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Weekly European CLO Update

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2025 U.S. Residential Mortgage And Housing Outlook

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Scenario Analysis: Middle-Market CLO Ratings Withstand Stress Scenarios With Modest Downgrades (2024 Update)

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U.S. BSL CLO Obligors: Corporate Rating Actions Tracker 2024 (As Of Dec. 6)


Weekly European CLO Update

This report does not constitute a rating action.

(Editor's Note: We will pause publishing this Weekly European CLO Update until Jan. 13, 2025. However, our interactive dashboard will continue to be updated weekly during this time.)

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*
Dec 13, 2024 Cheplapharm Arzneimittel Gmbh EUR500 mil 3.50% Callable nts due 02/11/2027 4 5,000,000 B/Stable B+/Stable Yes
Dec 13, 2024 Cheplapharm Arzneimittel Gmbh EUR575 mil 4.375% callable nts due 01/15/2028 44 63,687,000 B/Stable B+/Stable Yes
Dec 13, 2024 Cheplapharm Arzneimittel Gmbh EUR1.48 bil fltg rate TL B bank ln due 02/11/2029 219 595,812,110 B/Stable B+/Stable Yes
Dec 13, 2024 Cheplapharm Arzneimittel Gmbh EUR325 mil fltg rate callable nts due 05/15/2030 58 94,324,000 B/Stable B+/Stable Yes
Dec 13, 2024 Cheplapharm Arzneimittel Gmbh EUR725 mil 7.50% callable nts due 05/15/2030 2 200,000 B/Stable B+/Stable Yes
Dec 13, 2024 Winterfell Financing Sarl EUR1.345 bil fltg rate term B bank ln due 04/26/2028 247 713,603,165 B-/Stable B/Negative Yes
Dec 13, 2024 Winterfell Financing Sarl EUR450 mil fltg rate bank ln due 05/04/2028 118 255,175,735 B-/Stable B/Negative Yes
Dec 10, 2024 Stamina Bidco Bv EUR360 mil fltg rate Term B bank ln due 11/08/2028 71 105,601,686 B+/Stable B/Stable Yes
Dec 10, 2024 Im Group EUR265 mil 8.00% callable nts due 03/01/2028 6 17,395,000 CCC+/Stable B/Negative Yes

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
Dec 10, 2024 One.Com Group Ab EUR800 mil fltg rate B3 bank ln due 02/21/2031 144 282,215,759.07 NR 3(60%)
Dec 10, 2024 Stamina Bidco Bv EUR360 mil fltg rate Term B bank ln due 11/08/2028 71 105,601,686.48 3(60%) 3(55%)
Dec 10, 2024 Im Group EUR265 mil 8.00% callable nts due 03/01/2028 6 17,395,000.00 3(50%) 3(60%)
Dec 06, 2024 Hurtigruten Group As EUR345 mil fltg rate Term B bank ln due 09/30/2027 15 11,786,085.05 6(0%) 3(65%)
Dec 03, 2024 Expleo Services Sasu EUR610 mil fltg rate Term B bank ln due 09/28/2027 70 196,429,202.44 3(50%) 3(55%)
Dec 02, 2024 Fugue Finance B.V. EUR1.515 bil fltg rate First Lien Term Loan Credit Facilities bank ln due 01/31/2028 236 645,596,203.65 3(60%) 3(55%)
Dec 02, 2024 Market Bidco Ltd. EUR1.302 bil fltg rate Term Facility B1 bank ln due 11/04/2027 124 351,826,453.17 NR 2(80%)
Dec 02, 2024 Nobian Finance Bv EUR1.09 bil TLB bank ln due 07/31/2026 100 224,594,608.78 NR 3(60%)
Dec 02, 2024 Transportes Aereos Portugueses, S.A. EUR375 mil 5.625% nts due 12/02/2024 3 4,000,000.00 NR 3(65%)
Nov 27, 2024 Peer Holding Iii B.V. EUR2.5 bil fltg rate TL B3 bank ln due 09/30/2028 273 939,518,475.13 NR 3(60%)
Nov 27, 2024 Peer Holding Iii B.V. EUR625 mil fltg rate Term B2 bank ln due 01/16/2027 125 333,927,296.54 NR 3(60%)
Nov 25, 2024 Rocket Software, Inc. EUR875 mil bank ln due 11/28/2028 177 499,364,121.72 3(50%) 3(55%)
Nov 22, 2024 Hyperion Refinance Sarl EUR900 mil fltg rate Term bank ln due 02/15/2031 212 530,726,794.24 3(55%) 3(60%)
Nov 22, 2024 Wepa Hygieneprodukte Gmbh EUR400 mil 2.875% Callable nts due 12/15/2027 20 28,972,000.00 3(50%) 4(45%)
Nov 22, 2024 Sherwood Financing Plc EUR640 mil fltg rate nts due 11/15/2027 122 287,101,000.00 4(45%) 4(40%)
Nov 22, 2024 Sherwood Financing Plc EUR400 mil 4.50% nts due 11/15/2026 65 119,954,000.00 4(45%) 4(40%)

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
Bain Capital Euro CLO 2017-1 DAC Oct 04, 2024 OC Class F Par Value Test 101.49% 103.53% -2.04% Fail
Man GLG Euro CLO III DAC Oct 03, 2024 OC Class F Par Value Test 102.70% 103.50% -0.80% Fail
Accunia European CLO II DAC Oct 31, 2024 OC Class F Par Value Test 104.27% 104.63% -0.36% Fail
Segovia European CLO 4-2017 DAC Oct 08, 2024 OC Class F Par Value Test 103.83% 103.80% 0.03% Pass
GLG Euro CLO IV DAC Oct 08, 2024 OC Class F Par Value Test 104.40% 104.00% 0.40% Pass
Newhaven CLO DAC Oct 07, 2024 OC Class F-R Par Value Test 104.53% 103.81% 0.72% Pass
Bain Capital Euro CLO 2017-1 DAC Nov 06, 2024 OC Class E Par Value Test 107.46% 106.61% 0.85% Pass
Bp--Basis point. IC--Interest coverage. OC--Overcollateralization.

