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Weekly European CLO Update

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Weekly European CLO Update

This report does not constitute a rating action.

In response to investors' growing interest following the coronavirus pandemic and ongoing credit effects on companies and European CLOs, S&P Global Ratings is publishing a regularly updated list of rating and recovery actions we have taken globally on nonfinancial corporations that have 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*
Oct 18, 2024 Ask Chemicals Deutschland Holdings Gmbh EUR225 mil fltg rate Term B bank ln due 01/30/2026 9 9,664,286 CCC+/Watch Pos CCC+/Positive Yes
Oct 18, 2024 Vincent Bidco Bv (Nl) EUR320 mil fltg rate Term bank ln due 12/16/2026 57 138,428,235 B/Stable B-/Positive Yes
Oct 16, 2024 Galileo Global Education Operations EUR1 bil fltg rate Term B bank ln due 07/14/2028 171 381,351,549 B/Negative B/Stable No
Oct 16, 2024 Galileo Global Education Operations EUR300 mil fltg rate Term Loan B2 bank ln due 07/14/2028 96 161,140,444 B/Negative B/Stable No
Oct 16, 2024 Techem Verwaltungsgesellschaft 674 Mbh EUR465 mil 6.00% nts due 07/30/2026 3 2,197,995 B+/Negative B+/Stable No
Oct 15, 2024 Techem Verwaltungsgesellschaft 675 Mbh EUR1.145 bil 2.00% nts due 07/15/2025 9 15,950,000 B+/Negative B+/Stable No
Oct 15, 2024 Techem Verwaltungsgesellschaft 675 Mbh EUR1.8 bil fltg rate Facility B4 bank ln due 07/15/2029 263 698,052,948 B+/Negative B+/Stable No
Oct 15, 2024 Techem Verwaltungsgesellschaft 675 Mbh EUR500 mil 5.375% Callable nts due 07/15/2029 6 5,500,000 B+/Negative B+/Stable No
Oct 11, 2024 Adler Group S.A. EUR400 mil 6.00% Callable third-lien nts due 08/05/2025 2 6,100,000 B-/Negative SD Yes
Oct 07, 2024 Golden Goose Spa EUR480 mil nts due 05/14/2027 35 90,126,000 B+/Stable B+/Watch Pos Yes
Oct 02, 2024 Asp Unifrax Holdings, Inc. EUR310 mil fltg rate 1st lien term bank ln due 12/12/2025 31 82,139,121 SD CCC+/Negative Yes
Oct 02, 2024 Iqera Group Sas EUR270 mil 4.25% nts due 09/30/2024 6 5,900,000 SD CCC-/Negative Yes
Oct 02, 2024 Iqera Group Sas EUR200 mil 6.50% nts due 09/30/2024 4 2,748,235 SD CCC-/Negative Yes
Oct 01, 2024 House Of Hr Group B.V. EUR1.17 bil fltg rate term B bank ln due 10/30/2029 1 2,000,000 B/Negative B/Stable No
Oct 01, 2024 House Of Hr Group B.V. EUR125 mil fltg rate Delayed Draw bank ln due 10/30/2029 1 2,500,000 B/Negative B/Stable No
Oct 01, 2024 House Of Hr Group B.V. EUR415 mil 9.00% Callable nts due 11/03/2029 24 22,010,000 B/Negative B/Stable No
Oct 01, 2024 House Of Hr Group B.V. EUR1.30 bil fltg rate Term Loan B2 bank ln due 10/30/2029 180 478,465,927 B/Negative B/Stable No

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
Oct 18, 2024 Codere Finance 2 (Luxembourg) S.A. EUR133.337 mil 2.00% Cash / 10.750% PIK nts due 11/30/2027 9 6,749,646.89 NR 6(0%)
Oct 18, 2024 Codere Finance 2 (Luxembourg) S.A. EUR481.959 mil 8.00% Super Sr. cash coupon+3.00% PIK nts due 09/30/2026 10 19,204,000.00 NR 4(40%)
Oct 18, 2024 Weener Plastics Group B.V. EUR335 mil fltg rate TLB bank ln due 10/17/2028 105 169,911,882.80 NR 3(60%)
Oct 14, 2024 Picard Groupe S.A.S. EUR750 mil 3.875% callable nts due 07/01/2026 7 9,750,000.00 NR 3(60%)
Oct 14, 2024 Sprint Bidco B.V. EUR705 mil fltg rate TL B bank ln due 09/16/2029 56 153,164,291.88 4(30%) 3(50%)
Oct 15, 2024 Dufry One B.V. EUR800 mil 2.50% nts due 10/15/2024 2 3,000,000.00 NR 3(65%)
Oct 15, 2024 Chobani Llc US$425 mil nts due 11/15/2028 1 456,412.60 2(75%) 3(55%)
Oct 10, 2024 Adler Group S.A. EUR400 mil 6.00% Callable third-lien nts due 08/05/2025 2 6,100,000.00 NR 6(0%)
Oct 09, 2024 Assemblin Caverion Group Ab EUR480 mil fltg rate nts due 07/05/2029 4 5,875,000.00 NR 3(55%)
Oct 03, 2024 Ai Convoy (Luxembourg) S.A.R.L. EUR885 mil fltg rate term B bank ln due 01/15/2027 102 142,603,976.50 NR 3(60%)
Oct 02, 2024 Asp Unifrax Holdings, Inc. EUR310 mil fltg rate 1st lien term bank ln due 12/12/2025 31 82,139,120.74 NR 3(50%)
Oct 01, 2024 Crown European Holdings Sa EUR600 mil 2.625% nts due 09/30/2024 1 750,000.00 NR 3(65%)
Oct 01, 2024 Windsor Holdings Iii, Llc EUR1 bil fltg rate Term B bank ln due 08/01/2030 233 569,752,015.24 NR 3(55%)
Oct 01, 2024 House Of Hr Group B.V. EUR1.30 bil fltg rate Term Loan B2 bank ln due 10/30/2029 180 478,465,927.42 3(55%) 3(60%)
Oct 01, 2024 House Of Hr Group B.V. EUR415 mil 9.00% Callable nts due 11/03/2029 24 22,010,000.00 3(55%) 3(60%)
Oct 01, 2024 Windsor Holdings Iii, Llc US$2.754 bil fltg rate Term B bank ln due 08/01/2030 1 905,990.42 NR 3(55%)

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 Sep 06, 2024 OC Class F Par Value Test 101.54% 103.53% -1.99% Fail
Accunia European CLO II DAC Aug 30, 2024 OC Class F Par Value Test 103.66% 104.63% -0.97% Fail
Man GLG Euro CLO III DAC Sep 09, 2024 OC Class F Par Value Test 102.93% 103.50% -0.57% Fail
