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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*
Jan 20, 2025 Elior Group S.A. EUR550 mil 3.75% callable nts due 07/15/2026 7 9,760,000 B+/Stable B/Positive Yes
Jan 16, 2025 Ufc Holdings Llc US$3.047 bil fltg rate first lien term B-3 bank ln due 04/29/2026 1 898,734 B+/Stable BB-/Watch Neg No
Dec 27, 2024 Garfunkelux Holdco 3 S.A. £440 mil 7.75% nts due 11/01/2025 1 1,447,375 CC/Negative CCC+/Negative Yes
Dec 27, 2024 Garfunkelux Holdco 3 S.A. EUR630 mil fltg rate callable nts due 05/01/2026 73 195,173,000 CC/Negative CCC+/Negative Yes
Dec 27, 2024 Garfunkelux Holdco 3 S.A. EUR795 mil 6.75% callable nts due 11/01/2025 35 53,281,000 CC/Negative CCC+/Negative Yes
*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 Table does not include withdrawn ratings.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
Jan 21, 2025 INEOS FINANCE PLC EUR2 bil bank ln due 2031 121 263,527,632.68 NR 3(65%)
Jan 20, 2025 MCAFEE CORP. EUR1.4 bil fltg rate Term B-2 bank ln due 03/01/2029 239 731,893,504.58 3(55%) 3(65%)
Jan 20, 2025 CONTOURGLOBAL POWER HOLDINGS S.A. EUR300 mil 3.125% callable nts due 01/01/2028 2 3,500,000.00 2(75%) 4(40%)
Jan 17, 2025 AIR FRANCE-KLM S.A. EUR750 mil 1.875% nts due 01/16/2025 1 1,200,000.00 NR 3(65%)
Jan 17, 2025 UFC HOLDINGS LLC US$3.047 bil fltg rate first lien term B-3 bank ln due 04/29/2026 1 898,733.83 NR 2(70%)
Jan 16, 2025 ALTICE FINANCING S.A. EUR600 mil 2.25% nts due 01/15/2025 6 6,276,000.00 NR 3(60%)
Jan 13, 2025 CHG PPC PARENT LLC EUR250 mil euro term bank ln due 12/08/2028 83 148,227,980.37 3(55%) 3(50%)
Jan 10, 2025 BORMIOLI PHARMA SPA EUR350 mil nts due 05/15/2028 49 79,189,000.00 NR 4(35%)
Jan 09, 2025 CLARIOS GLOBAL LP EUR1.075 bil bank ln due 07/01/2031 194 450,526,327.76 3(55%) 3(65%)
Jan 09, 2025 CLARIOS GLOBAL LP EUR700 mil 4.375% nts due 05/15/2026 19 27,764,000.00 3(55%) 3(65%)
Jan 09, 2025 NOVELIS SHEET INGOT GMBH EUR500 mil nts due 03/31/2029 3 2,200,000.00 3(50%) 3(55%)
Jan 08, 2025 KAPLA HOLDING S.A.S. EUR800 mil fltg rate nts due 07/31/2030 99 151,219,000.00 3(60%) 3(65%)
Jan 08, 2025 KAPLA HOLDING S.A.S. EUR460 mil 3.375% nts due 12/15/2026 35 39,353,000.00 3(60%) 3(65%)
Jan 08, 2025 DOVALUE SPA EUR265 mil 5.00% nts due 08/15/2025 14 14,031,000.00 NR 3(55%)
Jan 06, 2025 MARCEL BIDCO GMBH EUR550 mil TLB6 bank ln due 11/09/2030 151 306,538,950.84 NR 3(65%)
Dec 27, 2024 GRAFTECH GLOBAL ENTERPRISE INC. US$450 mil sr nts due 12/31/2028 1 1,836,547.29 NR 2(70%)
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
Bain Capital Euro CLO 2017-1 DAC Dec 06, 2024 OC Class F Par Value Test 100.21% 103.53% -3.32% Fail
Bain Capital Euro CLO 2017-1 DAC Dec 06, 2024 OC Class E Par Value Test 106.24% 106.61% -0.37% Fail