Chart 1

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Chart 2

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Table 4

European CLOs Snapshot as of Dec 16, 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 Oct 15, 2024 2,788 14.86 26.40 2.68 0.00 0.90 14.97
Ab Carval Euro CLO II-C DAC CarVal Oct 11, 2024 2,783 13.94 26.67 1.13 0.00 0.28 11.75
Accunia European CLO II DAC Accunia Oct 31, 2024 3,509 0.00 36.57 17.86 0.00 0.00 12.19
Accunia European CLO IV DAC Accunia Oct 31, 2024 3,032 10.50 33.32 4.10 1.47 0.73 19.26
Adagio IV CLO DAC AXA Nov 20, 2024 2,855 15.99 23.59 5.73 0.97 0.00 16.59
Adagio VI CLO DAC AXA Oct 17, 2024 3,002 13.72 29.46 10.60 0.00 0.00 22.00
Adagio X EUR CLO DAC AXA Nov 20, 2024 2,821 15.86 25.04 4.35 0.82 0.00 17.81
AlbaCore Euro CLO I DAC AlbaCore Nov 07, 2024 2,877 13.80 25.99 4.60 0.77 1.47 11.40
AlbaCore Euro CLO II DAC AlbaCore Oct 15, 2024 2,862 14.04 24.60 4.85 0.77 1.46 13.34
AlbaCore Euro CLO III DAC AlbaCore Oct 15, 2024 2,844 13.76 24.96 4.05 0.79 0.97 12.80
AlbaCore Euro CLO IV DAC AlbaCore Oct 02, 2024 2,849 13.22 25.06 4.17 0.61 1.62 12.97
AlbaCore Euro CLO VI DAC AlbaCore Oct 02, 2024 2,858 12.02 27.76 2.96 0.00 0.49 12.71
Anchorage Capital Europe CLO 10 DAC Anchorage Nov 04, 2024 2,796 8.61 22.71 1.56 0.00 0.50 11.25
Anchorage Capital Europe CLO 2 DAC Anchorage Nov 04, 2024 2,865 8.98 23.06 3.76 0.50 1.35 11.40
Anchorage Capital Europe CLO 2021-4 DAC Anchorage Oct 15, 2024 2,852 8.86 22.37 3.47 0.54 1.34 11.43
Anchorage Capital Europe CLO 6 DAC Anchorage Oct 09, 2024 2,857 9.47 22.94 3.63 0.55 1.09 11.54
Anchorage Capital Europe CLO 8 DAC Anchorage Oct 15, 2024 2,859 9.14 22.57 3.75 0.54 1.54 11.52
Aqueduct European CLO 5-2020 DAC HPS Oct 08, 2024 2,852 12.64 26.58 4.11 0.00 0.88 12.41
Aqueduct European CLO 6-2021 DAC HPS Oct 02, 2024 2,899 9.81 26.64 3.88 0.00 0.73 13.35
Aqueduct European CLO 7-2022 DAC HPS Nov 04, 2024 2,928 9.96 31.08 2.40 0.00 1.09 13.81
Aqueduct European CLO 8 DAC HPS Oct 31, 2024 2,908 10.26 31.05 1.19 0.00 0.72 11.06
Arbour CLO II DAC Oaktree Oct 31, 2024 2,849 17.37 25.24 4.41 1.14 0.00 16.37
Arbour CLO III DAC Oaktree Oct 31, 2024 2,900 13.86 25.28 4.16 1.53 0.00 16.09
Arbour CLO IV DAC Oaktree Oct 31, 2024 2,902 16.25 27.52 3.97 1.45 0.00 16.27
Arbour CLO IX DAC Oaktree Oct 31, 2024 2,867 15.47 26.34 3.38 1.39 0.00 17.41
Arbour CLO XI DAC Oaktree Oct 31, 2024 2,888 10.06 29.32 2.66 0.00 0.00 13.35
Arbour CLO XII DAC Oaktree Oct 31, 2024 2,834 11.46 28.28 1.83 0.00 0.00 14.31
Arbour CLO XIII DAC Oaktree Oct 31, 2024 2,735 12.60 21.09 0.95 0.00 0.00 12.34
Ares European CLO IX DAC Ares Nov 06, 2024 3,170 8.78 32.16 14.66 0.00 1.20 18.67
Ares European CLO VI DAC Ares Oct 02, 2024 2,666 26.87 20.13 8.24 0.00 1.04 17.41
Ares European CLO VII DAC Ares Nov 12, 2024 3,003 14.03 31.37 13.18 0.00 0.00 16.92
Ares European CLO VIII DAC Ares Nov 06, 2024 2,976 7.21 28.75 6.21 0.00 0.45 17.38
Ares European CLO XIII DAC Ares Nov 06, 2024 2,972 9.24 29.77 5.86 0.00 0.57 13.31
Ares European CLO XIX DAC Ares Oct 15, 2024 2,885 6.99 28.80 0.00 0.00 0.47 11.99
Ares European CLO XVI DAC Ares Oct 02, 2024 3,013 7.04 30.42 6.10 0.00 0.64 12.66
Ares European CLO XVII DAC Ares Nov 12, 2024 2,932 5.58 29.82 1.45 0.00 0.37 13.77
Ares European CLO XVIII DAC Ares Nov 05, 2024 2,864 6.29 27.75 0.10 0.00 0.40 13.31
Ares European CLO XX DAC Ares Oct 15, 2024 2,829 9.08 25.10 0.47 0.00 0.94 11.57
Arini European CLO I DAC Squarepoint Oct 03, 2024 2,822 14.90 17.82 5.35 0.97 0.00 10.04
Arini European CLO II DAC Arini Oct 03, 2024 2,751 15.07 18.70 3.51 0.39 0.00 7.90
Armada Euro CLO I DAC Brigade Nov 15, 2024 2,832 11.48 21.69 4.22 0.76 2.26 13.09
Armada Euro CLO IV DAC Brigade Nov 15, 2024 2,829 13.64 22.01 5.08 0.92 2.69 15.40
Armada Euro CLO V DAC Brigade Nov 15, 2024 2,881 9.37 21.99 3.61 1.21 2.06 13.56
Armada Euro CLO VI DAC Brigade Oct 15, 2024 2,787 9.28 18.50 2.96 0.00 1.48 11.09
Aurium CLO II DAC Spire Oct 31, 2024 2,793 16.64 25.02 4.20 0.08 0.00 16.24
Aurium CLO III DAC Spire Oct 08, 2024 2,714 23.42 24.80 2.95 1.35 0.45 15.61
Aurium CLO IV DAC Spire Oct 31, 2024 2,731 17.48 23.08 3.02 0.61 0.79 17.94
Aurium CLO IX DAC Spire Oct 18, 2024 2,808 15.48 24.41 3.23 0.49 0.00 14.30
Aurium CLO V DAC Spire Oct 08, 2024 2,791 17.34 22.66 4.07 0.69 0.00 16.31
Aurium CLO VI DAC Spire Nov 14, 2024 2,817 15.78 24.36 4.21 0.49 0.00 15.25
Aurium CLO VII DAC Spire Nov 06, 2024 2,803 16.45 23.83 3.88 0.60 0.00 15.84
Aurium CLO VIII DAC Spire Oct 31, 2024 2,757 16.60 23.71 3.93 0.00 0.00 15.56
Aurium CLO XI DAC Spire Oct 09, 2024 2,744 15.36 22.98 2.42 0.00 0.00 14.77
Avoca CLO XIV DAC KKR Oct 31, 2024 2,863 12.34 26.74 6.07 0.00 0.62 17.27
Avoca CLO XVII DAC KKR Oct 31, 2024 2,833 9.78 24.92 3.33 0.00 0.35 14.94
Avoca CLO XVIII DAC KKR Oct 31, 2024 2,864 10.61 30.76 4.94 0.16 0.00 14.14
