2,918 | 13.91 | 29.11 | 5.52 | 0.88 | 0.00 | 15.18 | |||||||||||||
| Hayfin Emerald CLO VI DAC | Hayfin | May 15, 2024 | 2,886 | 15.96 | 26.18 | 6.93 | 0.79 | 0.00 | 12.77 | |||||||||||||
| Hayfin Emerald CLO VII DAC | Hayfin | Jun 05, 2024 | 2,811 | 16.82 | 24.97 | 5.28 | 0.88 | 0.00 | 11.06 | |||||||||||||
| Hayfin Emerald CLO VIII DAC | Hayfin | May 15, 2024 | 2,892 | 15.97 | 24.87 | 6.67 | 0.76 | 0.00 | 14.30 | |||||||||||||
| Hayfin Emerald CLO XI DAC | Hayfin | May 02, 2024 | 2,722 | 15.59 | 26.18 | 2.66 | 0.00 | 0.00 | 11.81 | |||||||||||||
| Hayfin Emerald CLO XII DAC | Hayfin | May 17, 2024 | 2,731 | 12.66 | 24.13 | 1.86 | 0.00 | 0.00 | 12.00 | |||||||||||||
| Henley CLO I DAC | Napier Park | Jun 17, 2024 | 2,884 | 7.82 | 28.85 | 0.92 | 0.00 | 0.00 | 9.28 | |||||||||||||
| Henley CLO II DAC | Napier Park | May 15, 2024 | 2,931 | 4.29 | 28.43 | 0.90 | 0.00 | 0.13 | 12.78 | |||||||||||||
| Henley CLO III DAC | Napier Park | Jun 17, 2024 | 2,933 | 4.72 | 28.48 | 1.03 | 0.00 | 0.26 | 12.24 | |||||||||||||
| Henley CLO IV DAC | Napier Park | Jun 17, 2024 | 2,888 | 6.28 | 27.37 | 0.91 | 0.00 | 1.28 | 10.57 | |||||||||||||
| Henley CLO V DAC | Napier Park | Jun 17, 2024 | 2,907 | 4.34 | 26.47 | 1.03 | 0.00 | 0.00 | 10.73 | |||||||||||||
| Henley CLO VI DAC | Napier Park | Jun 17, 2024 | 2,955 | 4.26 | 26.94 | 1.14 | 0.00 | 0.00 | 11.15 | |||||||||||||
| Henley CLO VII DAC | Napier Park | May 15, 2024 | 2,870 | 7.86 | 26.73 | 1.00 | 0.00 | 0.00 | 12.32 | |||||||||||||
| Holland Park CLO DAC | Blackstone | Apr 30, 2024 | 2,857 | 12.92 | 25.20 | 4.45 | 0.42 | 0.00 | 15.80 | |||||||||||||
| ICG Euro CLO 2021-1 DAC | Intermediate | Jun 07, 2024 | 2,989 | 8.16 | 28.75 | 5.13 | 0.24 | 0.00 | 14.65 | |||||||||||||
| ICG Euro CLO 2022-1 DAC | Intermediate | Jun 17, 2024 | 3,059 | 8.32 | 28.74 | 5.45 | 1.05 | 0.00 | 16.39 | |||||||||||||
| ICG Euro CLO 2023-1 DAC | Intermediate | May 13, 2024 | 3,056 | 8.28 | 27.75 | 5.87 | 1.21 | 0.00 | 17.69 | |||||||||||||
| ICG Euro CLO 2023-2 DAC | Intermediate | Jun 12, 2024 | 2,995 | 8.73 | 26.79 | 3.19 | 1.18 | 0.00 | 15.82 | |||||||||||||
| Indigo Credit Management I DAC | Pemberton | Jun 10, 2024 | 2,320 | 25.39 | 0.57 | 0.00 | 0.00 | 0.00 | 13.16 | |||||||||||||
| Invesco Euro CLO II DAC | Invesco | May 02, 2024 | 2,969 | 12.58 | 29.86 | 8.25 | 0.22 | 0.00 | 27.10 | |||||||||||||
| Invesco Euro CLO III DAC | Invesco | May 15, 2024 | 2,985 | 12.62 | 29.90 | 7.44 | 0.48 | 0.00 | 24.11 | |||||||||||||