Accunia European CLO II DAC Nov 29, 2024 OC Class F Par Value Test 104.38% 104.63% -0.25% Fail
Man GLG Euro CLO III DAC Nov 08, 2024 OC Class F Par Value Test 103.27% 103.50% -0.23% Fail
Segovia European CLO 4-2017 DAC Nov 06, 2024 OC Class F Par Value Test 103.67% 103.80% -0.13% Fail
Newhaven CLO DAC Nov 01, 2024 OC Class F-R Par Value Test 104.54% 103.81% 0.73% 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 Jan 21, 2025
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 Nov 08, 2024 2,838 14.29 28.21 3.58 0.00 0.90 15.27
Ab Carval Euro CLO II-C DAC CarVal Dec 09, 2024 2,796 13.13 26.76 1.12 0.00 0.28 11.94
Accunia European CLO II DAC Accunia Nov 29, 2024 4,278 0.00 0.00 58.24 0.00 0.00 26.16
Accunia European CLO IV DAC Accunia Nov 29, 2024 3,156 9.12 32.40 7.73 1.49 0.74 22.70
Adagio IV CLO DAC AXA Nov 20, 2024 2,873 16.31 23.42 6.61 0.97 0.00 18.37
Adagio VI CLO DAC AXA Nov 20, 2024 3,112 11.87 33.08 12.06 0.00 0.00 23.57
Adagio X EUR CLO DAC AXA Nov 20, 2024 2,836 16.24 25.64 4.80 0.82 0.00 19.47
AlbaCore Euro CLO I DAC AlbaCore Nov 07, 2024 2,903 13.80 26.63 5.43 0.77 0.96 13.39
AlbaCore Euro CLO II DAC AlbaCore Dec 04, 2024 2,874 13.66 25.55 4.81 0.78 0.96 14.35
AlbaCore Euro CLO III DAC AlbaCore Nov 15, 2024 2,873 13.52 26.02 4.61 0.80 0.99 14.06
AlbaCore Euro CLO IV DAC AlbaCore Nov 15, 2024 2,868 12.64 25.72 4.69 0.60 1.11 14.75
AlbaCore Euro CLO V DAC AlbaCore Nov 15, 2024 2,813 13.89 27.64 3.28 0.00 0.71 15.81
AlbaCore Euro CLO VI DAC AlbaCore Nov 07, 2024 2,850 11.56 28.15 2.91 0.00 0.49 13.00
Anchorage Capital Europe CLO 10 DAC Anchorage Nov 04, 2024 2,849 9.10 22.71 3.18 0.00 0.50 12.60
Anchorage Capital Europe CLO 2 DAC Anchorage Nov 04, 2024 2,904 9.52 23.21 4.77 0.50 1.35 12.67
Anchorage Capital Europe CLO 2021-4 DAC Anchorage Dec 13, 2024 2,866 9.43 22.11 3.81 0.49 1.34 12.63
Anchorage Capital Europe CLO 6 DAC Anchorage Nov 12, 2024 2,904 10.02 22.95 4.86 0.50 1.09 12.75
Aqueduct European CLO 5-2020 DAC HPS Nov 07, 2024 2,906 11.67 26.20 5.15 0.00 0.88 13.85
Aqueduct European CLO 6-2021 DAC HPS Nov 29, 2024 2,919 9.28 25.94 4.51 0.00 0.72 14.08
Aqueduct European CLO 7-2022 DAC HPS Nov 04, 2024 2,935 9.96 30.26 3.22 0.00 1.09 15.09
Aqueduct European CLO 8 DAC HPS Oct 31, 2024 2,928 10.26 30.38 2.23 0.00 0.72 12.01
Arbour CLO II DAC Oaktree Oct 31, 2024 2,868 17.37 26.02 4.53 1.14 0.00 16.45
Arbour CLO III DAC Oaktree Oct 31, 2024 2,920 13.86 26.02 4.42 1.53 0.00 16.29
Arbour CLO IV DAC Oaktree Oct 31, 2024 2,920 16.25 28.60 4.10 1.45 0.00 16.47
Arbour CLO IX DAC Oaktree Oct 31, 2024 2,888 15.47 27.32 3.51 1.39 0.00 17.49
Arbour CLO XI DAC Oaktree Oct 31, 2024 2,921 10.06 30.02 3.29 0.00 0.00 13.41
Arbour CLO XII DAC Oaktree Oct 31, 2024 2,863 11.46 29.39 2.41 0.00 0.00 14.31