Avoca CLO XXI DAC KKR Oct 31, 2024 2,852 10.32 26.76 4.45 0.00 0.44 15.51
Avoca CLO XXII DAC KKR Oct 31, 2024 2,888 9.20 27.43 3.27 0.00 0.60 16.58
Avoca CLO XXIII DAC KKR Oct 31, 2024 2,885 8.81 27.08 2.96 0.00 0.74 16.46
Avoca CLO XXIV DAC KKR Oct 31, 2024 2,888 8.70 27.15 3.47 0.00 0.69 16.39
Avoca CLO XXIX DAC KKR Oct 31, 2024 2,830 7.41 23.09 1.60 0.00 0.49 15.01
Avoca CLO XXVIII DAC KKR Oct 31, 2024 2,869 7.74 25.07 2.11 0.00 0.46 15.63
Avoca CLO XXX DAC KKR Oct 31, 2024 2,838 7.03 23.83 1.62 0.00 0.49 15.46
Avoca CLO XXXI DAC KKR Oct 31, 2024 2,847 8.07 22.32 1.94 0.00 0.49 14.13
Avondale Park CLO DAC Blackstone Oct 18, 2024 2,894 11.14 25.29 5.44 0.31 0.09 13.17
BBAM European CLO I DAC BlueBay Oct 09, 2024 2,764 10.97 19.01 4.04 0.00 0.75 12.67
BBAM European CLO II DAC BlueBay Oct 02, 2024 2,778 11.22 18.96 4.43 0.00 0.75 12.92
BBAM European CLO IV DAC RBC Oct 10, 2024 2,708 9.49 16.56 0.80 0.00 0.27 9.94
Bain Capital Euro CLO 2017-1 DAC Bain Nov 06, 2024 3,283 14.07 24.38 11.14 5.23 0.35 25.22
Bain Capital Euro CLO 2019-1 DAC Bain Oct 02, 2024 2,913 15.16 21.55 5.20 1.85 0.15 15.58
Bain Capital Euro CLO 2020-1 DAC Bain Oct 08, 2024 2,940 14.27 22.63 5.81 1.65 0.21 15.42
Bain Capital Euro CLO 2021-1 DAC Bain Oct 01, 2024 2,977 12.85 22.79 5.64 1.81 0.31 15.38
Bain Capital Euro CLO 2021-2 DAC Bain Oct 03, 2024 2,945 11.74 21.97 4.92 1.48 0.42 13.84
Bain Capital Euro CLO 2022-1 DAC Bain Oct 07, 2024 2,867 12.27 22.99 3.39 0.95 0.39 15.70
Bain Capital Euro CLO 2022-2 DAC Bain Oct 08, 2024 2,966 10.72 21.82 4.51 1.67 0.12 16.58
Bain Capital Euro CLO 2023-1 DAC Bain Oct 11, 2024 2,863 11.41 23.19 2.64 0.91 0.29 15.23
Bain Capital Euro CLO 2024-1 DAC Bain Nov 13, 2024 2,760 12.44 22.22 1.86 0.11 0.62 13.76
Bain Capital Euro CLO 2024-2 DAC Bain Oct 02, 2024 2,799 12.35 23.51 2.07 0.00 0.36 12.19
Barings Euro CLO 2020-1 DAC Barings Nov 11, 2024 2,816 17.42 27.42 3.33 1.02 0.00 18.47
Barings Euro CLO 2021-1 DAC Barings Oct 14, 2024 2,939 16.44 27.78 3.69 2.29 0.00 17.52
Barings Euro CLO 2021-2 DAC Barings Oct 03, 2024 2,906 16.31 28.27 3.16 1.88 0.00 17.69
Barings Euro CLO 2023-1 DAC Barings Oct 17, 2024 2,724 18.92 24.94 2.04 0.61 0.00 17.29
Barings Euro CLO 2023-2 DAC Barings Oct 09, 2024 2,746 16.84 25.78 2.21 0.33 0.00 16.97
Barings Euro CLO 2024-1 DAC Barings Oct 09, 2024 2,760 15.75 25.64 1.00 0.55 0.00 13.45
Bastille Euro CLO 2020-3 DAC CELF Oct 02, 2024 2,859 10.10 25.33 4.27 0.00 0.00 19.62
Bilbao CLO III DAC Guggenheim Oct 07, 2024 3,046 4.16 31.17 5.65 0.00 1.01 12.96
Bilbao CLO IV DAC Guggenheim Nov 06, 2024 2,921 6.04 24.87 3.91 0.00 0.89 12.95
Black Diamond CLO 2017-2 DAC Black Diamond Oct 08, 2024 3,147 8.61 21.30 16.39 0.10 3.03 16.54
Black Diamond CLO 2019-1 DAC Black Diamond Oct 15, 2024 3,039 10.74 21.97 10.60 0.57 2.40 14.05
BlackRock European CLO II DAC BlackRock Oct 02, 2024 2,816 15.61 20.85 5.48 1.01 0.37 14.45
BlackRock European CLO III DAC BlackRock Oct 08, 2024 2,828 14.90 21.21 5.06 1.09 0.36 15.15
BlackRock European CLO IV DAC BlackRock Nov 12, 2024 2,825 17.86 22.61 8.70 1.33 0.67 21.72
BlackRock European CLO IX DAC BlackRock Oct 10, 2024 2,858 13.81 23.52 5.41 0.96 0.52 15.60
BlackRock European CLO X DAC BlackRock Oct 02, 2024 2,810 16.36 20.88 5.67 0.94 1.37 14.13
BlackRock European CLO XI DAC BlackRock Oct 04, 2024 2,808 14.47 20.00 5.81 1.01 0.93 14.92
BlackRock European CLO XII DAC BlackRock Oct 04, 2024 2,802 14.41 20.20 4.72 0.99 0.86 14.38
Blackrock European CLO XIII DAC BlackRock Oct 08, 2024 2,804 14.32 20.06 4.98 1.00 0.86 14.36
Blackrock European CLO XIV DAC BlackRock Nov 12, 2024 2,697 13.04 24.87 1.24 0.00 0.62 12.03
BlueMountain EUR 2021-1 CLO DAC Sound Point Oct 02, 2024 2,875 11.82 27.33 3.67 0.00 0.28 16.69
BlueMountain EUR 2021-2 CLO DAC Sound Point Oct 02, 2024 2,888 10.82 26.42 3.92 0.00 0.28 15.51
BlueMountain EUR CLO 2016-1 DAC Sound Point Oct 15, 2024 3,031 9.67 30.51 9.91 0.00 0.00 17.49
BlueMountain Fuji EUR CLO IV DAC Sound Point Oct 07, 2024 2,867 11.67 25.65 3.94 0.00 0.49 16.91
BlueMountain Fuji EUR CLO V DAC Sound Point Oct 02, 2024 2,915 12.58 31.57 3.78 0.00 0.69 17.83
Bosphorus CLO VI DAC Cross Ocean Nov 13, 2024 2,722 19.63 23.19 5.54 0.00 0.00 18.48
Bridgepoint CLO 1 DAC Bridgepoint Oct 02, 2024 2,881 8.90 22.41 4.70 0.00 0.00 13.56
Bridgepoint CLO 2 DAC Bridgepoint Oct 02, 2024 2,811 9.96 23.20 2.99 0.00 0.00 12.40
Bridgepoint CLO IV DAC Bridgepoint Nov 12, 2024 2,953 4.91 23.91 3.90 0.00 0.00 11.94
Bridgepoint CLO V DAC Bridgepoint Oct 02, 2024 2,880 6.38 25.88 1.78 0.00 0.00 9.80
Bridgepoint CLO VI DAC Bridgepoint Oct 07, 2024 2,810 7.92 18.50 1.97 0.00 0.00 10.93
CIFC European Funding VI DAC CIFC Oct 31, 2024 2,800 11.34 28.90 0.84 0.00 0.24 12.95
CVC Cordatus Loan Fund IV DAC CVC Oct 31, 2024 2,843 11.63 25.85 4.55 0.00 0.00 11.12
CVC Cordatus Loan Fund IX DAC CVC Oct 31, 2024 2,890 11.18 23.35 5.48 0.33 0.00 11.55