| Invesco Euro CLO IV DAC | Invesco | Jun 17, 2024 | 2,975 | 12.74 | 27.93 | 7.14 | 0.50 | 0.00 | 20.61 | |||||||||||||
| Invesco Euro CLO IX DAC | Invesco | May 15, 2024 | 2,981 | 12.47 | 29.74 | 5.93 | 0.49 | 0.00 | 20.42 | |||||||||||||
| Invesco Euro CLO Issuer X DAC | Invesco | May 15, 2024 | 2,877 | 15.10 | 27.48 | 5.51 | 0.00 | 0.00 | 23.40 | |||||||||||||
| Invesco Euro CLO VI DAC | Invesco | May 15, 2024 | 2,955 | 14.10 | 29.05 | 7.34 | 0.49 | 0.00 | 24.57 | |||||||||||||
| Invesco Euro CLO XI DAC | Invesco | May 15, 2024 | 2,878 | 13.52 | 26.62 | 4.62 | 0.00 | 0.00 | 19.06 | |||||||||||||
| Jubilee CLO 2013-X DAC | Alcentra | Jun 05, 2024 | 2,865 | 14.39 | 31.22 | 4.36 | 0.37 | 0.00 | 15.29 | |||||||||||||
| Jubilee CLO 2014-XI DAC | Alcentra | Jun 05, 2024 | 2,991 | 16.32 | 25.48 | 9.39 | 1.42 | 0.00 | 16.13 | |||||||||||||
| Jubilee CLO 2017-XIX DAC | Alcentra | Jun 05, 2024 | 2,904 | 15.85 | 30.68 | 5.23 | 0.71 | 0.47 | 16.74 | |||||||||||||
| Jubilee CLO 2019-XXII DAC | Alcentra | Jun 07, 2024 | 2,858 | 15.86 | 30.57 | 4.91 | 0.00 | 0.64 | 16.79 | |||||||||||||
| Jubilee CLO 2020-XXIV DAC | Alcentra | Jun 07, 2024 | 2,804 | 12.70 | 28.41 | 3.57 | 0.00 | 0.00 | 16.78 | |||||||||||||
| Jubilee CLO 2022-XXVI DAC | Alcentra | May 08, 2024 | 2,873 | 13.26 | 32.24 | 3.16 | 0.24 | 0.00 | 16.56 | |||||||||||||
| Jubilee CLO 2023-XXVII DAC | Alcentra | May 08, 2024 | 2,904 | 10.83 | 32.24 | 3.09 | 0.48 | 0.00 | 15.85 | |||||||||||||
| MAN GLG Euro CLO VI DAC | GLG | Jun 10, 2024 | 2,979 | 11.07 | 28.67 | 5.02 | 1.17 | 0.35 | 18.15 | |||||||||||||
| MV Credit Euro CLO III DAC | MV | May 15, 2024 | 2,744 | 10.61 | 15.94 | 0.61 | 0.00 | 0.00 | 14.05 | |||||||||||||
| Madison Park Euro Funding IX DAC | Credit Suisse | May 03, 2024 | 2,881 | 13.69 | 19.33 | 7.88 | 0.85 | 0.43 | 14.28 | |||||||||||||
| Madison Park Euro Funding VIII DAC | Credit Suisse | May 20, 2024 | 2,930 | 10.51 | 21.69 | 6.70 | 0.93 | 0.00 | 16.24 | |||||||||||||
| Madison Park Euro Funding X DAC | Credit Suisse | Jun 12, 2024 | 2,799 | 20.09 | 19.85 | 7.84 | 1.07 | 0.00 | 15.52 | |||||||||||||
| Madison Park Euro Funding XIX DAC | Credit Suisse | May 20, 2024 | 2,900 | 6.98 | 22.55 | 4.82 | 0.00 | 0.00 | 13.57 | |||||||||||||
| Madison Park Euro Funding XV DAC | Credit Suisse | Apr 04, 2024 | 2,905 | 12.99 | 24.74 | 6.86 | 0.51 | 0.00 | 15.19 | |||||||||||||