Arbour CLO XIII DAC Oaktree Oct 31, 2024 2,769 12.60 21.82 1.63 0.00 0.00 11.84
Ares European CLO IX DAC Ares Nov 06, 2024 3,199 8.78 32.62 15.77 0.00 1.20 19.51
Ares European CLO VI DAC Ares Nov 12, 2024 2,736 25.33 21.36 10.77 0.00 1.15 19.49
Ares European CLO VII DAC Ares Nov 12, 2024 3,031 14.03 30.74 14.64 0.00 0.00 20.10
Ares European CLO VIII DAC Ares Nov 06, 2024 3,025 7.21 28.97 7.63 0.00 0.45 18.81
Ares European CLO XIII DAC Ares Nov 06, 2024 2,998 9.24 30.66 6.37 0.00 0.57 12.93
Ares European CLO XIX DAC Ares Nov 12, 2024 2,892 6.88 29.87 0.00 0.00 0.47 12.28
Ares European CLO XVI DAC Ares Nov 05, 2024 3,045 7.37 30.50 6.89 0.00 0.63 12.49
Ares European CLO XVII DAC Ares Nov 12, 2024 2,964 5.58 30.19 2.52 0.00 0.37 13.77
Ares European CLO XVIII DAC Ares Nov 05, 2024 2,876 6.29 27.97 0.65 0.00 0.40 15.24
Ares European CLO XX DAC Ares Dec 12, 2024 2,839 8.85 26.02 0.46 0.00 0.92 11.95
Arini European CLO I DAC Squarepoint Nov 29, 2024 2,824 14.98 20.31 3.30 1.40 0.00 11.16
Arini European CLO II DAC Arini Nov 29, 2024 2,788 15.13 19.78 4.16 0.36 0.00 8.66
Arini European CLO III DAC Arini Nov 29, 2024 2,778 14.78 22.64 3.02 0.00 0.00 7.98
Armada Euro CLO I DAC Brigade Dec 16, 2024 2,849 11.81 22.04 4.28 0.77 2.30 13.86
Armada Euro CLO IV DAC Brigade Nov 15, 2024 2,893 13.87 22.01 6.60 0.92 2.69 16.91
Armada Euro CLO V DAC Brigade Dec 16, 2024 2,911 9.50 23.66 3.59 1.20 2.05 14.96
Armada Euro CLO VI DAC Brigade Nov 15, 2024 2,820 9.42 19.73 3.51 0.00 1.50 11.28
Aurium CLO II DAC Spire Nov 29, 2024 2,808 17.01 23.86 5.58 0.08 0.00 16.86
Aurium CLO III DAC Spire Nov 29, 2024 2,680 23.84 21.67 3.88 1.32 0.43 16.81
Aurium CLO IV DAC Spire Nov 29, 2024 2,765 18.02 22.92 4.52 0.62 0.82 19.03
Aurium CLO IX DAC Spire Oct 18, 2024 2,824 15.96 23.77 4.35 0.49 0.00 15.45
Aurium CLO V DAC Spire Dec 09, 2024 2,808 17.31 22.44 4.73 0.68 0.00 16.88
Aurium CLO VI DAC Spire Nov 29, 2024 2,821 16.13 23.24 4.96 0.49 0.00 16.59
Aurium CLO VII DAC Spire Nov 06, 2024 2,819 16.94 23.23 4.97 0.60 0.00 17.12
Aurium CLO VIII DAC Spire Oct 31, 2024 2,771 17.04 23.17 4.91 0.00 0.00 17.07
Aurium CLO XI DAC Spire Nov 29, 2024 2,750 15.49 22.20 3.22 0.00 0.00 15.70
Avoca CLO XIV DAC KKR Nov 29, 2024 2,890 12.44 27.53 6.28 0.00 0.64 19.84
Avoca CLO XVII DAC KKR Nov 29, 2024 2,864 9.87 25.14 4.21 0.00 0.36 16.16
Avoca CLO XVIII DAC KKR Oct 31, 2024 2,916 10.61 31.57 6.18 0.16 0.00 17.43
Avoca CLO XXI DAC KKR Nov 29, 2024 2,908 10.29 27.35 5.30 0.00 0.45 17.41
Avoca CLO XXII DAC KKR Nov 29, 2024 2,931 9.60 28.63 4.04 0.00 0.61 18.23
Avoca CLO XXIII DAC KKR Oct 31, 2024 2,924 9.19 27.86 3.72 0.00 0.74 18.08
Avoca CLO XXIV DAC KKR Nov 29, 2024 2,938 8.91 28.60 4.24 0.00 0.69 17.72
Avoca CLO XXIX DAC KKR Oct 31, 2024 2,875 7.41 23.58 2.71 0.00 0.49 16.48