CVC Cordatus Loan Fund V DAC CVC Oct 08, 2024 2,791 18.05 21.57 6.36 0.64 0.00 10.71
CVC Cordatus Loan Fund VIII DAC CVC Oct 02, 2024 2,853 12.30 22.19 5.96 0.16 0.00 11.82
CVC Cordatus Loan Fund X DAC CVC Oct 16, 2024 2,767 17.20 22.96 5.99 0.23 0.00 15.06
CVC Cordatus Loan Fund XIX DAC CVC Oct 31, 2024 2,839 10.98 25.19 4.00 0.00 0.00 12.41
CVC Cordatus Loan Fund XVI DAC CVC Oct 31, 2024 2,968 7.54 31.43 5.37 0.18 0.00 15.05
CVC Cordatus Loan Fund XVII DAC CVC Oct 31, 2024 2,882 10.00 25.28 4.91 0.13 0.00 14.08
CVC Cordatus Loan Fund XVIII DAC CVC Nov 18, 2024 2,906 11.11 24.25 5.20 0.31 0.00 11.56
CVC Cordatus Loan Fund XX DAC CVC Oct 31, 2024 2,903 9.10 26.71 5.43 0.00 0.00 13.01
CVC Cordatus Loan Fund XXI DAC CVC Oct 31, 2024 2,910 8.68 25.47 4.84 0.17 0.00 12.84
CVC Cordatus Loan Fund XXIV DAC CVC Nov 06, 2024 3,016 7.01 35.19 5.23 0.21 0.00 14.88
CVC Cordatus Loan Fund XXIX DAC CVC Nov 04, 2024 2,900 7.04 30.44 2.92 0.00 0.00 12.87
CVC Cordatus Loan Fund XXV-A DAC CVC Oct 09, 2024 2,922 8.27 28.27 3.49 0.00 0.00 13.66
CVC Cordatus Loan Fund XXVI DAC CVC Nov 15, 2024 2,905 8.63 31.18 3.05 0.00 0.00 13.22
CVC Cordatus Loan Fund XXVII DAC CVC Nov 12, 2024 2,866 7.89 25.39 2.91 0.00 0.00 11.80
CVC Cordatus Loan Fund XXVIII DAC CVC Nov 04, 2024 2,931 7.85 27.26 3.41 0.37 0.00 11.66
CVC Cordatus Loan Fund XXX DAC CVC Nov 04, 2024 2,856 7.99 28.88 1.50 0.00 0.00 13.48
CVC Cordatus Loan Fund XXXI DAC CVC Nov 12, 2024 2,765 12.23 22.71 2.40 0.00 0.00 11.67
Cairn CLO VIII DAC Cairn Oct 18, 2024 3,006 17.18 31.73 6.44 2.05 1.01 13.22
Cairn CLO XI DAC Cairn Oct 02, 2024 2,996 13.53 31.31 6.63 0.99 0.13 15.09
Cairn CLO XIV DAC Cairn Nov 15, 2024 2,875 13.45 28.80 5.22 0.00 1.04 16.18
Cairn CLO XVI DAC Cairn Nov 15, 2024 2,707 16.29 23.00 2.90 0.23 0.00 12.40
Cairn CLO XVII DAC Cairn Nov 15, 2024 2,760 15.28 24.23 2.94 0.25 0.00 12.52
Cairn CLO XVIII DAC Cairn Nov 08, 2024 2,751 18.38 29.25 2.16 0.00 0.00 10.04
Canyon Euro CLO 2022-1 DAC Canyon Oct 02, 2024 2,735 14.32 19.38 3.70 0.00 1.23 11.79
Canyon Euro CLO 2023-1 DAC Canyon Oct 31, 2024 2,782 10.73 22.62 1.83 0.00 1.05 9.84
Capital Four CLO I DAC Capital Four Oct 02, 2024 2,907 15.11 26.28 3.44 1.93 0.79 13.04
Capital Four CLO II DAC Capital Four Oct 02, 2024 2,915 13.94 24.74 2.22 1.93 0.56 11.56
Capital Four CLO III DAC Capital Four Oct 02, 2024 2,937 12.44 25.84 2.08 1.93 1.31 11.15
Capital Four CLO IV DAC Capital Four Oct 02, 2024 2,931 12.70 26.76 2.08 1.96 0.57 11.47
Capital Four CLO V DAC Capital Four Nov 13, 2024 2,939 11.16 27.99 1.09 1.76 0.49 10.48
Capital Four CLO VI DAC Capital Four Nov 13, 2024 2,846 9.61 24.52 1.06 0.88 0.00 10.86
Capital Four CLO VII DAC Capital Four Oct 15, 2024 2,733 11.37 24.06 0.00 0.00 0.00 9.57
Carlyle Euro CLO 2013-1 DAC CELF Oct 02, 2024 2,768 14.73 24.83 2.77 0.93 0.00 20.21
Carlyle Euro CLO 2017-1 DAC CELF Oct 02, 2024 2,899 12.27 21.19 5.89 0.69 0.00 19.62
Carlyle Euro CLO 2017-3 DAC CELF Oct 02, 2024 2,963 7.39 26.68 4.36 0.82 0.00 20.46
Carlyle Euro CLO 2018-1 DAC CELF Oct 02, 2024 2,964 7.84 27.49 4.35 0.91 0.00 19.94
Carlyle Euro CLO 2019-2 DAC CELF Oct 18, 2024 2,986 8.03 26.48 4.42 0.72 0.00 21.25
Carlyle Euro CLO 2020-1 DAC CELF Nov 18, 2024 2,891 8.09 24.48 4.28 0.00 0.00 19.87
Carlyle Euro CLO 2020-2 DAC CELF Nov 18, 2024 2,872 11.08 24.73 4.66 0.00 0.00 15.99
Carlyle Euro CLO 2021-1 DAC CELF Nov 18, 2024 2,837 10.82 20.46 4.74 0.00 0.00 16.98
Carlyle Euro CLO 2021-3 DAC CELF Oct 15, 2024 3,007 8.86 27.30 5.43 0.72 0.00 18.66
Carlyle Euro CLO 2022-5 DAC CELF Nov 20, 2024 2,891 9.17 26.97 3.29 0.00 0.00 17.64
Carlyle Euro CLO 2024-1 DAC CELF Oct 02, 2024 2,767 9.61 22.43 0.12 0.00 0.00 15.97
Carlyle Global Market Strategies Euro CLO 2015-1 DAC CELF Oct 03, 2024 2,973 7.74 25.63 5.70 0.59 0.00 21.21
Carlyle Global Market Strategies Euro CLO 2015-3 DAC CELF Oct 02, 2024 3,095 8.42 30.14 5.14 1.16 0.00 19.20
Carlyle Global Market Strategies Euro CLO 2016-2 DAC CELF Oct 02, 2024 2,863 12.81 20.41 4.99 0.70 0.00 20.20
Carysfort Park CLO DAC Blackstone Oct 16, 2024 2,872 12.83 25.28 5.32 0.25 0.09 13.18
Clarinda Park CLO DAC Blackstone Oct 15, 2024 2,858 13.19 26.25 4.91 0.27 0.15 14.33
Clonmore Park CLO DAC Blackstone Oct 15, 2024 3,028 7.40 26.85 6.45 0.52 0.56 15.26
Contego CLO IV DAC Five Arrows Oct 11, 2024 3,024 6.80 34.18 5.47 0.00 0.94 17.22
Contego CLO IX DAC Five Arrows Oct 14, 2024 2,952 6.69 31.02 3.50 0.00 0.64 13.54
Contego CLO VII DAC Five Arrows Oct 31, 2024 2,913 8.55 30.37 3.65 0.00 0.56 16.91
Contego CLO VIII DAC Five Arrows Oct 15, 2024 2,931 6.80 30.98 3.55 0.00 0.75 15.30
Contego CLO X DAC Five Arrows Nov 05, 2024 2,939 5.69 32.21 2.63 0.00 0.00 14.13
Contego CLO XII DAC Five Arrows Oct 15, 2024 2,904 7.09 30.38 2.47 0.00 0.00 14.80
Cross Ocean Bosphorus CLO IX DAC Cross Ocean Oct 03, 2024 2,802 13.69 27.43 1.09 0.00 0.00 16.45