| Madison Park Euro Funding XVI DAC | Credit Suisse | Apr 04, 2024 | 2,850 | 13.41 | 21.27 | 6.40 | 0.47 | 0.73 | 14.21 | |||||||||||||
| Madison Park Euro Funding XVII DAC | Credit Suisse | Jun 20, 2024 | 2,939 | 8.58 | 22.39 | 6.17 | 0.54 | 0.00 | 14.77 | |||||||||||||
| Madison Park Euro Funding XX DAC | Credit Suisse | Jun 05, 2024 | 3,006 | 6.51 | 24.07 | 6.19 | 0.94 | 0.00 | 14.17 | |||||||||||||
| Man Euro CLO 2023-1 DAC | GLG | Jun 10, 2024 | 2,723 | 10.35 | 22.58 | 0.54 | 0.00 | 0.00 | 7.45 | |||||||||||||
| Man GLG Euro CLO III DAC | GLG | Jun 10, 2024 | 2,993 | 14.03 | 27.89 | 9.13 | 0.42 | 0.00 | 14.99 | |||||||||||||
| Margay CLO I DAC | M&G | Jun 17, 2024 | 2,652 | 15.87 | 15.78 | 1.65 | 0.00 | 0.00 | 12.57 | |||||||||||||
| Marino Park CLO DAC | Blackstone | Jun 20, 2024 | 2,870 | 11.16 | 27.12 | 4.09 | 0.16 | 0.00 | 17.38 | |||||||||||||
| Montmartre Euro CLO 2020-2 DAC | CELF | Jun 05, 2024 | 2,883 | 9.57 | 29.22 | 3.27 | 0.00 | 0.00 | 15.10 | |||||||||||||
| Nassau Euro CLO III DAC | NCC | Jun 07, 2024 | 2,802 | 8.95 | 21.09 | 1.20 | 0.00 | 0.00 | 13.79 | |||||||||||||
| Neuberger Berman Loan Advisers Euro CLO 1 DAC | Neuberger Berman | Jun 17, 2024 | 2,731 | 11.80 | 19.41 | 1.19 | 0.17 | 0.53 | 12.07 | |||||||||||||
| Neuberger Berman Loan Advisers Euro CLO 3 DAC | Neuberger Berman | May 16, 2024 | 2,753 | 11.26 | 20.94 | 1.67 | 0.17 | 0.00 | 13.51 | |||||||||||||
| Neuberger Berman Loan Advisers Euro CLO 5 DAC | Neuberger Berman | May 16, 2024 | 2,722 | 11.57 | 20.61 | 1.50 | 0.17 | 0.00 | 13.72 | |||||||||||||
| Newhaven CLO DAC | Bain | Jun 06, 2024 | 2,995 | 14.41 | 24.66 | 6.48 | 2.13 | 0.43 | 18.57 | |||||||||||||
| North Westerly VI ESG CLO DAC | NIBC | May 31, 2024 | 2,787 | 17.32 | 22.97 | 5.93 | 0.39 | 0.00 | 18.49 | |||||||||||||
| North Westerly VII ESG CLO DAC | NIBC | May 31, 2024 | 2,871 | 13.47 | 25.81 | 5.13 | 0.57 | 0.74 | 20.51 | |||||||||||||
| Northwoods Capital 19 Euro DAC | Northwoods | May 31, 2024 | 2,951 | 8.40 | 23.70 | 6.29 | 0.54 | 0.00 | 17.01 | |||||||||||||
| Northwoods Capital 21 Euro DAC | Northwoods | May 10, 2024 | 2,939 | 9.33 | 22.85 | 6.22 | 0.51 | 0.00 | 15.80 | |||||||||||||
| Northwoods Capital 23 Euro DAC | Northwoods | Jun 05, 2024 | 2,926 | 9.35 | 23.78 | 5.58 | 0.55 | 0.00 | 15.48 | |||||||||||||
| Northwoods Capital 24 Euro DAC | Northwoods | Jun 04, 2024 | 2,945 | 9.13 | 23.98 | 5.75 | 0.54 | 0.00 | 15.85 | |||||||||||||