Avoca CLO XXVIII DAC KKR Oct 31, 2024 2,893 7.74 25.49 2.66 0.00 0.46 17.11
Avoca CLO XXX DAC KKR Oct 31, 2024 2,878 7.03 24.20 2.48 0.00 0.49 16.81
Avoca CLO XXXI DAC KKR Oct 31, 2024 2,860 8.07 22.81 2.18 0.00 0.49 16.07
Avondale Park CLO DAC Blackstone Nov 18, 2024 2,922 11.79 26.23 5.60 0.53 0.08 14.41
BBAM European CLO I DAC BlueBay Dec 10, 2024 2,808 10.86 21.77 3.64 0.00 0.76 13.57
BBAM European CLO II DAC BlueBay Nov 12, 2024 2,817 11.33 20.35 4.90 0.00 0.76 13.50
BBAM European CLO IV DAC RBC Dec 10, 2024 2,776 8.59 18.91 1.69 0.00 0.27 9.98
Bain Capital Euro CLO 2017-1 DAC Bain Dec 06, 2024 3,447 13.72 24.12 9.71 7.88 0.35 27.40
Bain Capital Euro CLO 2019-1 DAC Bain Nov 06, 2024 2,937 13.79 22.72 4.96 2.04 0.16 18.48
Bain Capital Euro CLO 2020-1 DAC Bain Nov 06, 2024 2,975 14.32 23.35 6.51 1.82 0.22 17.89
Bain Capital Euro CLO 2021-1 DAC Bain Dec 06, 2024 2,933 14.47 23.57 4.73 1.75 0.56 16.21
Bain Capital Euro CLO 2021-2 DAC Bain Nov 06, 2024 2,969 11.61 22.30 5.63 1.40 0.42 15.55
Bain Capital Euro CLO 2022-1 DAC Bain Dec 06, 2024 2,871 12.64 23.66 3.25 1.03 0.39 16.95
Bain Capital Euro CLO 2022-2 DAC Bain Nov 12, 2024 2,955 11.85 22.75 3.80 1.64 0.12 17.71
Bain Capital Euro CLO 2023-1 DAC Bain Nov 08, 2024 2,849 11.62 24.12 2.84 0.52 0.29 16.48
Bain Capital Euro CLO 2024-1 DAC Bain Dec 12, 2024 2,775 12.80 23.10 2.36 0.11 0.62 15.52
Bain Capital Euro CLO 2024-2 DAC Bain Dec 04, 2024 2,756 12.77 24.20 0.86 0.00 0.36 13.59
Barings Euro CLO 2020-1 DAC Barings Nov 11, 2024 2,860 17.66 28.51 2.61 1.74 0.00 18.79
Barings Euro CLO 2021-1 DAC Barings Oct 14, 2024 2,948 16.57 28.83 3.65 2.32 0.00 17.30
Barings Euro CLO 2021-2 DAC Barings Nov 05, 2024 2,854 16.43 29.75 2.92 1.15 0.00 17.44
Barings Euro CLO 2023-1 DAC Barings Oct 17, 2024 2,709 19.17 25.68 2.37 0.28 0.00 17.40
Barings Euro CLO 2023-2 DAC Barings Nov 08, 2024 2,722 17.11 27.64 1.71 0.00 0.00 17.19
Barings Euro CLO 2024-1 DAC Barings Nov 08, 2024 2,776 16.35 26.66 1.50 0.54 0.00 14.77
Bilbao CLO III DAC Guggenheim Dec 06, 2024 3,043 4.19 30.25 5.69 0.00 1.02 12.54
Bilbao CLO IV DAC Guggenheim Nov 06, 2024 2,948 6.04 24.87 4.86 0.00 0.89 12.71
Black Diamond CLO 2017-2 DAC Black Diamond Nov 12, 2024 3,235 7.99 21.65 18.56 0.10 3.11 19.63
Black Diamond CLO 2019-1 DAC Black Diamond Oct 15, 2024 3,027 10.74 21.97 11.71 0.00 1.55 17.01
BlackRock European CLO II DAC BlackRock Nov 04, 2024 2,890 15.59 20.84 4.61 2.16 0.38 14.80
BlackRock European CLO III DAC BlackRock Dec 06, 2024 2,850 14.69 21.71 3.65 1.59 0.37 16.17
BlackRock European CLO IV DAC BlackRock Dec 10, 2024 2,905 18.17 20.45 8.79 2.47 0.73 21.87
BlackRock European CLO IX DAC BlackRock Nov 12, 2024 2,940 12.68 21.72 5.16 1.97 0.54 16.60
BlackRock European CLO X DAC BlackRock Nov 20, 2024 2,874 15.26 20.33 5.31 1.76 1.00 15.81