Cross Ocean Bosphorus CLO X DAC Cross Ocean Oct 31, 2024 2,813 12.92 29.04 0.48 0.00 0.00 8.58
Crosthwaite Park CLO DAC Blackstone Oct 21, 2024 2,897 12.83 25.85 5.81 0.36 0.45 13.92
Dartry Park CLO DAC Blackstone Nov 15, 2024 2,920 10.33 26.19 6.18 0.21 0.82 12.82
Deer Park CLO DAC Blackstone Oct 02, 2024 2,888 13.92 24.90 5.17 0.69 0.44 12.28
Dillons Park CLO DAC Blackstone Oct 02, 2024 2,969 10.17 26.11 6.97 0.39 0.38 13.14
Dryden 27 R Euro CLO 2017 DAC PGIM Oct 31, 2024 2,808 14.38 31.30 3.28 0.12 0.66 17.80
Dryden 29 Euro CLO 2013 DAC PGIM Oct 31, 2024 2,744 16.01 33.21 3.09 0.01 1.55 14.32
Dryden 35 Euro CLO 2014 DAC PGIM Oct 31, 2024 2,794 11.10 31.17 3.10 0.00 0.42 14.22
Dryden 39 Euro CLO 2015 DAC PGIM Oct 31, 2024 2,772 16.10 29.93 3.78 0.15 0.46 15.99
Dryden 44 Euro CLO 2015 DAC PGIM Oct 31, 2024 2,782 15.65 30.24 4.80 0.03 0.24 14.76
Dryden 46 Euro CLO 2016 DAC PGIM Oct 31, 2024 2,750 15.93 29.08 3.96 0.14 0.43 13.91
Dryden 48 Euro CLO 2016 DAC PGIM Oct 31, 2024 2,827 11.03 30.61 4.38 0.00 0.35 15.30
Dryden 52 Euro CLO 2017 DAC PGIM Oct 31, 2024 2,761 16.65 33.29 3.26 0.00 1.26 14.76
Dryden 56 Euro CLO 2017 DAC PGIM Oct 31, 2024 2,686 17.00 31.36 2.48 0.00 1.34 12.85
Dryden 73 Euro CLO 2018 DAC PGIM Oct 31, 2024 2,753 14.89 29.78 3.62 0.00 0.16 14.95
Dryden 74 Euro CLO 2020 DAC PGIM Oct 31, 2024 2,837 11.81 31.60 3.75 0.00 0.46 15.82
Dryden 88 Euro CLO 2020 DAC PGIM Oct 31, 2024 2,772 16.08 30.42 4.32 0.00 0.24 15.89
Dryden 89 Euro CLO 2020 DAC PGIM Oct 31, 2024 2,801 16.04 31.55 5.14 0.00 0.48 16.23
Dryden 96 Euro CLO 2021 DAC PGIM Oct 31, 2024 2,779 13.94 31.77 3.02 0.00 0.68 14.26
Dunedin Park CLO DAC Blackstone Oct 15, 2024 2,905 11.23 25.77 5.40 0.37 0.49 13.06
Elm Park CLO DAC Blackstone Nov 15, 2024 2,872 12.96 25.90 5.37 0.21 0.85 13.61
Euro-Galaxy III CLO DAC PineBridge Oct 11, 2024 2,929 16.78 24.68 5.98 1.58 0.45 12.69
Euro-Galaxy IV CLO DAC PineBridge Oct 17, 2024 2,922 13.43 24.46 5.02 1.60 0.53 15.13
Euro-Galaxy V CLO DAC PineBridge Oct 07, 2024 2,920 14.55 24.44 5.31 1.64 0.30 13.59
Fair Oaks Loan Funding I DAC Fair Oaks Nov 15, 2024 2,705 13.73 22.11 2.80 0.00 0.00 14.69
Fair Oaks Loan Funding II DAC Fair Oaks Nov 15, 2024 2,768 12.70 24.95 3.45 0.00 0.00 14.80
Fair Oaks Loan Funding III DAC Fair Oaks Nov 15, 2024 2,707 13.78 23.24 2.25 0.00 0.00 14.16
Fair Oaks Loan Funding V DAC Fair Oaks Nov 15, 2024 2,653 13.46 21.41 0.00 0.00 0.00 14.00
Fernhill Park CLO DAC Blackstone Nov 05, 2024 2,830 11.23 25.29 2.04 0.00 0.19 14.25
Fidelity Grand Harbour CLO 2022-1 DAC FIL Oct 03, 2024 2,834 13.32 27.35 1.79 0.63 0.00 12.71
Fidelity Grand Harbour CLO 2023-1 DAC FIL Nov 04, 2024 2,843 11.08 30.74 1.30 0.00 0.25 13.08
Fidelity Grand Harbour CLO 2023-2 DAC FIL Oct 03, 2024 2,804 11.50 27.67 0.76 0.00 0.37 13.17
GLG Euro CLO IV DAC GLG Oct 08, 2024 3,062 12.52 34.15 7.34 1.46 1.26 18.02
Glenbrook Park CLO DAC Blackstone Oct 08, 2024 2,952 8.70 26.66 3.93 0.56 0.28 14.59
GoldenTree Loan Management EUR CLO 4 DAC GoldenTree Oct 04, 2024 2,700 16.44 19.63 3.58 0.00 1.41 12.73
GoldenTree Loan Management EUR CLO 5 DAC GoldenTree Oct 04, 2024 2,729 15.28 20.46 3.53 0.00 1.78 12.69
GoldenTree Loan Management EUR CLO 6 DAC GoldenTree Nov 15, 2024 2,757 13.52 20.72 3.03 0.00 1.72 12.88
GoldenTree Loan Management EUR CLO 7 DAC GoldenTree Nov 15, 2024 2,730 13.71 20.63 1.83 0.00 1.63 12.15
Grosvenor Place CLO 2022-1 DAC CQS Nov 13, 2024 2,830 12.85 25.76 2.66 0.75 0.00 9.55
Harvest CLO VIII DAC Investcorp Oct 02, 2024 2,830 15.38 27.27 4.71 0.00 1.24 18.05
Harvest CLO XVII DAC Investcorp Oct 30, 2024 2,975 10.08 26.42 3.53 1.39 0.59 18.20
Harvest CLO XVIII DAC Investcorp Oct 03, 2024 2,878 13.43 26.56 7.29 0.00 0.56 20.06
Harvest CLO XXII DAC Investcorp Oct 31, 2024 2,906 9.85 27.38 2.22 0.71 0.34 16.35
Harvest CLO XXIII DAC Investcorp Oct 31, 2024 2,927 10.45 27.74 2.62 0.91 0.73 16.50
Harvest CLO XXIX DAC Investcorp Nov 08, 2024 2,925 8.57 28.33 2.02 0.00 0.00 16.62
Harvest CLO XXV DAC Investcorp Nov 12, 2024 2,903 9.25 25.78 2.91 0.06 0.51 15.80
Harvest CLO XXVI DAC Investcorp Oct 02, 2024 2,953 10.46 25.93 2.51 0.84 0.16 18.54
Harvest CLO XXX DAC Investcorp Nov 08, 2024 2,901 7.92 25.51 1.79 0.00 0.00 17.20
Harvest CLO XXXI DAC Investcorp Oct 02, 2024 2,906 9.44 26.86 1.95 0.00 0.00 16.81
Harvest CLO XXXII DAC Investcorp Oct 31, 2024 2,891 8.03 26.74 0.69 0.00 0.10 14.13
Hayfin Emerald CLO IV DAC Hayfin Oct 02, 2024 2,874 17.20 20.65 5.96 2.02 0.00 10.39
Hayfin Emerald CLO IX DAC Hayfin Oct 15, 2024 2,748 19.84 20.36 6.03 0.79 0.00 11.91
Hayfin Emerald CLO VI DAC Hayfin Oct 02, 2024 2,867 18.08 21.15 6.32 1.98 0.00 10.06
Hayfin Emerald CLO VII DAC Hayfin Oct 02, 2024 2,730 20.40 21.47 5.61 0.92 0.00 10.55
Hayfin Emerald CLO VIII DAC Hayfin Oct 04, 2024 2,902 19.18 21.46 5.83 2.46 0.00 11.56
Hayfin Emerald CLO X DAC Hayfin Oct 07, 2024 2,720 19.13 21.15 4.54 0.71 0.00 11.59