GLG Euro CLO IV DAC Aug 02, 2024 OC Class F Par Value Test 103.75% 104.00% -0.25% Fail
Segovia European CLO 4-2017 DAC Sep 06, 2024 OC Class F Par Value Test 103.86% 103.80% 0.06% Pass
Bain Capital Euro CLO 2017-1 DAC Sep 06, 2024 OC Class E Par Value Test 107.07% 106.61% 0.46% 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 Oct 21, 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 Aug 12, 2024 2,762 14.91 26.14 2.35 0.00 0.89 14.46
Accunia European CLO II DAC Accunia Aug 30, 2024 3,195 5.79 34.98 10.76 0.00 0.61 15.30
Accunia European CLO IV DAC Accunia Aug 30, 2024 3,032 11.63 32.15 4.79 1.44 0.72 17.42
Adagio IV CLO DAC AXA Sep 20, 2024 2,865 15.89 24.55 6.02 0.81 0.29 17.08
Adagio VI CLO DAC AXA Sep 20, 2024 2,971 13.69 28.01 9.25 0.00 0.00 22.94
Adagio X EUR CLO DAC AXA Sep 20, 2024 2,851 14.37 26.48 3.50 0.74 0.55 19.14
AlbaCore Euro CLO I DAC AlbaCore Sep 09, 2024 2,868 14.04 27.24 4.35 0.78 1.40 13.00
AlbaCore Euro CLO II DAC AlbaCore Sep 04, 2024 2,855 13.97 25.45 4.60 0.77 1.17 14.38
AlbaCore Euro CLO III DAC AlbaCore Sep 04, 2024 2,848 13.52 26.03 3.81 0.79 0.73 13.91
AlbaCore Euro CLO IV DAC AlbaCore Sep 16, 2024 2,861 12.44 25.90 4.23 0.61 1.11 14.15
AlbaCore Euro CLO VI DAC AlbaCore Aug 07, 2024 2,867 11.04 28.65 2.96 0.00 0.00 14.15
Anchorage Capital Europe CLO 10 DAC Anchorage Aug 06, 2024 2,790 8.74 23.98 1.31 0.00 0.00 12.78
Anchorage Capital Europe CLO 2 DAC Anchorage Sep 04, 2024 2,855 9.03 24.56 3.25 0.38 0.44 12.68
Anchorage Capital Europe CLO 2021-4 DAC Anchorage Sep 13, 2024 2,853 8.49 23.46 3.20 0.38 0.44 12.63
Anchorage Capital Europe CLO 3 DAC Anchorage Sep 10, 2024 2,827 11.88 23.97 3.84 0.88 0.46 14.03
Anchorage Capital Europe CLO 6 DAC Anchorage Sep 11, 2024 2,857 9.12 24.28 3.18 0.38 0.46 13.29
Anchorage Capital Europe CLO 8 DAC Anchorage Sep 04, 2024 2,851 9.05 23.78 3.33 0.38 0.46 12.59
Aqueduct European CLO 1-2017 DAC HPS Aug 30, 2024 2,924 14.79 25.88 5.06 1.41 0.00 18.35
Aqueduct European CLO 5-2020 DAC HPS Aug 08, 2024 2,868 12.33 26.12 3.34 0.48 0.60 11.35
Aqueduct European CLO 6-2021 DAC HPS Aug 30, 2024 2,907 9.38 27.89 3.17 0.00 0.73 11.52
Aqueduct European CLO 8 DAC HPS Aug 30, 2024 2,920 9.56 30.84 1.21 0.00 0.72 10.06
Arbour CLO II DAC Oaktree Aug 30, 2024 2,870 16.22 24.66 4.79 1.28 0.00 15.74
Arbour CLO III DAC Oaktree Aug 30, 2024 2,889 13.49 24.35 4.76 1.39 0.00 15.31
Arbour CLO IV DAC Oaktree Aug 30, 2024 2,902 15.28 26.50 4.65 1.30 0.00 15.88
Arbour CLO IX DAC Oaktree Aug 30, 2024 2,832 14.13 24.96 5.11 0.50 0.00 17.24
Arbour CLO VII DAC Oaktree Aug 30, 2024 2,928 11.04 28.54 5.10 0.55 0.00 14.56
Arbour CLO XI DAC Oaktree Aug 30, 2024 2,908 9.39 29.36 3.67 0.00 0.00 11.19
Arbour CLO XII DAC Oaktree Aug 30, 2024 2,823 11.04 27.71 2.09 0.00 0.00 13.33
Ares European CLO IX DAC Ares Sep 06, 2024 3,062 10.72 27.13 13.53 0.00 0.46 18.69
Ares European CLO VI DAC Ares Sep 12, 2024 2,611 26.53 16.37 8.17 0.00 0.49 19.61
Ares European CLO VII DAC Ares Sep 12, 2024 2,942 14.53 28.27 12.07 0.00 0.42 17.03
Ares European CLO VIII DAC Ares Aug 06, 2024 3,002 6.14 27.99 6.83 0.21 0.00 16.20
Ares European CLO XIII DAC Ares Sep 06, 2024 3,015 8.69 29.65 7.15 0.21 0.74 13.53
Ares European CLO XIV DAC Ares Sep 06, 2024 3,095 6.77 29.74 9.23 0.34 0.37 15.97
Ares European CLO XIX DAC Ares Sep 12, 2024 2,887 6.67 30.05 0.00 0.00 0.00 12.85
Ares European CLO XVI DAC Ares Sep 05, 2024 3,057 6.47 30.62 6.87 0.50 1.01 13.15
Ares European CLO XVII DAC Ares Oct 02, 2024 2,927 5.69 30.17 1.23 0.00 0.00 13.79
Ares European CLO XVIII DAC Ares Aug 06, 2024 2,875 5.96 29.60 0.11 0.00 0.00 14.52
Arini European CLO I DAC Squarepoint Aug 30, 2024 2,819 14.10 16.73 4.97 1.00 0.00 9.77
Arini European CLO II DAC Arini Jul 31, 2024 2,740 14.80 19.45 2.78 0.40 0.00 7.36
Armada Euro CLO I DAC Brigade Sep 16, 2024 2,827 11.13 21.86 5.07 0.61 1.49 13.80
Armada Euro CLO IV DAC Brigade Sep 16, 2024 2,849 13.05 22.51 5.62 0.88 1.60 16.23
Armada Euro CLO V DAC Brigade Sep 16, 2024 2,864 9.21 21.81 4.53 0.94 2.55 14.89
Armada Euro CLO VI DAC Brigade Sep 16, 2024 2,812 8.64 21.00 3.08 0.00 1.54 10.52
Aurium CLO I DAC Spire Aug 30, 2024 2,806 13.47 24.15 2.69 0.61 0.00 17.49
Aurium CLO II DAC Spire Aug 30, 2024 2,802 16.01 26.29 4.14 0.08 0.00 14.77
Aurium CLO III DAC Spire Aug 30, 2024 2,641 27.73 22.39 3.56 1.27 0.82 15.60
Aurium CLO IV DAC Spire Aug 30, 2024 2,706 20.34 22.67 2.91 0.60 0.53 17.69
Aurium CLO IX DAC Spire Aug 30, 2024 2,820 13.72 25.57 2.21 0.50 0.00 13.99
Aurium CLO V DAC Spire Sep 09, 2024 2,793 16.03 24.10 3.09 0.70 0.00 15.45
Aurium CLO VI DAC Spire Aug 14, 2024 2,801 15.17 25.44 3.26 0.50 0.00 14.90
Aurium CLO VII DAC Spire Sep 09, 2024 2,802 15.92 25.13 3.10 0.62 0.00 15.01
Aurium CLO VIII DAC Spire Sep 13, 2024 2,755 15.24 24.71 3.03 0.00 0.00 15.00
Aurium CLO XI DAC Spire Jul 31, 2024 2,760 13.82 25.35 1.71 0.00 0.00 13.26