| Northwoods Capital 26 Euro DAC | Northwoods | Jun 04, 2024 | 2,901 | 10.50 | 22.94 | 4.99 | 0.48 | 0.00 | 16.41 | |||||||||||||
| OCP EURO CLO 2022-5 DAC | Onex | May 07, 2024 | 2,801 | 15.78 | 33.16 | 0.80 | 0.00 | 0.00 | 17.30 | |||||||||||||
| OCP Euro CLO 2017-1 DAC | Onex | May 07, 2024 | 2,709 | 18.50 | 29.06 | 0.77 | 0.00 | 0.00 | 15.75 | |||||||||||||
| OCP Euro CLO 2017-2 DAC | Onex | Jun 06, 2024 | 2,784 | 16.89 | 28.10 | 2.25 | 0.00 | 0.00 | 17.90 | |||||||||||||
| OCP Euro CLO 2019-3 DAC | Onex | Jun 06, 2024 | 2,782 | 14.39 | 29.38 | 0.94 | 0.00 | 0.00 | 17.32 | |||||||||||||
| OCP Euro CLO 2020-4 DAC | Onex | Jun 06, 2024 | 2,787 | 15.49 | 31.16 | 0.81 | 0.00 | 0.00 | 19.71 | |||||||||||||
| OCP Euro CLO 2022-6 DAC | Onex | Jun 06, 2024 | 2,865 | 13.07 | 31.74 | 1.72 | 0.00 | 0.00 | 14.93 | |||||||||||||
| OCP Euro CLO 2023-8 DAC | Onex | May 07, 2024 | 2,838 | 10.25 | 30.74 | 0.00 | 0.00 | 0.00 | 13.73 | |||||||||||||
| OCPE CLO 2023-7 DAC | Onex | May 07, 2024 | 2,864 | 12.39 | 33.96 | 0.84 | 0.00 | 0.00 | 14.92 | |||||||||||||
| OZLME III DAC | Sculptor | Jun 12, 2024 | 2,743 | 20.75 | 19.80 | 6.60 | 0.82 | 0.00 | 16.12 | |||||||||||||
| Oak Hill European Credit Partners VIII DAC | Oak Hill | Jun 06, 2024 | 2,826 | 11.07 | 22.93 | 3.89 | 0.00 | 1.11 | 9.67 | |||||||||||||
| Palmer Square European CLO 2021-1 DAC | Palmer Square | Apr 30, 2024 | 2,768 | 13.07 | 21.04 | 3.18 | 0.00 | 0.29 | 15.96 | |||||||||||||
| Palmer Square European CLO 2021-2 DAC | Palmer Square | May 07, 2024 | 2,764 | 13.12 | 21.32 | 3.10 | 0.00 | 0.29 | 16.23 | |||||||||||||
| Palmer Square European CLO 2022-1 DAC | Palmer Square | Apr 30, 2024 | 2,752 | 14.20 | 22.06 | 2.39 | 0.00 | 0.25 | 15.51 | |||||||||||||
| Palmer Square European CLO 2022-2 DAC | Palmer Square | May 31, 2024 | 2,719 | 14.37 | 21.24 | 1.11 | 0.00 | 0.51 | 13.11 | |||||||||||||
| Palmer Square European CLO 2023-1 DAC | Palmer Square | Apr 30, 2024 | 2,672 | 17.21 | 20.36 | 1.10 | 0.00 | 0.51 | 12.40 | |||||||||||||
| Palmer Square European CLO 2023-2 DAC | Palmer Square | Apr 30, 2024 | 2,713 | 15.83 | 20.29 | 1.82 | 0.00 | 0.38 | 11.45 | |||||||||||||
| Penta CLO 14 DAC | Partners | Apr 30, 2024 | 2,872 | 8.43 | 27.57 | 1.46 | 0.00 | 0.00 | 11.87 | |||||||||||||
| Penta CLO 16 DAC | Partners | May 31, 2024 | 2,851 | 10.16 | 27.09 | 2.14 | 0.00 | 0.00 | 11.49 | |||||||||||||
| Penta CLO 5 DAC | Partners | Apr 30, 2024 | 2,828 | 13.45 | 25.76 | 4.05 | 0.00 | 0.00 | 13.86 | |||||||||||||