Hayfin Emerald CLO XII DAC Hayfin Oct 15, 2024 2,708 16.21 19.94 4.18 0.00 0.00 14.52
Hayfin Emerald CLO XIII DAC Hayfin Nov 04, 2024 2,649 19.41 23.39 0.50 0.25 0.00 9.99
Henley CLO I DAC Napier Park Nov 15, 2024 2,884 5.95 25.53 1.79 0.00 0.76 12.09
Henley CLO II DAC Napier Park Oct 15, 2024 2,950 2.03 25.44 2.05 0.00 0.76 14.46
Henley CLO III DAC Napier Park Oct 15, 2024 2,936 3.84 25.77 2.27 0.00 1.01 13.62
Henley CLO IV DAC Napier Park Oct 15, 2024 2,892 5.02 24.75 1.90 0.00 0.76 11.60
Henley CLO V DAC Napier Park Oct 15, 2024 2,921 2.49 23.42 2.28 0.00 0.76 13.50
Henley CLO VI DAC Napier Park Oct 15, 2024 2,968 2.90 24.34 2.88 0.00 1.52 12.62
Henley CLO VII DAC Napier Park Nov 15, 2024 2,869 4.96 21.25 1.76 0.00 1.01 12.16
Henley CLO X DAC Napier Park Oct 15, 2024 2,937 2.21 24.17 0.66 0.00 0.44 7.72
Holland Park CLO DAC Blackstone Oct 21, 2024 2,918 11.84 28.85 5.20 0.51 0.58 14.68
ICG Euro CLO 2021-1 DAC Intermediate Oct 02, 2024 3,003 14.38 29.68 3.91 1.88 0.00 16.67
ICG Euro CLO 2022-1 DAC Intermediate Oct 15, 2024 3,128 14.95 30.08 3.23 3.49 0.00 17.97
ICG Euro CLO 2023-1 DAC Intermediate Oct 07, 2024 3,098 13.95 28.11 5.14 2.66 0.00 16.34
ICG Euro CLO 2023-2 DAC Intermediate Oct 09, 2024 2,944 15.41 28.88 2.73 1.39 0.00 19.53
ICG Euro CLO 2024-1 DAC Intermediate Nov 12, 2024 2,787 17.11 30.14 0.95 0.00 0.00 12.60
Indigo Credit Management I DAC Pemberton Oct 02, 2024 2,514 20.43 6.79 1.25 0.00 0.00 15.92
Invesco Euro CLO II DAC Invesco Oct 15, 2024 3,076 11.79 33.72 6.31 1.17 0.00 18.02
Invesco Euro CLO IV DAC Invesco Oct 02, 2024 3,061 13.18 33.06 6.25 1.31 0.20 18.30
Invesco Euro CLO Issuer X DAC Invesco Nov 15, 2024 2,891 15.10 27.08 3.24 0.97 0.00 18.25
Invesco Euro CLO VI DAC Invesco Oct 02, 2024 2,949 13.64 29.28 5.89 0.74 0.00 20.29
Invesco Euro CLO XI DAC Invesco Oct 09, 2024 2,879 15.04 27.08 2.83 0.75 0.00 15.71
Invesco Euro CLO XII DAC Invesco Oct 15, 2024 2,874 10.92 31.47 0.43 0.00 0.00 17.27
Jubilee CLO 2013-X DAC Alcentra Oct 02, 2024 2,867 16.91 29.77 6.31 0.37 0.36 16.97
Jubilee CLO 2017-XIX DAC Alcentra Oct 15, 2024 2,945 15.00 31.10 7.36 0.41 0.43 18.58
Jubilee CLO 2019-XXII DAC Alcentra Oct 08, 2024 2,806 17.40 30.66 3.98 0.00 0.27 16.52
Jubilee CLO 2019-XXIII DAC Alcentra Oct 02, 2024 2,863 15.55 30.84 4.24 0.26 0.29 16.80
Jubilee CLO 2020-XXIV DAC Alcentra Oct 03, 2024 2,896 13.51 29.05 6.02 0.32 0.34 17.02
Jubilee CLO 2022-XXVI DAC Alcentra Sep 10, 2024 2,871 15.83 29.32 5.59 0.37 0.00 16.27
Jubilee CLO 2023-XXVII DAC Alcentra Oct 08, 2024 2,860 15.96 30.80 5.04 0.36 0.00 16.27
Jubilee CLO 2024-XXVIII DAC Alcentra Oct 08, 2024 2,786 15.31 30.80 2.32 0.00 0.00 13.73
MAN GLG Euro CLO VI DAC GLG Oct 03, 2024 2,922 12.59 31.25 5.60 0.45 1.31 16.29
MV Credit Euro CLO III DAC MV Oct 15, 2024 2,857 10.42 18.85 2.28 0.58 0.00 15.95
Madison Park Euro Funding IX DAC Credit Suisse Nov 06, 2024 2,932 10.91 19.54 5.59 1.33 0.27 15.94
Madison Park Euro Funding VIII DAC Credit Suisse Nov 20, 2024 2,882 11.09 22.03 4.74 0.96 0.62 13.96
Madison Park Euro Funding X DAC Credit Suisse Oct 16, 2024 2,767 22.84 21.36 6.34 1.22 0.94 14.20
Madison Park Euro Funding XIX DAC Credit Suisse Oct 04, 2024 2,950 8.97 25.41 3.13 0.80 0.97 14.64
Madison Park Euro Funding XV DAC Credit Suisse Oct 04, 2024 2,949 11.58 25.67 6.01 0.51 0.46 15.04
Madison Park Euro Funding XVI DAC Credit Suisse Oct 04, 2024 2,900 11.50 23.91 4.43 0.75 0.79 15.55
Madison Park Euro Funding XVII DAC Credit Suisse Oct 18, 2024 2,932 9.31 26.21 4.40 0.42 0.30 16.58
Madison Park Euro Funding XX DAC Credit Suisse Oct 04, 2024 3,023 7.18 23.24 5.37 1.18 1.71 15.15
Man Euro CLO 2023-1 DAC GLG Oct 03, 2024 2,785 10.99 24.03 1.18 0.00 1.17 7.25
Man GLG Euro CLO III DAC GLG Oct 03, 2024 3,088 13.26 27.56 12.01 0.87 2.83 20.26
Margay CLO I DAC M&G Oct 02, 2024 2,656 19.05 15.62 1.03 0.88 0.25 12.30
Margay CLO II DAC M&G Nov 15, 2024 2,608 15.78 14.89 0.50 0.00 0.00 12.49
Marino Park CLO DAC Blackstone Oct 03, 2024 2,884 11.19 28.08 5.05 0.00 0.12 14.79
Montmartre Euro CLO 2020-2 DAC CELF Oct 02, 2024 2,871 11.40 27.68 4.39 0.00 0.00 18.39
Monument CLO 1 DAC Serone Oct 15, 2024 2,721 12.21 18.40 0.00 0.00 0.00 10.22
Nassau Euro CLO III DAC NCC Oct 02, 2024 2,841 9.28 20.54 1.70 0.54 0.00 12.13
Nassau Euro CLO IV DAC NCC Oct 07, 2024 2,780 9.66 19.14 0.50 0.00 0.00 11.19
Neuberger Berman Loan Advisers Euro CLO 1 DAC Neuberger Berman Oct 04, 2024 2,755 12.34 20.64 1.85 0.16 0.48 11.60
Neuberger Berman Loan Advisers Euro CLO 2 DAC Neuberger Berman Oct 02, 2024 2,768 12.10 22.27 2.03 0.17 0.97 11.99
Neuberger Berman Loan Advisers Euro CLO 3 DAC Neuberger Berman Oct 15, 2024 2,771 11.78 19.77 2.33 0.16 0.93 12.29
Neuberger Berman Loan Advisers Euro CLO 5 DAC Neuberger Berman Oct 08, 2024 2,745 12.91 22.08 2.32 0.17 1.13 13.23