Avoca CLO XI DAC KKR Sep 30, 2024 2,836 12.64 29.13 4.39 0.45 0.00 16.83
Avoca CLO XIV DAC KKR Jul 31, 2024 2,830 12.62 25.15 5.48 0.00 0.56 17.73
Avoca CLO XVII DAC KKR Aug 30, 2024 2,820 10.12 24.56 3.29 0.00 0.35 15.01
Avoca CLO XVIII DAC KKR Sep 30, 2024 2,839 12.93 30.58 5.72 0.23 0.00 16.45
Avoca CLO XXI DAC KKR Sep 30, 2024 2,835 11.32 26.48 4.35 0.00 0.43 15.81
Avoca CLO XXII DAC KKR Aug 30, 2024 2,849 10.43 26.89 2.93 0.00 0.48 16.33
Avoca CLO XXIII DAC KKR Jul 31, 2024 2,863 9.59 27.28 2.52 0.00 0.36 16.41
Avoca CLO XXIV DAC KKR Aug 30, 2024 2,856 9.88 26.72 3.08 0.00 0.38 15.76
Avoca CLO XXIX DAC KKR Jul 31, 2024 2,830 7.05 23.01 2.12 0.00 0.49 14.18
Avoca CLO XXX DAC KKR Aug 30, 2024 2,828 7.17 23.46 1.42 0.00 0.00 14.60
Avondale Park CLO DAC Blackstone Sep 10, 2024 2,873 11.23 24.50 4.86 0.31 0.00 13.97
BBAM European CLO I DAC BlueBay Sep 10, 2024 2,785 9.92 19.17 3.43 0.00 0.00 12.45
BBAM European CLO II DAC BlueBay Aug 12, 2024 2,806 10.02 20.37 3.76 0.00 0.00 11.95
BBAM European CLO IV DAC RBC Sep 10, 2024 2,744 8.36 17.90 0.68 0.00 0.00 10.48
Bain Capital Euro CLO 2017-1 DAC Bain Sep 06, 2024 3,257 16.65 23.68 14.32 4.30 1.19 24.88
Bain Capital Euro CLO 2019-1 DAC Bain Sep 06, 2024 2,869 15.28 22.70 5.15 1.14 0.15 15.55
Bain Capital Euro CLO 2020-1 DAC Bain Sep 06, 2024 2,913 13.62 23.21 5.40 1.35 0.85 16.13
Bain Capital Euro CLO 2021-1 DAC Bain Sep 06, 2024 2,928 12.93 23.84 5.31 1.26 1.04 16.17
Bain Capital Euro CLO 2021-2 DAC Bain Sep 06, 2024 2,931 11.09 23.81 4.23 1.36 0.65 14.23
Bain Capital Euro CLO 2022-2 DAC Bain Sep 11, 2024 2,946 10.16 22.79 4.23 1.40 0.19 17.65
Bain Capital Euro CLO 2023-1 DAC Bain Sep 09, 2024 2,830 11.48 23.31 2.90 0.54 0.20 16.24
Bain Capital Euro CLO 2024-1 DAC Bain Aug 14, 2024 2,790 12.43 23.24 2.50 0.11 0.75 14.85
Bain Capital Euro CLO 2024-2 DAC Bain Aug 22, 2024 2,782 12.52 24.68 1.22 0.00 0.00 13.31
Barings Euro CLO 2020-1 DAC Barings Sep 11, 2024 2,842 17.24 27.65 3.84 1.18 0.00 17.66
Barings Euro CLO 2021-1 DAC Barings Sep 12, 2024 2,887 14.99 28.89 3.58 1.28 0.00 16.51
Barings Euro CLO 2021-2 DAC Barings Sep 04, 2024 2,870 15.62 29.20 2.83 1.29 0.00 16.93
Barings Euro CLO 2023-1 DAC Barings Sep 18, 2024 2,685 18.02 25.72 1.72 0.00 0.00 17.19
Barings Euro CLO 2023-2 DAC Barings Sep 10, 2024 2,753 15.09 27.48 1.93 0.00 0.00 15.95
Bastille Euro CLO 2020-3 DAC CELF Oct 02, 2024 2,818 10.10 27.83 2.36 0.00 0.00 18.06
Bilbao CLO III DAC Guggenheim Sep 06, 2024 3,047 3.58 31.66 5.74 0.00 1.03 11.85
Bilbao CLO IV DAC Guggenheim Sep 06, 2024 2,952 5.56 25.43 4.92 0.00 0.90 11.74
Black Diamond CLO 2017-2 DAC Black Diamond Sep 12, 2024 3,119 8.56 18.89 16.52 0.09 3.72 17.48
Black Diamond CLO 2019-1 DAC Black Diamond Sep 12, 2024 2,990 10.57 21.46 11.15 0.00 2.22 16.12
BlackRock European CLO II DAC BlackRock Sep 04, 2024 2,802 15.55 20.50 6.04 0.67 0.00 14.24
BlackRock European CLO III DAC BlackRock Sep 06, 2024 2,815 14.86 21.02 5.71 0.66 0.00 14.87
BlackRock European CLO IV DAC BlackRock Sep 10, 2024 2,807 19.33 22.10 10.06 0.58 0.00 21.31
BlackRock European CLO IX DAC BlackRock Sep 04, 2024 2,837 13.81 22.58 6.32 0.44 0.40 16.05
BlackRock European CLO X DAC BlackRock Sep 20, 2024 2,792 15.16 20.26 6.33 0.40 0.60 15.44
BlackRock European CLO XI DAC BlackRock Sep 10, 2024 2,781 14.68 19.67 6.49 0.50 0.56 14.89
BlackRock European CLO XII DAC BlackRock Sep 06, 2024 2,779 14.41 19.87 5.37 0.50 0.50 14.51
Blackrock European CLO XIII DAC BlackRock Sep 16, 2024 2,787 14.48 19.95 5.85 0.49 0.74 14.25
Blackrock European CLO XIV DAC BlackRock Sep 09, 2024 2,714 12.99 22.58 2.23 0.00 0.25 12.17
BlueMountain EUR 2021-1 CLO DAC Sound Point Sep 09, 2024 2,876 10.88 28.53 2.13 0.00 0.26 16.81
BlueMountain EUR 2021-2 CLO DAC Sound Point Aug 07, 2024 2,932 10.13 26.98 2.37 0.76 0.41 14.63
BlueMountain EUR CLO 2016-1 DAC Sound Point Aug 30, 2024 3,111 9.77 31.17 7.37 1.80 0.00 17.14
BlueMountain Fuji EUR CLO IV DAC Sound Point Sep 09, 2024 2,914 10.67 27.29 2.51 0.56 0.21 16.17
BlueMountain Fuji EUR CLO V DAC Sound Point Sep 10, 2024 2,907 12.47 31.74 2.31 0.20 0.40 16.75
Bosphorus CLO VI DAC Cross Ocean Aug 30, 2024 2,721 17.99 23.26 4.27 0.00 0.00 19.91
Bridgepoint CLO 1 DAC Bridgepoint Sep 05, 2024 2,860 8.76 21.92 4.69 0.00 0.00 13.23
Bridgepoint CLO 2 DAC Bridgepoint Sep 05, 2024 2,817 9.04 23.37 3.06 0.00 0.00 11.43
Bridgepoint CLO IV DAC Bridgepoint Sep 10, 2024 2,919 6.36 22.95 3.90 0.00 0.00 9.82
Bridgepoint CLO V DAC Bridgepoint Sep 05, 2024 2,875 6.78 27.02 1.77 0.00 0.00 8.65
Bridgepoint CLO VI DAC Bridgepoint Sep 05, 2024 2,813 7.18 20.08 1.90 0.00 0.00 9.48
Bushy Park CLO DAC Blackstone Sep 12, 2024 2,911 9.59 25.86 3.87 0.50 0.00 13.72
CVC Cordatus Loan Fund IV DAC CVC Aug 12, 2024 2,870 10.91 26.21 5.30 0.00 0.23 13.37
CVC Cordatus Loan Fund IX DAC CVC Aug 08, 2024 2,892 11.25 23.39 6.35 0.00 0.47 14.05