BlackRock European CLO XI DAC BlackRock Dec 10, 2024 2,827 14.48 20.44 4.53 1.49 0.95 15.45
BlackRock European CLO XII DAC BlackRock Dec 06, 2024 2,789 14.34 20.16 3.93 0.98 0.88 14.85
Blackrock European CLO XIII DAC BlackRock Dec 16, 2024 2,827 14.54 20.58 3.92 1.46 0.86 14.63
Blackrock European CLO XIV DAC BlackRock Nov 12, 2024 2,750 13.04 24.12 3.02 0.00 0.62 13.58
BlueMountain EUR 2021-1 CLO DAC Sound Point Dec 09, 2024 2,916 11.28 30.28 4.06 0.00 0.86 17.13
BlueMountain EUR 2021-2 CLO DAC Sound Point Dec 09, 2024 2,910 10.38 28.92 4.23 0.00 0.85 16.10
BlueMountain EUR CLO 2016-1 DAC Sound Point Nov 29, 2024 3,081 7.63 32.88 10.41 0.00 0.00 19.27
BlueMountain Fuji EUR CLO IV DAC Sound Point Dec 09, 2024 2,905 10.73 28.44 3.73 0.00 0.50 16.81
BlueMountain Fuji EUR CLO V DAC Sound Point Dec 10, 2024 2,913 13.14 32.10 3.66 0.00 0.72 19.91
Bosphorus CLO VI DAC Cross Ocean Nov 13, 2024 2,734 19.63 23.48 6.11 0.00 0.00 18.48
Bridgepoint CLO 1 DAC Bridgepoint Nov 05, 2024 2,866 8.82 22.21 4.65 0.00 0.00 15.66
Bridgepoint CLO 2 DAC Bridgepoint Dec 05, 2024 2,850 9.50 25.51 3.02 0.00 0.00 13.21
Bridgepoint CLO IV DAC Bridgepoint Dec 10, 2024 2,953 4.92 23.50 3.91 0.00 0.00 12.66
Bridgepoint CLO V DAC Bridgepoint Nov 05, 2024 2,908 6.31 26.35 2.24 0.00 0.00 12.61
Bridgepoint CLO VI DAC Bridgepoint Nov 01, 2024 2,834 7.67 20.48 1.95 0.00 0.00 11.22
CIFC European Funding VI DAC CIFC Oct 31, 2024 2,825 11.34 29.04 1.43 0.00 0.24 14.65
CVC Cordatus Loan Fund IV DAC CVC Oct 31, 2024 2,877 11.63 26.42 5.46 0.00 0.00 13.05
CVC Cordatus Loan Fund IX DAC CVC Oct 31, 2024 2,924 11.18 23.82 6.41 0.33 0.00 13.19
CVC Cordatus Loan Fund V DAC CVC Nov 29, 2024 2,854 16.10 24.31 7.12 0.68 0.00 13.39
CVC Cordatus Loan Fund VIII DAC CVC Nov 29, 2024 2,880 12.25 23.00 6.87 0.16 0.00 13.43
CVC Cordatus Loan Fund X DAC CVC Nov 29, 2024 2,793 16.36 24.13 6.36 0.23 0.00 15.54
CVC Cordatus Loan Fund XIX DAC CVC Oct 31, 2024 2,880 10.98 25.45 5.31 0.00 0.00 15.66
CVC Cordatus Loan Fund XVI DAC CVC Oct 31, 2024 3,017 7.54 32.48 6.67 0.18 0.00 17.72
CVC Cordatus Loan Fund XVII DAC CVC Oct 31, 2024 2,925 10.00 25.87 6.03 0.13 0.00 16.32
CVC Cordatus Loan Fund XVIII DAC CVC Nov 18, 2024 2,941 11.11 24.47 6.30 0.31 0.00 14.22
CVC Cordatus Loan Fund XX DAC CVC Oct 31, 2024 2,948 9.10 27.58 6.52 0.00 0.00 15.42
CVC Cordatus Loan Fund XXI DAC CVC Oct 31, 2024 2,971 8.68 25.96 6.57 0.17 0.00 15.31
CVC Cordatus Loan Fund XXIV DAC CVC Nov 06, 2024 3,085 7.01 34.90 7.89 0.21 0.00 16.66
CVC Cordatus Loan Fund XXIX DAC CVC Dec 09, 2024 2,935 7.50 30.71 4.21 0.00 0.00 15.13
CVC Cordatus Loan Fund XXV-A DAC CVC Oct 09, 2024 2,980 8.27 28.52 5.47 0.00 0.00 16.87
CVC Cordatus Loan Fund XXVI DAC CVC Nov 15, 2024 2,948 8.63 31.42 4.48 0.00 0.00 15.49