| Penta CLO 7 DAC | Partners | May 31, 2024 | 2,863 | 11.99 | 24.41 | 4.46 | 0.00 | 0.40 | 12.39 | |||||||||||||
| Penta CLO 8 DAC | Partners | May 31, 2024 | 2,879 | 10.71 | 27.95 | 3.80 | 0.00 | 0.00 | 16.69 | |||||||||||||
| Penta CLO 9 DAC | Partners | Apr 30, 2024 | 2,847 | 10.56 | 24.48 | 3.86 | 0.00 | 0.84 | 10.44 | |||||||||||||
| Providus CLO I DAC | Permira | May 31, 2024 | 2,777 | 18.05 | 32.39 | 3.20 | 0.00 | 0.87 | 13.51 | |||||||||||||
| Providus CLO III DAC | Permira | May 31, 2024 | 2,887 | 9.83 | 32.85 | 1.91 | 0.00 | 0.77 | 9.36 | |||||||||||||
| Providus CLO IV DAC | Permira | May 31, 2024 | 2,895 | 8.37 | 33.06 | 1.84 | 0.00 | 0.24 | 9.74 | |||||||||||||
| Providus CLO IX DAC | Permira | Apr 30, 2024 | 2,899 | 8.26 | 32.75 | 1.43 | 0.00 | 0.00 | 9.09 | |||||||||||||
| Providus CLO V DAC | Permira | May 31, 2024 | 2,904 | 8.80 | 33.13 | 2.00 | 0.00 | 0.48 | 9.46 | |||||||||||||
| Providus CLO VI DAC | Permira | May 31, 2024 | 2,923 | 8.65 | 33.23 | 2.62 | 0.00 | 0.24 | 9.62 | |||||||||||||
| Providus CLO VIII DAC | Permira | May 03, 2024 | 2,953 | 7.18 | 34.96 | 2.19 | 0.00 | 0.12 | 9.87 | |||||||||||||
| Purple Finance CLO 1 DAC | Ostrum | Jun 17, 2024 | 2,898 | 9.55 | 31.62 | 2.56 | 0.00 | 0.00 | 17.74 | |||||||||||||
| Purple Finance CLO 2 DAC | Ostrum | May 15, 2024 | 2,809 | 7.89 | 21.55 | 0.65 | 0.00 | 0.00 | 16.40 | |||||||||||||
| RRE 1 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,769 | 11.98 | 24.02 | 1.55 | 0.00 | 0.00 | 12.06 | |||||||||||||
| RRE 10 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,765 | 12.65 | 24.76 | 1.79 | 0.00 | 0.00 | 11.62 | |||||||||||||
| RRE 11 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,765 | 10.50 | 23.40 | 1.15 | 0.00 | 0.00 | 12.90 | |||||||||||||
| RRE 12 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,776 | 10.15 | 21.95 | 1.46 | 0.00 | 0.00 | 11.34 | |||||||||||||
| RRE 15 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,802 | 9.56 | 20.91 | 2.12 | 0.00 | 0.00 | 12.62 | |||||||||||||
| RRE 16 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,793 | 7.94 | 22.03 | 1.08 | 0.00 | 0.00 | 11.71 | |||||||||||||
| RRE 17 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,813 | 5.68 | 23.28 | 0.00 | 0.00 | 0.00 | 12.11 | |||||||||||||
| RRE 18 Loan Management DAC | Redding Ridge | Apr 30, 2024 | 2,810 | 6.96 | 22.85 | 0.00 | 0.00 | 0.00 | 12.89 | |||||||||||||