CVC Cordatus Loan Fund V DAC CVC Aug 30, 2024 2,777 17.48 21.54 7.75 0.00 0.00 13.35
CVC Cordatus Loan Fund VIII DAC CVC Aug 30, 2024 2,854 12.25 22.26 6.38 0.00 0.21 13.73
CVC Cordatus Loan Fund X DAC CVC Aug 30, 2024 2,741 17.40 22.78 6.35 0.00 0.00 17.03
CVC Cordatus Loan Fund XIX DAC CVC Aug 30, 2024 2,871 10.84 26.01 4.56 0.00 0.36 13.35
CVC Cordatus Loan Fund XVI DAC CVC Sep 05, 2024 2,959 7.61 30.56 5.78 0.00 0.00 14.36
CVC Cordatus Loan Fund XVII DAC CVC Aug 07, 2024 2,882 10.36 25.20 5.23 0.00 0.19 15.56
CVC Cordatus Loan Fund XVIII DAC CVC Sep 18, 2024 2,902 11.18 25.26 5.61 0.00 0.00 13.06
CVC Cordatus Loan Fund XX DAC CVC Aug 30, 2024 2,906 9.48 27.39 5.14 0.00 0.00 13.98
CVC Cordatus Loan Fund XXI DAC CVC Sep 11, 2024 2,924 8.20 25.47 5.04 0.00 0.23 14.11
CVC Cordatus Loan Fund XXIV DAC CVC Sep 06, 2024 3,012 7.55 35.99 5.59 0.00 0.00 17.72
CVC Cordatus Loan Fund XXIX DAC CVC Sep 09, 2024 2,907 6.96 30.25 3.00 0.00 0.00 12.13
CVC Cordatus Loan Fund XXV DAC CVC Sep 09, 2024 2,930 7.65 27.63 3.54 0.00 0.00 14.54
CVC Cordatus Loan Fund XXVI DAC CVC Aug 15, 2024 2,888 8.10 29.08 3.08 0.00 0.00 13.50
CVC Cordatus Loan Fund XXVII DAC CVC Sep 09, 2024 2,843 8.59 23.84 2.92 0.00 0.00 12.70
CVC Cordatus Loan Fund XXVIII DAC CVC Sep 09, 2024 2,911 7.39 26.59 3.84 0.00 0.00 11.50
CVC Cordatus Loan Fund XXX DAC CVC Sep 09, 2024 2,839 8.47 26.85 1.49 0.00 0.00 12.70
CVC Cordatus Loan Fund XXXI DAC CVC Sep 09, 2024 2,770 12.65 22.02 2.44 0.00 0.00 11.65
Cairn CLO VIII DAC Cairn Sep 20, 2024 2,912 18.17 29.91 6.94 1.19 0.92 14.89
Cairn CLO XI DAC Cairn Sep 05, 2024 2,959 13.32 31.35 6.89 0.50 0.00 14.23
Cairn CLO XIV DAC Cairn Sep 16, 2024 2,874 12.44 30.24 5.13 0.00 0.95 16.71
Cairn CLO XVI DAC Cairn Sep 16, 2024 2,701 15.77 23.30 2.74 0.24 0.24 13.93
Cairn CLO XVII DAC Cairn Sep 16, 2024 2,730 15.23 23.97 2.61 0.25 0.21 12.77
Canyon Euro CLO 2022-1 DAC Canyon Aug 30, 2024 2,731 13.23 19.63 3.49 0.00 0.99 9.29
Canyon Euro CLO 2023-1 DAC Canyon Aug 30, 2024 2,802 9.59 20.69 2.23 0.00 0.71 8.10
Capital Four CLO I DAC Capital Four Aug 30, 2024 2,835 15.03 26.51 3.82 0.99 0.00 12.35
Capital Four CLO II DAC Capital Four Aug 30, 2024 2,838 13.01 23.71 2.62 0.99 0.00 12.20
Capital Four CLO III DAC Capital Four Aug 30, 2024 2,861 10.98 24.79 2.46 0.98 0.00 12.17
Capital Four CLO V DAC Capital Four Sep 11, 2024 2,896 10.61 28.03 1.72 1.14 0.00 10.54
Capital Four CLO VI DAC Capital Four Sep 11, 2024 2,847 8.94 25.40 1.48 0.57 0.00 11.80
Capital Four CLO VII DAC Capital Four Sep 11, 2024 2,755 9.91 25.25 0.00 0.00 0.00 9.86
Carlyle Euro CLO 2013-1 DAC CELF Aug 15, 2024 2,739 14.30 22.50 5.05 0.00 0.37 20.12
Carlyle Euro CLO 2017-1 DAC CELF Sep 16, 2024 2,890 10.80 22.92 6.61 0.00 0.00 19.52
Carlyle Euro CLO 2017-3 DAC CELF Oct 02, 2024 2,887 7.39 26.83 4.28 0.00 0.00 20.61
Carlyle Euro CLO 2018-1 DAC CELF Sep 10, 2024 2,866 9.76 25.70 5.25 0.00 1.21 21.92
Carlyle Euro CLO 2019-2 DAC CELF Sep 18, 2024 2,942 7.06 28.02 4.22 0.00 0.00 20.53
Carlyle Euro CLO 2020-1 DAC CELF Aug 19, 2024 2,889 7.61 23.79 4.54 0.00 0.00 20.04
Carlyle Euro CLO 2020-2 DAC CELF Aug 19, 2024 2,886 10.16 26.46 4.54 0.00 0.00 17.59
Carlyle Euro CLO 2021-1 DAC CELF Sep 18, 2024 2,841 10.19 22.53 3.99 0.00 0.00 16.78
Carlyle Euro CLO 2021-3 DAC CELF Sep 12, 2024 2,941 8.88 28.19 4.74 0.00 0.00 17.18
Carlyle Euro CLO 2022-5 DAC CELF Sep 20, 2024 2,880 9.32 27.22 2.57 0.00 0.00 18.17
Carlyle Euro CLO 2024-1 DAC CELF Sep 10, 2024 2,777 9.75 21.53 0.95 0.00 0.00 15.68
Carlyle Global Market Strategies Euro CLO 2015-1 DAC CELF Sep 16, 2024 2,907 7.80 25.56 5.18 0.00 0.00 20.44
Carlyle Global Market Strategies Euro CLO 2015-3 DAC CELF Sep 20, 2024 2,990 8.80 31.09 5.81 0.00 0.00 21.57
Carlyle Global Market Strategies Euro CLO 2016-2 DAC CELF Sep 16, 2024 2,829 11.36 22.15 4.94 0.00 0.00 18.80
Carysfort Park CLO DAC Blackstone Jul 17, 2024 2,851 12.77 24.72 4.69 0.24 0.00 13.36
Clarinda Park CLO DAC Blackstone Sep 16, 2024 2,848 12.31 25.16 4.43 0.27 0.00 15.63
Clonmore Park CLO DAC Blackstone Sep 12, 2024 3,048 5.57 27.91 6.03 0.53 0.57 16.90
Contego CLO IV DAC Five Arrows Aug 30, 2024 3,036 5.95 35.26 5.23 0.00 0.43 15.48
Contego CLO IX DAC Five Arrows Aug 30, 2024 2,962 6.69 32.29 3.72 0.00 0.37 14.12
Contego CLO VII DAC Five Arrows Aug 30, 2024 2,921 9.27 31.88 3.72 0.00 0.00 16.05
Contego CLO VIII DAC Five Arrows Sep 16, 2024 2,940 6.79 31.79 3.63 0.00 0.30 15.66
Contego CLO X DAC Five Arrows Aug 30, 2024 2,925 6.40 31.52 2.17 0.00 0.00 14.60
Contego CLO XI DAC Five Arrows Aug 30, 2024 2,883 6.88 30.03 1.60 0.00 0.49 13.39
Contego CLO XII DAC Five Arrows Aug 30, 2024 2,885 7.15 30.41 1.74 0.00 0.00 13.95
Cross Ocean Bosphorus CLO IX DAC Cross Ocean Aug 30, 2024 2,771 13.44 25.72 1.09 0.00 0.00 14.73
Crosthwaite Park CLO DAC Blackstone Sep 04, 2024 2,884 12.35 24.81 5.27 0.37 0.00 14.32