CVC Cordatus Loan Fund XXVII DAC CVC Nov 12, 2024 2,906 7.89 25.84 4.26 0.00 0.00 14.05
CVC Cordatus Loan Fund XXVIII DAC CVC Nov 04, 2024 2,971 7.85 27.53 4.87 0.37 0.00 13.78
CVC Cordatus Loan Fund XXX DAC CVC Dec 09, 2024 2,854 8.80 30.28 1.49 0.00 0.00 14.50
CVC Cordatus Loan Fund XXXI DAC CVC Nov 12, 2024 2,800 12.23 24.04 2.84 0.00 0.00 12.56
CVC Cordatus Loan Fund XXXII DAC CVC Dec 09, 2024 2,705 13.95 20.56 0.66 0.00 0.00 10.45
Cairn CLO VIII DAC Cairn Nov 20, 2024 3,046 17.61 31.47 6.98 2.43 1.02 13.15
Cairn CLO XI DAC Cairn Nov 05, 2024 3,011 15.33 31.17 7.05 1.26 0.13 15.68
Cairn CLO XIV DAC Cairn Nov 15, 2024 2,948 14.18 29.77 5.22 0.73 1.04 18.36
Cairn CLO XVI DAC Cairn Nov 15, 2024 2,744 16.76 23.76 3.25 0.47 0.00 13.81
Cairn CLO XVII DAC Cairn Nov 15, 2024 2,807 15.77 24.76 3.68 0.49 0.00 13.76
Cairn CLO XVIII DAC Cairn Nov 08, 2024 2,751 18.38 29.25 2.16 0.00 0.00 11.27
Canyon Euro CLO 2022-1 DAC Canyon Nov 29, 2024 2,773 12.62 21.72 3.08 0.00 1.23 11.91
Canyon Euro CLO 2023-1 DAC Canyon Nov 29, 2024 2,811 10.78 22.24 2.28 0.00 1.09 10.12
Capital Four CLO I DAC Capital Four Nov 29, 2024 2,900 15.00 26.87 3.89 1.62 0.82 14.94
Capital Four CLO II DAC Capital Four Nov 29, 2024 2,910 12.78 26.47 2.46 1.52 0.55 11.83
Capital Four CLO III DAC Capital Four Nov 29, 2024 2,919 12.73 28.31 2.05 1.50 1.27 12.87
Capital Four CLO IV DAC Capital Four Oct 31, 2024 2,912 12.46 26.82 2.08 1.53 0.56 13.97
Capital Four CLO V DAC Capital Four Nov 13, 2024 2,936 11.66 27.99 1.09 1.76 0.49 12.69
Capital Four CLO VI DAC Capital Four Nov 13, 2024 2,878 9.61 24.80 1.85 0.88 0.00 13.05
Capital Four CLO VII DAC Capital Four Nov 13, 2024 2,751 10.85 24.91 0.00 0.00 0.00 11.78
Carlyle Euro CLO 2013-1 DAC CELF Oct 02, 2024 2,739 16.02 25.65 4.52 0.00 0.00 20.51
Carlyle Euro CLO 2017-1 DAC CELF Dec 16, 2024 2,871 11.62 21.14 5.79 0.00 0.00 18.61
Carlyle Euro CLO 2017-3 DAC CELF Oct 02, 2024 2,934 8.30 27.28 5.79 0.00 0.00 21.75
Carlyle Euro CLO 2018-1 DAC CELF Nov 12, 2024 2,947 8.45 31.84 3.99 0.00 0.00 21.88
Carlyle Euro CLO 2019-2 DAC CELF Nov 04, 2024 2,982 8.86 27.45 5.49 0.00 0.00 20.94
Carlyle Euro CLO 2020-1 DAC CELF Nov 18, 2024 2,900 8.98 24.93 4.28 0.00 0.00 20.47
Carlyle Euro CLO 2020-2 DAC CELF Nov 18, 2024 2,876 11.58 25.24 4.66 0.00 0.00 16.61
Carlyle Euro CLO 2021-1 DAC CELF Nov 18, 2024 2,844 11.33 21.31 4.74 0.00 0.00 17.13
Carlyle Euro CLO 2021-3 DAC CELF Dec 12, 2024 2,980 8.75 29.57 5.37 0.00 0.00 16.28
Carlyle Euro CLO 2022-5 DAC CELF Nov 20, 2024 2,935 9.17 27.53 4.27 0.00 0.00 17.19
Carlyle Euro CLO 2024-1 DAC CELF Dec 10, 2024 2,789 9.37 23.93 0.00 0.00 0.00 16.15
Carlyle Global Market Strategies Euro CLO 2015-1 DAC CELF Nov 18, 2024 2,975 8.87 25.60 6.85 0.00 0.00 22.43