| RRE 2 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,765 | 12.29 | 23.29 | 1.61 | 0.00 | 0.00 | 12.34 | |||||||||||||
| RRE 3 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,831 | 10.26 | 25.31 | 1.76 | 0.00 | 0.00 | 14.05 | |||||||||||||
| RRE 5 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,770 | 11.40 | 23.68 | 1.71 | 0.00 | 0.00 | 12.94 | |||||||||||||
| RRE 6 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,767 | 11.70 | 22.83 | 1.58 | 0.00 | 0.00 | 12.61 | |||||||||||||
| RRE 7 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,765 | 12.10 | 23.41 | 1.73 | 0.00 | 0.00 | 12.41 | |||||||||||||
| RRE 8 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,809 | 9.56 | 24.78 | 1.92 | 0.00 | 0.00 | 11.82 | |||||||||||||
| RRE 9 Loan Management DAC | Redding Ridge | May 31, 2024 | 2,815 | 10.14 | 25.37 | 2.24 | 0.00 | 0.00 | 12.74 | |||||||||||||
| Rockfield Park CLO DAC | Blackstone | May 13, 2024 | 2,851 | 10.25 | 26.41 | 3.09 | 0.28 | 0.00 | 15.39 | |||||||||||||
| Rockford Tower Europe CLO 2018-1 DAC | Rockford | May 15, 2024 | 2,830 | 17.65 | 27.98 | 5.90 | 0.00 | 0.25 | 16.53 | |||||||||||||
| Rockford Tower Europe CLO 2021-1 DAC | Rockford | Jun 17, 2024 | 2,794 | 18.27 | 24.59 | 7.12 | 0.00 | 0.49 | 12.79 | |||||||||||||
| Rockford Tower Europe CLO 2021-2 DAC | Rockford | May 15, 2024 | 2,896 | 13.95 | 27.93 | 6.27 | 0.00 | 0.00 | 14.18 | |||||||||||||
| Rockford Tower Europe CLO 2023-1 DAC | Rockford | May 15, 2024 | 2,828 | 14.61 | 24.05 | 4.97 | 0.00 | 0.00 | 11.94 | |||||||||||||
| Sculptor European CLO I DAC | Sculptor | Jun 10, 2024 | 2,748 | 15.69 | 19.86 | 3.57 | 0.47 | 0.00 | 13.46 | |||||||||||||
| Sculptor European CLO II DAC | Sculptor | May 10, 2024 | 2,764 | 15.53 | 19.54 | 3.29 | 0.77 | 0.00 | 13.71 | |||||||||||||
| Sculptor European CLO VI DAC | Sculptor | Jun 05, 2024 | 2,668 | 17.59 | 19.85 | 2.21 | 0.12 | 0.00 | 14.42 | |||||||||||||
| Sculptor European CLO VII DAC | Sculptor | Jun 17, 2024 | 2,787 | 16.02 | 25.62 | 2.49 | 0.31 | 0.00 | 18.86 | |||||||||||||
| Sculptor European CLO VIII DAC | Sculptor | Jun 05, 2024 | 2,773 | 13.23 | 21.41 | 1.94 | 0.50 | 0.00 | 15.72 | |||||||||||||
| Seapoint Park CLO DAC | Blackstone | Jun 20, 2024 | 2,842 | 11.28 | 24.70 | 3.14 | 0.13 | 0.00 | 14.78 | |||||||||||||
| Segovia European CLO 1-2014 DAC | Segovia | Jun 05, 2024 | 2,896 | 11.88 | 24.09 | 5.67 | 0.64 | 0.00 | 13.31 | |||||||||||||