Neuberger Berman Loan Advisers Euro CLO 6 DAC Neuberger Berman Nov 18, 2024 2,734 10.95 19.50 1.40 0.00 0.66 11.66
Newhaven CLO DAC Bain Oct 07, 2024 2,989 14.35 23.65 6.27 2.07 0.30 16.02
North Westerly VI ESG CLO DAC NIBC Nov 08, 2024 2,971 14.00 23.83 3.89 2.51 0.00 19.70
North Westerly VII ESG CLO DAC NIBC Nov 05, 2024 2,894 14.61 22.50 3.03 2.39 0.00 15.93
North Westerly VIII 2024 ESG CLO DAC NIBC Oct 31, 2024 2,704 14.88 22.53 0.00 0.00 0.00 10.75
Northwoods Capital 19 Euro DAC Northwoods Nov 13, 2024 2,938 9.05 27.32 4.91 0.54 0.85 17.20
Northwoods Capital 21 Euro DAC Northwoods Oct 10, 2024 3,038 11.03 27.85 4.66 1.84 0.00 15.35
Northwoods Capital 23 Euro DAC Northwoods Oct 31, 2024 3,009 11.67 26.90 4.56 1.92 0.00 16.58
Northwoods Capital 24 Euro DAC Northwoods Oct 03, 2024 3,034 11.44 27.50 4.67 1.93 0.00 15.61
Northwoods Capital 26 Euro DAC Northwoods Oct 03, 2024 2,988 10.68 26.50 3.78 1.61 0.43 16.84
OCP EURO CLO 2022-5 DAC Onex Nov 06, 2024 2,825 14.95 33.20 2.34 0.00 0.49 16.11
OCP Euro CLO 2017-1 DAC Onex Oct 01, 2024 2,791 15.52 31.40 2.55 0.00 0.43 14.48
OCP Euro CLO 2017-2 DAC Onex Nov 06, 2024 2,794 16.08 32.52 2.00 0.00 0.00 13.14
OCP Euro CLO 2019-3 DAC Onex Nov 06, 2024 2,780 14.41 28.70 2.10 0.00 0.35 14.51
OCP Euro CLO 2020-4 DAC Onex Nov 06, 2024 2,823 14.28 31.40 3.03 0.00 1.05 16.65
OCP Euro CLO 2022-6 DAC Onex Oct 09, 2024 2,902 12.37 34.36 3.06 0.00 0.49 14.17
OCP Euro CLO 2023-8 DAC Onex Nov 06, 2024 2,885 10.77 34.52 1.54 0.00 0.00 15.70
OCP Euro CLO 2024-9 DAC Onex Oct 07, 2024 2,819 12.23 28.94 1.95 0.00 0.40 11.64
OCPE CLO 2023-7 DAC Onex Nov 06, 2024 2,839 13.97 33.08 2.59 0.00 0.56 13.72
OZLME III DAC Sculptor Oct 15, 2024 2,713 18.90 24.43 6.33 0.00 0.00 16.57
Oak Hill European Credit Partners VIII DAC Oak Hill Oct 06, 2024 2,808 9.61 24.11 2.17 0.00 0.31 14.74
Palmer Square European CLO 2021-1 DAC Palmer Square Oct 31, 2024 2,812 15.52 24.32 3.28 0.72 0.64 17.10
Palmer Square European CLO 2021-2 DAC Palmer Square Nov 05, 2024 2,819 15.61 23.96 3.41 0.82 0.64 17.66
Palmer Square European CLO 2022-1 DAC Palmer Square Oct 31, 2024 2,788 15.95 23.35 2.55 0.73 0.95 15.97
Palmer Square European CLO 2022-2 DAC Palmer Square Oct 02, 2024 2,737 16.39 21.76 1.49 0.63 0.81 13.80
Palmer Square European CLO 2023-1 DAC Palmer Square Oct 02, 2024 2,699 19.08 21.43 1.38 0.46 1.41 13.59
Palmer Square European CLO 2023-2 DAC Palmer Square Oct 31, 2024 2,760 16.87 21.76 1.73 0.67 1.03 12.97
Penta CLO 11 DAC Partners Oct 03, 2024 2,917 7.91 28.14 2.89 0.00 0.00 9.33
Penta CLO 12 DAC Partners Oct 30, 2024 2,832 11.79 25.53 1.98 0.00 0.00 12.52
Penta CLO 15 DAC Partners Oct 03, 2024 2,811 12.03 24.14 1.72 0.00 0.00 11.29
Penta CLO 16 DAC Partners Oct 08, 2024 2,828 10.56 24.94 2.42 0.00 0.00 12.13
Penta CLO 17 DAC Partners Oct 31, 2024 2,827 11.25 22.84 2.63 0.00 0.00 11.10
Penta CLO 5 DAC Partners Oct 09, 2024 2,853 13.31 25.79 2.90 0.56 0.00 13.23
Penta CLO 7 DAC Partners Oct 15, 2024 2,886 11.05 24.79 3.42 0.64 0.00 11.71
Penta CLO 8 DAC Partners Oct 03, 2024 2,865 10.94 26.42 3.38 0.00 0.00 16.62
Penta CLO 9 DAC Partners Oct 31, 2024 2,863 9.07 24.80 2.72 0.00 0.00 10.86
Providus CLO I DAC Permira Oct 31, 2024 2,752 17.95 34.13 2.89 0.00 0.00 16.68
Providus CLO III DAC Permira Oct 03, 2024 2,856 10.72 31.98 1.58 0.00 0.00 12.98
Providus CLO IV DAC Permira Oct 04, 2024 2,870 9.57 32.58 1.68 0.00 0.00 13.99
Providus CLO IX DAC Permira Oct 03, 2024 2,903 8.66 31.94 1.53 0.00 0.00 13.10
Providus CLO V DAC Permira Oct 31, 2024 2,886 9.21 33.23 1.79 0.00 0.00 13.59
Providus CLO VI DAC Permira Nov 05, 2024 2,897 9.52 33.10 2.23 0.00 0.00 13.73
Providus CLO VII DAC Permira Oct 02, 2024 2,909 9.30 32.36 1.99 0.00 0.00 13.57
Providus CLO X DAC Permira Nov 01, 2024 2,899 9.08 31.95 1.58 0.00 0.00 14.19
Purple Finance CLO 1 DAC Ostrum Nov 15, 2024 3,272 4.04 45.27 10.96 0.00 0.00 10.55
Purple Finance CLO 2 DAC Ostrum Oct 08, 2024 2,987 3.70 25.11 2.88 0.63 0.00 14.13
RRE 1 Loan Management DAC Redding Ridge Oct 07, 2024 2,768 11.90 22.28 1.74 0.00 0.00 10.88
RRE 10 Loan Management DAC Redding Ridge Oct 07, 2024 2,770 12.19 22.80 2.05 0.00 0.00 11.07
RRE 11 Loan Management DAC Redding Ridge Oct 07, 2024 2,778 9.83 21.45 1.35 0.00 0.00 11.47
RRE 12 Loan Management DAC Redding Ridge Oct 07, 2024 2,771 10.59 20.35 1.67 0.00 0.00 11.21
RRE 16 Loan Management DAC Redding Ridge Oct 07, 2024 2,789 8.78 21.26 1.26 0.00 0.00 11.62
RRE 17 Loan Management DAC Redding Ridge Oct 07, 2024 2,803 7.04 21.44 0.62 0.00 0.00 12.82
RRE 18 Loan Management DAC Redding Ridge Oct 07, 2024 2,810 7.27 20.94 0.61 0.00 0.00 11.00
RRE 19 Loan Management DAC Redding Ridge Oct 31, 2024 2,833 5.94 23.75 0.13 0.00 0.00 10.62
RRE 2 Loan Management DAC Redding Ridge Oct 07, 2024 2,774 11.23 21.36 1.82 0.00 0.00 11.45
RRE 20 Loan Management DAC Redding Ridge Oct 31, 2024 2,868 5.88 24.17 0.43 0.00 0.00 9.64