Dartry Park CLO DAC Blackstone Sep 16, 2024 2,905 9.79 25.46 5.70 0.21 0.50 13.79
Deer Park CLO DAC Blackstone Sep 18, 2024 2,886 13.26 25.07 4.68 0.70 0.29 13.50
Dillons Park CLO DAC Blackstone Sep 18, 2024 2,955 9.66 25.41 6.51 0.40 0.25 13.72
Dryden 103 Euro CLO 2021 DAC PGIM Aug 31, 2024 2,783 15.34 30.35 2.47 0.74 0.00 14.06
Dryden 27 R Euro CLO 2017 DAC PGIM Sep 30, 2024 2,877 15.62 28.68 3.94 1.04 0.00 16.86
Dryden 29 Euro CLO 2013 DAC PGIM Sep 30, 2024 2,794 18.89 27.12 3.93 1.44 0.00 11.19
Dryden 35 Euro CLO 2014 DAC PGIM Aug 31, 2024 2,898 11.69 28.97 2.91 1.73 0.00 13.71
Dryden 39 Euro CLO 2015 DAC PGIM Aug 31, 2024 2,839 16.79 28.53 3.65 1.59 0.00 14.26
Dryden 44 Euro CLO 2015 DAC PGIM Aug 31, 2024 2,843 14.90 30.80 4.33 0.88 0.00 12.80
Dryden 46 Euro CLO 2016 DAC PGIM Sep 30, 2024 2,774 15.91 29.38 3.43 0.61 0.00 11.31
Dryden 48 Euro CLO 2016 DAC PGIM Aug 31, 2024 2,984 10.88 29.78 5.01 1.89 0.00 14.96
Dryden 52 Euro CLO 2017 DAC PGIM Aug 31, 2024 2,892 17.06 30.09 3.92 1.80 0.00 12.91
Dryden 56 Euro CLO 2017 DAC PGIM Jul 31, 2024 2,977 16.95 27.32 3.78 3.52 0.00 9.57
Dryden 73 Euro CLO 2018 DAC PGIM Aug 31, 2024 2,895 15.44 28.82 3.55 2.12 0.00 13.86
Dryden 74 Euro CLO 2020 DAC PGIM Aug 31, 2024 2,875 11.89 29.68 3.91 0.74 0.00 13.98
Dryden 88 Euro CLO 2020 DAC PGIM Aug 31, 2024 2,850 15.33 31.02 4.47 0.90 0.00 14.74
Dryden 89 Euro CLO 2020 DAC PGIM Aug 31, 2024 2,854 15.35 31.27 4.74 0.75 0.00 14.92
Dryden 96 Euro CLO 2021 DAC PGIM Aug 31, 2024 2,842 13.03 31.59 2.94 0.76 0.00 13.13
Dunedin Park CLO DAC Blackstone Sep 16, 2024 2,901 9.94 24.98 4.83 0.37 0.00 13.72
Elm Park CLO DAC Blackstone Sep 16, 2024 2,861 12.25 24.80 5.01 0.22 0.40 14.19
Euro-Galaxy III CLO DAC PineBridge Sep 05, 2024 2,880 15.07 24.16 5.69 0.93 0.44 12.54
Euro-Galaxy IV CLO DAC PineBridge Sep 16, 2024 2,895 13.14 23.40 6.00 0.89 0.00 15.03
Euro-Galaxy V CLO DAC PineBridge Sep 05, 2024 2,886 13.98 23.53 5.54 1.07 0.17 13.30
Fair Oaks Loan Funding I DAC Fair Oaks Sep 16, 2024 2,700 13.38 21.07 2.82 0.00 0.00 14.93
Fair Oaks Loan Funding II DAC Fair Oaks Sep 16, 2024 2,765 12.63 23.91 3.46 0.00 0.00 13.67
Fair Oaks Loan Funding III DAC Fair Oaks Sep 16, 2024 2,706 13.87 22.19 2.27 0.00 0.00 13.81
Fair Oaks Loan Funding V DAC Fair Oaks Sep 16, 2024 2,665 12.93 20.38 0.00 0.00 0.00 14.33
Fidelity Grand Harbour CLO 2022-1 DAC FIL Aug 06, 2024 2,837 13.18 29.12 1.35 0.63 0.00 11.50
Fidelity Grand Harbour CLO 2023-1 DAC FIL Jul 05, 2024 2,841 11.29 29.89 0.67 0.54 0.00 12.28
Fidelity Grand Harbour CLO 2023-2 DAC FIL Aug 06, 2024 2,789 12.22 28.46 0.26 0.00 0.00 11.95
GLG Euro CLO IV DAC GLG Aug 02, 2024 3,019 11.94 30.93 6.70 1.33 0.00 14.95
Glenbrook Park CLO DAC Blackstone Sep 09, 2024 2,960 7.44 26.84 3.48 0.58 0.00 14.67
GoldenTree Loan Management EUR CLO 3 DAC GoldenTree Aug 15, 2024 2,708 18.42 21.72 2.69 0.00 1.89 10.59
GoldenTree Loan Management EUR CLO 4 DAC GoldenTree Sep 16, 2024 2,724 15.85 21.30 2.62 0.00 1.13 12.42
GoldenTree Loan Management EUR CLO 5 DAC GoldenTree Sep 16, 2024 2,741 14.87 21.46 2.55 0.00 1.31 12.35
GoldenTree Loan Management EUR CLO 6 DAC GoldenTree Sep 16, 2024 2,716 14.84 19.91 2.12 0.00 1.39 12.47
GoldenTree Loan Management EUR CLO 7 DAC GoldenTree Sep 16, 2024 2,751 13.48 20.81 2.03 0.00 0.69 11.94
Grosvenor Place CLO 2022-1 DAC CQS Sep 16, 2024 2,806 13.05 26.52 1.51 0.76 0.00 8.91
Harvest CLO VIII DAC Investcorp Aug 30, 2024 2,830 14.88 28.04 4.55 0.00 0.00 18.98
Harvest CLO XVII DAC Investcorp Aug 30, 2024 2,865 10.24 25.58 3.89 0.06 0.00 18.24
Harvest CLO XVIII DAC Investcorp Aug 30, 2024 2,869 12.90 25.76 6.99 0.01 0.79 19.57
Harvest CLO XXII DAC Investcorp Aug 30, 2024 2,833 9.85 26.95 2.31 0.06 0.00 16.39
Harvest CLO XXIII DAC Investcorp Aug 30, 2024 2,909 7.89 27.80 2.68 0.06 0.00 15.67
Harvest CLO XXIX DAC Investcorp Sep 09, 2024 2,897 8.29 27.40 2.03 0.00 0.00 17.13
Harvest CLO XXV DAC Investcorp Sep 09, 2024 2,894 8.42 24.66 3.14 0.06 0.00 16.39
Harvest CLO XXVI DAC Investcorp Oct 02, 2024 2,884 10.46 25.43 2.81 0.05 0.00 17.58
Harvest CLO XXX DAC Investcorp Aug 09, 2024 2,878 7.45 25.18 1.37 0.00 0.00 16.31
Harvest CLO XXXI DAC Investcorp Sep 09, 2024 2,866 9.09 25.48 1.22 0.00 0.00 15.62
Harvest CLO XXXII DAC Investcorp Aug 30, 2024 2,849 8.36 24.86 0.30 0.00 0.00 14.13
Hayfin Emerald CLO IV DAC Hayfin Sep 04, 2024 2,866 16.39 21.39 5.68 1.99 0.00 11.66
Hayfin Emerald CLO IX DAC Hayfin Aug 02, 2024 2,763 19.31 22.76 6.03 0.79 0.00 13.24
Hayfin Emerald CLO V DAC Hayfin Sep 16, 2024 2,914 12.38 28.44 5.99 0.95 0.00 18.17
Hayfin Emerald CLO VI DAC Hayfin Sep 16, 2024 2,856 17.68 21.80 6.27 1.97 0.00 11.07
Hayfin Emerald CLO VII DAC Hayfin Sep 04, 2024 2,870 17.82 22.33 5.49 2.31 0.00 11.28
Hayfin Emerald CLO VIII DAC Hayfin Aug 15, 2024 2,906 18.03 23.20 5.73 2.41 0.00 12.43
Hayfin Emerald CLO X DAC Hayfin Aug 30, 2024 2,736 17.60 22.36 4.47 0.70 0.00 12.12