| Segovia European CLO 3-2017 DAC | HPS | Jun 12, 2024 | 2,931 | 9.76 | 23.59 | 4.22 | 0.79 | 0.00 | 12.32 | |||||||||||||
| Segovia European CLO 4-2017 DAC | Segovia | Jun 06, 2024 | 2,883 | 18.89 | 24.53 | 7.01 | 1.48 | 0.00 | 14.35 | |||||||||||||
| Signal Harmonic CLO II DAC | Signal | May 10, 2024 | 2,850 | 9.84 | 26.86 | 2.45 | 0.00 | 0.00 | 10.47 | |||||||||||||
| Sona Fios CLO I DAC | Sona | May 31, 2024 | 2,752 | 8.84 | 19.85 | 0.92 | 0.00 | 0.00 | 6.71 | |||||||||||||
| Sound Point Euro CLO 10 Funding DAC | Sound Point | Jun 04, 2024 | 2,862 | 10.59 | 28.51 | 0.00 | 0.00 | 0.00 | 16.57 | |||||||||||||
| Sound Point Euro CLO III Funding DAC | Sound Point | May 09, 2024 | 2,852 | 11.72 | 29.26 | 1.47 | 0.00 | 0.00 | 16.11 | |||||||||||||
| Sound Point Euro CLO IV Funding DAC | Sound Point | Jun 04, 2024 | 2,892 | 10.89 | 30.89 | 1.20 | 0.00 | 0.00 | 17.70 | |||||||||||||
| St. Paul's CLO II DAC | Intermediate | Jun 10, 2024 | 3,005 | 9.94 | 24.14 | 8.97 | 0.31 | 0.00 | 18.40 | |||||||||||||
| St. Paul's CLO IX DAC | Intermediate | Jun 07, 2024 | 3,001 | 9.68 | 24.43 | 8.09 | 0.26 | 0.00 | 18.34 | |||||||||||||
| St. Paul's CLO VI DAC | Intermediate | May 08, 2024 | 2,981 | 11.09 | 27.10 | 6.29 | 0.50 | 0.00 | 18.99 | |||||||||||||
| St. Paul's CLO VII DAC | Intermediate | Jun 07, 2024 | 2,985 | 10.50 | 26.17 | 7.41 | 0.18 | 0.00 | 16.58 | |||||||||||||
| St. Paul's CLO X DAC | Intermediate | Jun 07, 2024 | 3,044 | 9.24 | 26.37 | 7.02 | 0.87 | 0.00 | 18.58 | |||||||||||||
| St. Paul's CLO XII DAC | Intermediate | Jun 07, 2024 | 3,072 | 9.62 | 26.59 | 8.76 | 0.81 | 0.00 | 18.32 | |||||||||||||
| Tikehau CLO III DAC | Tikehau | May 21, 2024 | 2,743 | 17.51 | 20.85 | 7.28 | 0.00 | 0.00 | 14.07 | |||||||||||||
| Tikehau CLO IX DAC | Tikehau | May 31, 2024 | 2,803 | 10.38 | 20.68 | 3.48 | 0.00 | 0.00 | 15.61 | |||||||||||||
| Tikehau CLO V DAC | Tikehau | May 31, 2024 | 2,839 | 13.05 | 24.99 | 5.12 | 0.00 | 0.00 | 15.90 | |||||||||||||
| Tikehau CLO VII DAC | Tikehau | May 31, 2024 | 2,859 | 10.63 | 25.14 | 4.12 | 0.00 | 0.00 | 15.69 | |||||||||||||
| Tikehau CLO VIII DAC | Tikehau | Apr 30, 2024 | 2,819 | 10.88 | 22.54 | 3.89 | 0.00 | 0.00 | 16.22 | |||||||||||||
| Tikehau CLO XI DAC | Tikehau | May 31, 2024 | 2,807 | 8.18 | 21.93 | 1.71 | 0.00 | 0.00 | 12.74 | |||||||||||||
| Toro European CLO 2 DAC | Chenavari | Jun 17, 2024 | 2,822 | 13.80 | 20.08 | 6.28 | 0.00 | 0.00 | 14.03 | |||||||||||||