Carlyle Global Market Strategies Euro CLO 2016-2 DAC CELF Dec 16, 2024 2,844 11.84 21.20 5.00 0.00 0.00 18.51
Carysfort Park CLO DAC Blackstone Nov 20, 2024 2,891 13.14 26.04 4.98 0.51 0.09 14.70
Clarinda Park CLO DAC Blackstone Dec 16, 2024 2,890 12.94 26.76 4.91 0.51 0.15 15.20
Clonkeen Park CLO DAC Blackstone Nov 05, 2024 2,890 9.24 30.39 1.45 0.00 0.00 16.48
Clonmore Park CLO DAC Blackstone Nov 08, 2024 3,056 7.74 27.18 5.87 1.07 0.55 16.41
Contego CLO IV DAC Five Arrows Oct 31, 2024 3,051 6.52 33.74 6.15 0.00 0.95 19.94
Contego CLO IX DAC Five Arrows Nov 29, 2024 2,984 6.15 32.14 3.51 0.00 0.64 15.54
Contego CLO VII DAC Five Arrows Oct 31, 2024 2,948 8.55 30.37 4.39 0.00 0.56 19.44
Contego CLO VIII DAC Five Arrows Oct 15, 2024 2,976 6.80 30.98 4.64 0.00 0.75 16.87
Contego CLO X DAC Five Arrows Nov 05, 2024 2,958 5.69 32.21 3.02 0.00 0.00 15.31
Contego CLO XII DAC Five Arrows Oct 15, 2024 2,923 7.09 30.38 2.96 0.00 0.00 16.16
Cross Ocean Bosphorus CLO IX DAC Cross Ocean Nov 29, 2024 2,821 13.44 29.67 1.08 0.00 0.00 16.56
Cross Ocean Bosphorus CLO X DAC Cross Ocean Nov 29, 2024 2,825 12.99 30.83 0.49 0.00 0.00 10.32
Crosthwaite Park CLO DAC Blackstone Dec 04, 2024 2,931 13.35 26.84 5.47 0.82 0.45 15.42
Dartry Park CLO DAC Blackstone Nov 15, 2024 2,935 11.06 26.99 5.93 0.45 0.82 14.53
Deer Park CLO DAC Blackstone Nov 18, 2024 2,893 14.30 25.34 5.39 0.69 0.43 14.90
Dillons Park CLO DAC Blackstone Oct 02, 2024 3,013 10.66 27.05 6.66 0.94 0.38 14.55
Dryden 27 R Euro CLO 2017 DAC PGIM Oct 31, 2024 2,871 14.54 34.96 4.45 0.12 0.66 17.93
Dryden 29 Euro CLO 2013 DAC PGIM Nov 30, 2024 2,873 13.03 37.46 4.82 0.00 1.60 14.83
Dryden 35 Euro CLO 2014 DAC PGIM Nov 30, 2024 2,836 11.17 34.16 3.69 0.00 0.43 15.27
Dryden 39 Euro CLO 2015 DAC PGIM Oct 31, 2024 2,790 16.33 32.62 3.78 0.15 0.46 16.80
Dryden 44 Euro CLO 2015 DAC PGIM Nov 30, 2024 2,818 15.89 32.89 5.23 0.03 0.56 13.55
Dryden 46 Euro CLO 2016 DAC PGIM Oct 31, 2024 2,764 16.62 31.71 3.96 0.14 0.43 14.72
Dryden 48 Euro CLO 2016 DAC PGIM Oct 31, 2024 2,877 11.03 33.36 5.14 0.00 0.35 16.64
Dryden 52 Euro CLO 2017 DAC PGIM Oct 31, 2024 2,847 16.65 36.06 5.12 0.00 1.26 14.16
Dryden 56 Euro CLO 2017 DAC PGIM Oct 31, 2024 2,809 17.00 33.49 5.71 0.00 1.34 12.85
Dryden 73 Euro CLO 2018 DAC PGIM Oct 31, 2024 2,798 15.60 32.75 4.35 0.00 0.16 15.33
Dryden 74 Euro CLO 2020 DAC PGIM Nov 30, 2024 2,870 12.36 34.82 4.13 0.00 0.45 16.50
Dryden 88 Euro CLO 2020 DAC PGIM Nov 30, 2024 2,803 16.19 32.86 4.95 0.00 0.56 14.91
Dryden 89 Euro CLO 2020 DAC PGIM Oct 31, 2024 2,817 16.40 34.06 5.14 0.00 0.48 16.58
Dryden 96 Euro CLO 2021 DAC PGIM Oct 31, 2024 2,830 13.94 33.46 4.06 0.00 0.68 14.66
Dunedin Park CLO DAC Blackstone Nov 07, 2024 2,919 11.40 26.11 5.85 0.36 0.49 14.76