RRE 21 Loan Management DAC Redding Ridge Oct 31, 2024 2,870 6.64 22.89 2.04 0.00 0.00 11.90
RRE 5 Loan Management DAC Redding Ridge Oct 07, 2024 2,764 11.67 21.74 1.93 0.00 0.00 11.54
RRE 6 Loan Management DAC Redding Ridge Oct 07, 2024 2,773 11.66 21.70 1.81 0.00 0.00 11.61
RRE 7 Loan Management DAC Redding Ridge Oct 07, 2024 2,777 11.92 21.93 2.13 0.00 0.00 11.33
RRE 8 Loan Management DAC Redding Ridge Oct 07, 2024 2,793 10.46 22.10 2.13 0.00 0.00 11.57
Rockfield Park CLO DAC Blackstone Nov 12, 2024 2,893 11.19 25.63 4.66 0.49 0.14 12.94
Rockford Tower Europe CLO 2018-1 DAC Rockford Oct 11, 2024 2,807 18.92 31.13 5.26 0.00 1.22 15.94
Rockford Tower Europe CLO 2021-1 DAC Rockford Oct 08, 2024 2,720 20.48 23.59 5.63 0.00 0.83 11.98
Rockford Tower Europe CLO 2021-2 DAC Rockford Oct 11, 2024 2,853 17.31 30.80 5.96 0.00 0.67 13.65
Rockford Tower Europe CLO 2023-1 DAC Rockford Nov 15, 2024 2,809 15.83 28.58 3.81 0.00 0.53 10.60
Sculptor European CLO I DAC Sculptor Oct 07, 2024 2,738 16.40 24.03 3.14 0.00 0.00 14.07
Sculptor European CLO II DAC Sculptor Oct 02, 2024 2,718 17.29 23.83 2.65 0.00 0.00 14.54
Sculptor European CLO VI DAC Sculptor Oct 02, 2024 2,688 18.97 23.65 2.46 0.00 0.00 14.63
Sculptor European CLO VIII DAC Sculptor Oct 04, 2024 2,776 14.14 24.62 2.51 0.00 0.00 15.64
Seapoint Park CLO DAC Blackstone Nov 12, 2024 2,896 10.85 27.70 4.49 0.26 0.61 11.77
Segovia European CLO 1-2014 DAC Segovia Oct 02, 2024 2,913 10.92 25.50 3.88 0.62 1.04 13.27
Segovia European CLO 3-2017 DAC Segovia Oct 15, 2024 2,899 10.67 24.93 2.04 0.77 1.15 12.42
Segovia European CLO 4-2017 DAC Segovia Oct 08, 2024 2,874 19.12 29.75 3.96 1.51 1.69 14.47
Signal Harmonic CLO II DAC Signal Oct 02, 2024 2,807 16.42 27.14 2.92 0.00 0.00 11.03
Signal Harmonic CLO III DAC Signal Oct 14, 2024 2,830 15.04 28.09 2.68 0.00 0.00 10.08
Sona Fios CLO I DAC Sona Oct 02, 2024 2,762 10.83 20.53 2.29 0.00 0.00 7.15
Sona Fios CLO II DAC Sona Nov 04, 2024 2,736 11.59 22.27 1.08 0.00 0.00 6.24
Sona Fios CLO III DAC Sona Oct 31, 2024 2,705 11.85 19.56 1.29 0.00 0.00 5.66
Sound Point Euro CLO 10 Funding DAC Sound Point Oct 02, 2024 2,914 9.50 29.58 0.91 0.00 0.28 15.81
Sound Point Euro CLO 11 Funding DAC Sound Point Nov 01, 2024 2,858 13.17 30.42 0.99 0.00 0.99 14.62
Sound Point Euro CLO III Funding DAC Sound Point Nov 07, 2024 2,871 12.62 30.80 1.88 0.00 0.75 17.05
Sound Point Euro CLO IV Funding DAC Sound Point Oct 01, 2024 2,896 11.59 32.49 1.86 0.00 0.89 18.04
St. Paul's CLO II DAC Intermediate Oct 15, 2024 3,072 16.72 26.92 6.06 3.01 0.00 18.23
St. Paul's CLO IX DAC Intermediate Oct 08, 2024 3,060 16.22 27.52 4.92 2.93 0.00 19.32
St. Paul's CLO VI DAC Intermediate Nov 07, 2024 2,992 16.38 29.72 4.22 1.97 0.00 17.36
St. Paul's CLO VII DAC Intermediate Oct 07, 2024 3,069 16.61 27.29 4.52 3.21 0.00 18.62
St. Paul's CLO X DAC Intermediate Oct 07, 2024 3,083 15.53 28.66 4.43 3.05 0.00 18.49
St. Paul's CLO XII DAC Intermediate Oct 02, 2024 3,098 13.43 30.41 5.23 2.54 0.00 17.88
Texas Debt Capital Euro CLO 2024-I DAC CIFC Oct 31, 2024 2,799 12.62 28.62 0.85 0.00 0.24 15.70
Tikehau CLO III DAC Tikehau Oct 31, 2024 2,812 15.88 21.29 5.50 1.14 0.56 12.78
Tikehau CLO V DAC Tikehau Oct 02, 2024 2,831 14.41 24.02 4.63 0.76 0.80 15.99
Tikehau CLO VII DAC Tikehau Oct 31, 2024 2,868 13.30 26.03 2.64 0.73 0.00 16.11
Tikehau CLO VIII DAC Tikehau Oct 15, 2024 2,846 12.96 20.93 4.07 0.78 0.00 14.33
Tikehau CLO X DAC Tikehau Oct 08, 2024 2,770 11.77 22.48 0.93 0.47 0.00 12.16
Tikehau CLO XI DAC Tikehau Oct 02, 2024 2,822 10.92 23.77 1.21 0.57 0.00 11.33
Tikehau CLO XII DAC Tikehau Oct 31, 2024 2,854 8.80 27.58 0.25 0.00 0.00 9.42
Toro European CLO 2 DAC Chenavari Oct 15, 2024 2,812 14.39 22.63 5.25 0.00 0.75 15.81
Toro European CLO 3 DAC Chenavari Oct 03, 2024 2,787 13.28 21.73 4.48 0.00 0.72 14.86
Toro European CLO 5 DAC Chenavari Oct 03, 2024 2,706 19.19 18.09 5.77 0.00 1.55 21.02
Toro European CLO 6 DAC Chenavari Oct 04, 2024 2,789 14.38 22.42 4.97 0.00 0.45 17.50
Toro European CLO 7 DAC Chenavari Oct 15, 2024 2,761 14.80 21.48 5.33 0.00 0.00 20.49
Toro European CLO 8 DAC Chenavari Oct 03, 2024 2,906 12.44 28.59 4.49 0.00 0.00 16.99
Toro European CLO 9 DAC Chenavari Oct 03, 2024 2,780 13.42 24.56 3.05 0.00 0.67 13.03
Trinitas Euro CLO I DAC WhiteStar Oct 08, 2024 2,789 13.30 21.96 2.92 0.00 0.41 18.62
Trinitas Euro CLO II DAC Trinitas Nov 12, 2024 2,693 16.77 22.39 1.24 0.00 0.14 13.00
Trinitas Euro CLO III DAC Trinitas Nov 15, 2024 2,726 15.55 21.98 0.89 0.20 0.72 14.60
Trinitas Euro CLO IV DAC Trinitas Nov 04, 2024 2,683 17.06 20.12 1.49 0.16 0.00 16.14
Trinitas Euro CLO V DAC WhiteStar Oct 15, 2024 2,624 16.96 17.07 0.57 0.00 0.00 13.97

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
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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