Hayfin Emerald CLO XII DAC Hayfin Aug 30, 2024 2,748 13.51 23.17 3.56 0.00 0.00 14.55
Henley CLO I DAC Napier Park Sep 16, 2024 2,904 6.03 26.82 2.20 0.00 0.77 11.02
Henley CLO II DAC Napier Park Sep 16, 2024 2,946 2.06 25.40 2.07 0.00 0.89 13.90
Henley CLO III DAC Napier Park Sep 16, 2024 2,939 3.92 26.67 2.32 0.00 1.03 13.39
Henley CLO IV DAC Napier Park Sep 16, 2024 2,906 5.11 25.89 1.94 0.00 1.71 11.33
Henley CLO V DAC Napier Park Sep 16, 2024 2,925 2.54 24.04 2.32 0.00 0.77 12.51
Henley CLO VI DAC Napier Park Sep 16, 2024 2,973 2.95 24.40 2.93 0.00 1.54 10.55
Henley CLO VII DAC Napier Park Aug 15, 2024 2,891 5.02 22.38 2.16 0.00 1.02 11.70
Henley CLO X DAC Napier Park Sep 16, 2024 2,950 2.23 25.41 0.67 0.00 0.45 7.14
Holland Park CLO DAC Blackstone Aug 01, 2024 2,864 13.75 25.92 4.66 0.48 0.00 14.18
ICG Euro CLO 2021-1 DAC Intermediate Sep 09, 2024 3,004 11.79 29.68 4.68 1.29 0.00 14.71
ICG Euro CLO 2022-1 DAC Intermediate Sep 16, 2024 3,074 12.28 30.12 4.94 1.96 0.00 16.10
ICG Euro CLO 2023-1 DAC Intermediate Sep 12, 2024 3,067 11.86 28.20 4.69 2.21 0.00 14.06
ICG Euro CLO 2023-2 DAC Intermediate Sep 12, 2024 2,954 13.46 28.35 2.77 1.41 0.00 17.73
Indigo Credit Management I DAC Pemberton Sep 10, 2024 2,477 21.60 5.42 1.25 0.00 0.00 18.47
Invesco Euro CLO II DAC Invesco Sep 16, 2024 3,051 11.50 32.17 6.31 1.19 0.00 20.06
Invesco Euro CLO IV DAC Invesco Aug 15, 2024 2,982 15.04 29.12 6.17 1.18 0.00 18.36
Invesco Euro CLO IX DAC Invesco Sep 16, 2024 2,931 15.07 28.07 4.86 0.97 0.00 15.68
Invesco Euro CLO Issuer X DAC Invesco Sep 16, 2024 2,898 14.54 26.95 3.51 0.97 0.00 18.17
Invesco Euro CLO VI DAC Invesco Sep 16, 2024 2,928 13.15 27.65 5.77 0.72 0.00 20.00
Invesco Euro CLO XI DAC Invesco Sep 16, 2024 2,855 15.03 25.45 2.87 0.73 0.00 16.24
Invesco Euro CLO XII DAC Invesco Sep 16, 2024 2,861 10.29 29.93 0.43 0.00 0.00 17.19
Jubilee CLO 2013-X DAC Alcentra Aug 05, 2024 2,870 15.77 30.80 5.28 0.37 0.00 14.75
Jubilee CLO 2014-XI DAC Alcentra Aug 05, 2024 5,001 0.00 22.53 77.47 0.00 0.00 0.00
Jubilee CLO 2017-XIX DAC Alcentra Sep 04, 2024 2,905 15.13 31.02 5.90 0.41 0.48 18.70
Jubilee CLO 2019-XXII DAC Alcentra Aug 23, 2024 2,820 16.53 32.24 2.81 0.00 0.47 15.27
Jubilee CLO 2019-XXIII DAC Alcentra Jul 18, 2024 2,885 13.51 33.42 3.21 0.26 0.00 15.83
Jubilee CLO 2020-XXIV DAC Alcentra Sep 10, 2024 2,856 13.53 29.78 4.69 0.33 0.00 15.74
Jubilee CLO 2022-XXVI DAC Alcentra Sep 10, 2024 2,846 15.83 30.05 4.49 0.37 0.00 14.91
Jubilee CLO 2023-XXVII DAC Alcentra Sep 10, 2024 2,863 14.53 31.95 3.90 0.37 0.00 14.76
Jubilee CLO 2024-XXVIII DAC Alcentra Aug 08, 2024 2,821 13.73 31.21 1.76 0.00 0.00 12.72
MAN GLG Euro CLO VI DAC GLG Sep 09, 2024 2,891 12.44 27.71 5.51 0.44 0.34 15.73
MV Credit Euro CLO III DAC MV Sep 16, 2024 2,839 10.80 19.48 1.22 0.61 0.00 14.72
Madison Park Euro Funding IX DAC Credit Suisse Sep 05, 2024 2,922 11.35 20.82 5.66 1.41 0.42 15.86
Madison Park Euro Funding VIII DAC Credit Suisse Aug 20, 2024 2,907 10.42 23.06 4.60 1.16 0.00 15.20
Madison Park Euro Funding X DAC Credit Suisse Sep 12, 2024 2,750 23.21 20.72 5.83 1.40 0.00 15.38
Madison Park Euro Funding XIX DAC Credit Suisse Aug 20, 2024 2,922 8.58 24.85 3.18 0.81 0.00 14.58
Madison Park Euro Funding XV DAC Credit Suisse Aug 20, 2024 2,933 11.24 26.76 5.55 0.57 0.00 14.68
Madison Park Euro Funding XVI DAC Credit Suisse Aug 20, 2024 2,899 11.27 24.11 4.46 0.88 0.74 16.07
Madison Park Euro Funding XVII DAC Credit Suisse Sep 20, 2024 2,921 9.18 25.66 4.52 0.43 0.00 17.14
Madison Park Euro Funding XX DAC Credit Suisse Aug 06, 2024 3,001 7.40 23.20 5.37 1.42 0.48 15.64
Man Euro CLO 2023-1 DAC GLG Sep 09, 2024 2,739 11.55 23.05 1.43 0.00 0.00 6.98
Man GLG Euro CLO III DAC GLG Sep 09, 2024 3,055 12.93 27.00 11.67 0.85 0.00 19.88
Margay CLO I DAC M&G Sep 16, 2024 2,648 18.19 15.03 1.04 0.89 0.00 12.53
Margay CLO II DAC M&G Sep 16, 2024 2,613 14.31 14.40 0.53 0.00 0.00 12.03
Marino Park CLO DAC Blackstone Oct 03, 2024 2,875 11.19 27.89 4.43 0.00 0.00 14.56
Montmartre Euro CLO 2020-2 DAC CELF Sep 04, 2024 2,845 11.12 29.58 2.36 0.00 0.00 16.52
Monument CLO 1 DAC Serone Sep 16, 2024 2,705 12.89 17.56 0.00 0.00 0.00 10.76
Nassau Euro CLO III DAC NCC Sep 09, 2024 2,829 8.54 20.84 1.20 0.55 0.27 10.34
Nassau Euro CLO IV DAC NCC Sep 09, 2024 2,773 9.02 18.24 0.25 0.00 0.00 10.05
Neuberger Berman Loan Advisers Euro CLO 1 DAC Neuberger Berman Sep 16, 2024 2,740 12.20 19.53 1.55 0.17 0.48 12.83
Neuberger Berman Loan Advisers Euro CLO 2 DAC Neuberger Berman Sep 17, 2024 2,747 12.13 20.72 1.73 0.17 0.00 11.96
Neuberger Berman Loan Advisers Euro CLO 3 DAC Neuberger Berman Sep 16, 2024 2,740 11.99 18.57 2.06 0.17 0.00 13.27
Neuberger Berman Loan Advisers Euro CLO 5 DAC Neuberger Berman Sep 16, 2024 2,723 12.72 19.68 2.03 0.17 0.00 14.51
Neuberger Berman Loan Advisers Euro CLO 6 DAC Neuberger Berman Sep 17, 2024 2,717 11.23 17.57 1.00 0.00 0.00 13.89