| Toro European CLO 3 DAC | Chenavari | Jun 17, 2024 | 2,765 | 13.90 | 18.61 | 5.27 | 0.00 | 0.00 | 14.72 | |||||||||||||
| Toro European CLO 5 DAC | Chenavari | Jun 17, 2024 | 2,851 | 18.23 | 21.81 | 4.50 | 1.42 | 0.00 | 14.68 | |||||||||||||
| Toro European CLO 6 DAC | Chenavari | May 15, 2024 | 2,824 | 14.64 | 22.28 | 6.18 | 0.00 | 0.00 | 16.13 | |||||||||||||
| Toro European CLO 7 DAC | Chenavari | Jun 17, 2024 | 2,814 | 14.65 | 21.60 | 5.58 | 0.00 | 0.00 | 17.21 | |||||||||||||
| Toro European CLO 8 DAC | Chenavari | Jun 17, 2024 | 2,839 | 13.12 | 26.41 | 3.94 | 0.00 | 0.00 | 15.36 | |||||||||||||
| Toro European CLO 9 DAC | Chenavari | Jun 17, 2024 | 2,762 | 13.93 | 25.12 | 2.80 | 0.00 | 0.00 | 13.45 | |||||||||||||
| Trinitas EURO CLO II DAC | WhiteStar | Jun 17, 2024 | 2,650 | 17.47 | 21.77 | 0.36 | 0.00 | 0.34 | 12.31 | |||||||||||||
| Trinitas EURO CLO V DAC | WhiteStar | May 15, 2024 | 2,605 | 16.07 | 16.02 | 0.00 | 0.00 | 0.43 | 12.54 | |||||||||||||
| Trinitas Euro CLO I DAC | WhiteStar | Jun 17, 2024 | 2,695 | 14.31 | 18.41 | 1.52 | 0.00 | 0.80 | 15.35 | |||||||||||||
| Trinitas Euro CLO IV DAC | WhiteStar | Jun 17, 2024 | 2,657 | 17.58 | 21.40 | 0.47 | 0.00 | 0.43 | 15.66 | |||||||||||||
| Trinitas Euro CLO VI DAC | Trinitas | May 15, 2024 | 2,588 | 17.89 | 15.87 | 0.55 | 0.00 | 0.00 | 12.34 | |||||||||||||
| Tymon Park CLO DAC | Blackstone | May 15, 2024 | 2,949 | 9.25 | 26.72 | 4.07 | 0.92 | 0.00 | 14.71 | |||||||||||||
| Vendome Funding CLO 2020-1 DAC | CELF | Jun 07, 2024 | 2,921 | 7.90 | 28.79 | 3.53 | 0.00 | 0.00 | 14.76 | |||||||||||||
| Vesey Park CLO DAC | Blackstone | Jun 20, 2024 | 2,848 | 10.82 | 26.33 | 3.50 | 0.12 | 0.00 | 14.40 | |||||||||||||
| Voya Euro CLO I DAC | Voya | Jun 10, 2024 | ||||||||||||||||||||
| Voya Euro CLO III DAC | Voya | Jun 10, 2024 | 2,939 | 11.60 | 27.41 | 4.84 | 0.44 | 0.00 | 15.78 | |||||||||||||
| Voya Euro CLO IV DAC | Voya | Jun 05, 2024 | ||||||||||||||||||||
| Voya Euro CLO V DAC | Voya | Jun 05, 2024 | 2,936 | 11.10 | 26.38 | 3.45 | 0.92 | 0.00 | 16.91 | |||||||||||||
| Voya Euro CLO VI DAC | Voya | May 17, 2024 | 2,883 | 9.07 | 25.54 | 2.35 | 0.28 | 0.00 | 14.69 | |||||||||||||
| Wilton Park CLO DAC | Blackstone | May 15, 2024 | 2,824 | 9.31 | 23.22 | 1.52 | 0.34 | 0.37 | 15.61 | |||||||||||||
| 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 a 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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