Newhaven CLO DAC Bain Sep 06, 2024 3,049 14.22 24.79 4.39 3.36 0.40 17.01
North Westerly VI ESG CLO DAC NIBC Aug 30, 2024 2,896 15.26 24.82 3.52 1.61 0.00 18.67
North Westerly VII ESG CLO DAC NIBC Aug 30, 2024 2,954 12.77 26.06 3.62 2.03 0.67 19.98
Northwoods Capital 19 Euro DAC Northwoods Sep 30, 2024 2,911 8.85 25.11 4.59 0.54 0.00 15.29
Northwoods Capital 21 Euro DAC Northwoods Sep 10, 2024 3,006 9.83 24.77 4.48 1.74 0.00 14.35
Northwoods Capital 23 Euro DAC Northwoods Jul 31, 2024 3,003 10.13 25.18 4.41 1.84 0.00 15.14
Northwoods Capital 24 Euro DAC Northwoods Oct 03, 2024 3,009 11.44 25.32 4.52 1.93 0.00 14.16
Northwoods Capital 26 Euro DAC Northwoods Sep 03, 2024 2,959 10.52 24.28 3.45 1.55 0.00 15.80
OCP EURO CLO 2022-5 DAC Onex Sep 06, 2024 2,849 14.98 34.76 2.25 0.00 1.00 14.59
OCP Euro CLO 2017-1 DAC Onex Sep 06, 2024 2,779 16.08 31.27 1.84 0.00 0.43 15.47
OCP Euro CLO 2019-3 DAC Onex Aug 06, 2024 2,803 14.33 30.23 1.88 0.00 0.70 15.16
OCP Euro CLO 2020-4 DAC Onex Sep 06, 2024 2,822 14.77 31.29 2.38 0.00 1.06 17.19
OCP Euro CLO 2022-6 DAC Onex Sep 06, 2024 2,889 12.95 33.32 2.49 0.00 0.49 13.28
OCP Euro CLO 2023-8 DAC Onex Sep 06, 2024 2,868 10.70 33.48 0.86 0.00 0.00 15.30
OCP Euro CLO 2024-9 DAC Onex Sep 06, 2024 2,828 11.90 29.03 1.60 0.00 0.40 12.71
OCPE CLO 2023-7 DAC Onex Aug 06, 2024 2,869 12.77 33.80 1.90 0.00 0.56 14.88
OZLME III DAC Sculptor Aug 14, 2024 2,754 18.13 24.09 7.04 0.32 0.00 15.93
Oak Hill European Credit Partners VIII DAC Oak Hill Sep 06, 2024 2,815 9.76 24.85 2.24 0.00 1.02 13.89
Palmer Square European CLO 2021-1 DAC Palmer Square Aug 30, 2024 2,750 16.09 22.43 2.19 0.62 0.27 15.17
Palmer Square European CLO 2021-2 DAC Palmer Square Sep 05, 2024 2,762 15.44 21.92 2.04 0.72 0.27 15.08
Palmer Square European CLO 2022-1 DAC Palmer Square Aug 30, 2024 2,727 16.83 21.59 1.67 0.63 0.23 14.23
Palmer Square European CLO 2022-2 DAC Palmer Square Aug 30, 2024 2,713 15.95 21.37 0.48 0.64 0.47 12.03
Palmer Square European CLO 2023-1 DAC Palmer Square Aug 30, 2024 2,674 18.76 20.52 0.63 0.47 0.46 11.88
Palmer Square European CLO 2023-2 DAC Palmer Square Aug 30, 2024 2,719 16.50 20.69 0.88 0.51 0.35 11.67
Penta CLO 12 DAC Partners Aug 30, 2024 2,844 10.64 26.27 2.21 0.00 0.00 13.56
Penta CLO 15 DAC Partners Aug 30, 2024 2,827 11.67 25.15 1.79 0.00 0.26 11.80
Penta CLO 16 DAC Partners Aug 30, 2024 2,867 9.01 26.69 2.61 0.00 0.00 13.79
Penta CLO 5 DAC Partners Aug 30, 2024 2,859 12.06 26.62 3.95 0.00 0.00 14.57
Penta CLO 7 DAC Partners Aug 30, 2024 2,857 12.33 23.59 4.86 0.00 0.35 12.76
Penta CLO 8 DAC Partners Aug 30, 2024 2,884 10.17 28.03 3.90 0.00 0.00 19.37
Penta CLO 9 DAC Partners Jul 31, 2024 2,834 11.51 24.30 3.49 0.00 0.84 11.95
Providus CLO I DAC Permira Aug 30, 2024 2,765 19.04 33.11 3.41 0.00 0.80 14.57
Providus CLO III DAC Permira Aug 30, 2024 2,889 10.33 33.14 1.92 0.00 0.72 11.65
Providus CLO IV DAC Permira Jul 31, 2024 2,899 9.25 33.60 1.92 0.00 0.25 11.93
Providus CLO IX DAC Permira Aug 30, 2024 2,918 8.17 33.06 1.56 0.00 0.00 11.91
Providus CLO V DAC Permira Aug 30, 2024 2,902 9.51 33.52 2.04 0.00 0.45 11.69
Providus CLO VI DAC Permira Aug 30, 2024 2,919 9.38 33.43 2.56 0.00 0.22 12.04
Providus CLO VII DAC Permira Aug 30, 2024 2,919 9.00 33.19 2.00 0.00 0.11 11.45
Providus CLO VIII DAC Permira Aug 30, 2024 2,943 7.97 34.83 1.99 0.00 0.11 12.54
Providus CLO X DAC Permira Aug 30, 2024 2,887 9.33 31.44 1.55 0.00 0.00 12.52
Purple Finance CLO 1 DAC Ostrum Sep 16, 2024 3,172 4.03 42.00 6.40 0.00 0.00 16.72
Purple Finance CLO 2 DAC Ostrum Sep 16, 2024 2,932 3.59 25.05 1.58 0.61 0.00 15.02
RRE 1 Loan Management DAC Redding Ridge Aug 31, 2024 2,783 11.27 23.03 1.93 0.00 0.00 12.59
RRE 10 Loan Management DAC Redding Ridge Aug 31, 2024 2,787 11.63 23.36 2.25 0.00 0.00 12.42
RRE 11 Loan Management DAC Redding Ridge Aug 31, 2024 2,782 10.05 22.06 1.56 0.00 0.00 12.95
RRE 12 Loan Management DAC Redding Ridge Aug 31, 2024 2,788 9.85 20.82 1.92 0.00 0.00 12.56
RRE 15 Loan Management DAC Redding Ridge Oct 10, 2024 1,565 100.00 0.00 0.00 0.00 0.00 0.00
RRE 16 Loan Management DAC Redding Ridge Aug 31, 2024 2,805 7.88 21.59 1.49 0.00 0.00 12.88
RRE 17 Loan Management DAC Redding Ridge Aug 31, 2024 2,828 5.72 22.74 0.74 0.00 0.00 13.43
RRE 18 Loan Management DAC Redding Ridge Aug 31, 2024 2,838 6.11 22.52 0.74 0.00 0.00 12.77
RRE 19 Loan Management DAC Redding Ridge Aug 31, 2024 2,851 4.80 22.87 0.24 0.00 0.00 10.82
RRE 2 Loan Management DAC Redding Ridge Aug 31, 2024 2,781 11.24 22.07 2.03 0.00 0.00 12.65
RRE 3 Loan Management DAC Redding Ridge Aug 31, 2024 2,829 10.17 23.43 2.14 0.00 0.00 15.16
RRE 5 Loan Management DAC Redding Ridge Aug 31, 2024 2,779 11.07 22.79 2.12 0.00 0.00 13.45
RRE 6 Loan Management DAC Redding Ridge Aug 31, 2024 2,796 10.60 22.67 2.05 0.00 0.00 13.19
RRE 7 Loan Management DAC Redding Ridge Aug 31, 2024 2,785 11.82 22.69 2.34 0.00 0.00 12.83
RRE 8 Loan Management DAC Redding Ridge Aug 31, 2024 2,822 9.28 23.32 2.34 0.00 0.00 12.95
RRE 9 Loan Management DAC Redding Ridge Aug 31, 2024 2,826 10.02 23.70 2.73 0.00 0.00 13.14
Rockfield Park CLO DAC Blackstone Sep 12, 2024 2,885 10.41 25.77 3.98 0.50 0.00 13.67
Rockford Tower Europe CLO 2018-1 DAC Rockford Aug 15, 2024 2,857 18.06 28.97 7.60 0.00 0.25 15.22
Rockford Tower Europe CLO 2021-1 DAC Rockford Sep 16, 2024 2,754 19.41 23.65 6.59 0.00 0.45 11.98
Rockford Tower Europe CLO 2021-2 DAC Rockford Sep 16, 2024 2,877 16.01 29.80 6.85 0.00 0.00 14.24
Rockford Tower Europe CLO 2023-1 DAC Rockford Sep 16, 2024 2,830 15.40 28.80 4.15 0.00 0.00 11.06
Sculptor European CLO I DAC Sculptor Aug 12, 2024 2,737 16.66 22.76 4.09 0.00 0.00 13.17
Sculptor European CLO II DAC Sculptor Aug 12, 2024 2,727 16.74 22.43 3.71 0.00 0.00 13.61
Sculptor European CLO VI DAC Sculptor Sep 05, 2024 2,678 18.39 22.41 2.51 0.00 0.00 13.64
Sculptor European CLO VII DAC Sculptor Sep 16, 2024 2,780 16.39 25.82 3.29 0.00 0.00 16.97
Sculptor European CLO VIII DAC Sculptor Sep 05, 2024 2,760 13.97 24.27 2.54 0.00 0.00 14.10
Seapoint Park CLO DAC Blackstone Jul 22, 2024 2,868 11.50 25.72 3.91 0.26 0.00 12.19
Segovia European CLO 1-2014 DAC Segovia Sep 04, 2024 2,928 11.40 24.88 4.22 1.11 0.62 12.21
Segovia European CLO 3-2017 DAC Segovia Sep 13, 2024 2,947 10.22 25.76 2.06 1.27 0.73 12.19
Segovia European CLO 4-2017 DAC Segovia Sep 06, 2024 2,974 18.37 26.67 6.53 2.55 0.00 15.15
Signal Harmonic CLO II DAC Signal Sep 12, 2024 2,804 16.03 27.81 3.01 0.00 0.00 10.23
Sona Fios CLO I DAC Sona Aug 30, 2024 2,771 10.01 18.66 2.78 0.00 0.00 6.36
Sona Fios CLO II DAC Sona Aug 30, 2024 2,695 11.97 16.93 1.29 0.00 0.00 5.26
Sound Point Euro CLO 10 Funding DAC Sound Point Aug 01, 2024 2,889 9.45 29.08 0.47 0.00 0.00 15.06
Sound Point Euro CLO III Funding DAC Sound Point Sep 10, 2024 2,887 12.05 31.43 1.65 0.00 0.47 16.26
Sound Point Euro CLO IV Funding DAC Sound Point Sep 03, 2024 2,886 11.55 32.49 1.42 0.00 0.57 17.73
St. Paul's CLO II DAC Intermediate Sep 10, 2024 3,029 13.81 27.03 7.66 1.51 0.00 16.75
St. Paul's CLO IX DAC Intermediate Sep 09, 2024 3,015 13.55 27.34 6.11 1.54 0.00 17.20
St. Paul's CLO VI DAC Intermediate Sep 09, 2024 3,051 13.97 29.14 5.91 1.90 0.00 17.02
St. Paul's CLO VII DAC Intermediate Sep 09, 2024 3,022 14.02 27.55 5.74 1.79 0.00 15.51
St. Paul's CLO X DAC Intermediate Sep 09, 2024 3,068 12.98 28.39 5.66 2.08 0.00 16.77
St. Paul's CLO XII DAC Intermediate Sep 09, 2024 3,071 12.88 28.38 7.65 1.55 0.00 16.79
Texas Debt Capital Euro CLO 2024-I DAC CIFC Aug 30, 2024 2,804 12.01 28.42 0.60 0.00 0.00 11.81
Tikehau CLO III DAC Tikehau Aug 20, 2024 2,775 17.81 20.97 5.49 1.13 0.00 11.14
Tikehau CLO IX DAC Tikehau Aug 30, 2024 2,836 11.60 21.44 3.29 0.63 0.00 13.22
Tikehau CLO V DAC Tikehau Aug 30, 2024 2,852 13.79 24.70 4.37 0.78 0.00 15.71
Tikehau CLO VIII DAC Tikehau Aug 30, 2024 2,854 11.67 22.77 3.52 0.78 0.00 13.68
Tikehau CLO X DAC Tikehau Aug 30, 2024 2,766 9.66 20.49 0.94 0.47 0.00 11.62
Tikehau CLO XI DAC Tikehau Aug 30, 2024 2,823 9.64 24.33 0.58 0.58 0.00 11.52
Toro European CLO 2 DAC Chenavari Sep 16, 2024 2,777 14.67 21.57 4.99 0.00 0.00 15.21
Toro European CLO 3 DAC Chenavari Sep 16, 2024 2,733 14.89 21.45 3.84 0.00 0.00 15.07
Toro European CLO 5 DAC Chenavari Sep 16, 2024 2,668 18.67 16.74 4.41 0.00 0.00 20.10
Toro European CLO 6 DAC Chenavari Sep 16, 2024 2,813 14.11 22.41 4.45 0.57 0.00 17.29
Toro European CLO 7 DAC Chenavari Sep 16, 2024 2,753 14.38 21.29 4.77 0.00 0.00 20.24
Toro European CLO 8 DAC Chenavari Sep 16, 2024 2,859 13.01 27.87 4.27 0.00 0.00 15.95
Toro European CLO 9 DAC Chenavari Sep 16, 2024 2,766 13.66 24.96 3.23 0.00 0.00 12.15
Trinitas EURO CLO V DAC WhiteStar Sep 16, 2024 2,631 16.47 17.75 0.58 0.00 0.40 14.09
Trinitas Euro CLO I DAC WhiteStar Sep 16, 2024 2,771 13.02 21.32 2.86 0.00 0.82 18.24
Trinitas Euro CLO III DAC Trinitas Sep 16, 2024 2,718 15.65 21.28 0.89 0.20 0.52 14.90
Trinitas Euro CLO VI DAC WhiteStar Sep 16, 2024 2,634 17.06 18.13 1.21 0.00 0.00 15.30
Trinitas Euro CLO VII DAC Trinitas Sep 16, 2024 2,613 17.86 16.64 0.66 0.00 0.00 11.72
Tymon Park CLO DAC Blackstone Sep 16, 2024 2,932 9.26 26.59 5.58 0.22 0.00 14.54
Vendome Funding CLO 2020-1 DAC CELF Sep 10, 2024 2,887 8.14 29.85 2.02 0.00 0.00 15.64
Vesey Park CLO DAC Blackstone Aug 06, 2024 2,864 11.55 26.34 4.27 0.26 0.25 13.26
Voya Euro CLO III DAC Voya Sep 10, 2024 2,944 12.13 28.97 4.46 0.52 0.00 16.10
Voya Euro CLO IV DAC Voya Sep 05, 2024 2,931 12.01 28.37 4.44 0.40 0.00 16.43
Voya Euro CLO V DAC Voya Sep 04, 2024 2,936 12.06 28.26 4.27 0.42 0.00 16.48
Voya Euro CLO VI DAC Voya Sep 18, 2024 2,915 10.07 27.84 2.38 0.56 0.00 13.87

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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