Elm Park CLO DAC Blackstone Nov 15, 2024 2,890 13.54 26.74 5.51 0.31 0.85 14.95
Euro-Galaxy III CLO DAC PineBridge Nov 05, 2024 3,021 15.87 25.50 6.85 2.30 0.73 13.97
Euro-Galaxy IV CLO DAC PineBridge Dec 16, 2024 2,967 13.53 25.14 4.96 2.18 0.52 14.20
Euro-Galaxy V CLO DAC PineBridge Dec 05, 2024 2,953 14.42 25.12 4.55 2.30 0.30 13.71
Fair Oaks Loan Funding I DAC Fair Oaks Dec 16, 2024 2,708 13.91 22.01 2.79 0.00 0.00 14.69
Fair Oaks Loan Funding II DAC Fair Oaks Dec 16, 2024 2,763 12.94 24.67 3.41 0.00 0.00 14.92
Fair Oaks Loan Funding III DAC Fair Oaks Nov 15, 2024 2,741 13.78 23.24 3.25 0.00 0.00 14.16
Fair Oaks Loan Funding V DAC Fair Oaks Dec 16, 2024 2,667 13.61 21.62 0.00 0.00 0.00 15.07
Fernhill Park CLO DAC Blackstone Nov 05, 2024 2,842 11.61 26.26 2.24 0.00 0.19 15.56
Fidelity Grand Harbour CLO 2022-1 DAC FIL Nov 05, 2024 2,889 12.94 30.73 1.38 0.74 0.00 11.89
Fidelity Grand Harbour CLO 2023-1 DAC FIL Nov 04, 2024 2,856 11.08 31.48 1.30 0.00 0.25 12.82
Fidelity Grand Harbour CLO 2023-2 DAC FIL Nov 05, 2024 2,830 11.17 29.32 0.75 0.00 0.37 13.04
Glenbrook Park CLO DAC Blackstone Nov 08, 2024 2,985 8.33 27.00 4.94 0.55 0.27 16.41
GoldenTree Loan Management EUR CLO 4 DAC GoldenTree Nov 15, 2024 2,756 15.93 20.23 4.39 0.00 1.38 15.21
GoldenTree Loan Management EUR CLO 5 DAC GoldenTree Nov 15, 2024 2,786 14.51 20.72 4.39 0.00 1.38 15.35
GoldenTree Loan Management EUR CLO 6 DAC GoldenTree Nov 15, 2024 2,779 14.27 20.72 3.63 0.00 1.72 15.57
GoldenTree Loan Management EUR CLO 7 DAC GoldenTree Nov 15, 2024 2,781 14.46 20.63 3.20 0.00 1.63 14.51
Grosvenor Place CLO 2022-1 DAC CQS Dec 16, 2024 2,830 12.93 26.15 2.63 0.74 0.00 9.42
Harvest CLO VIII DAC Investcorp Dec 19, 2024 4,281 0.00 34.90 65.10 0.00 0.00 100.00
Harvest CLO XVII DAC Investcorp Nov 29, 2024 2,928 9.31 27.89 4.27 0.06 0.61 18.48
Harvest CLO XXII DAC Investcorp Oct 31, 2024 2,897 9.85 28.23 3.51 0.06 0.34 16.72
Harvest CLO XXIII DAC Investcorp Nov 29, 2024 2,894 10.52 28.74 3.33 0.06 0.74 16.67
Harvest CLO XXIX DAC Investcorp Nov 08, 2024 2,932 8.57 29.34 2.02 0.00 0.00 17.11
Harvest CLO XXV DAC Investcorp Nov 12, 2024 2,912 9.25 26.73 3.05 0.06 0.51 16.38
Harvest CLO XXVI DAC Investcorp Oct 31, 2024 2,929 10.01 27.06 3.48 0.05 0.17 17.79
Harvest CLO XXX DAC Investcorp Nov 08, 2024 2,909 7.92 26.58 1.79 0.00 0.00 17.69
Harvest CLO XXXI DAC Investcorp Nov 08, 2024 2,911 9.20 27.95 1.97 0.00 0.00 16.54
Harvest CLO XXXII DAC Investcorp Oct 31, 2024 2,899 8.03 27.77 0.69 0.00 0.10 14.53
Hayfin Emerald CLO IV DAC Hayfin Nov 04, 2024 2,738 18.36 21.28 5.54 0.60 0.00 11.45
Hayfin Emerald CLO IX DAC Hayfin Nov 04, 2024 2,749 19.61 21.46 5.57 0.79 0.00 12.20
Hayfin Emerald CLO VI DAC Hayfin Nov 15, 2024 2,769 18.63 21.58 5.91 0.79 0.00 11.44
Hayfin Emerald CLO VII DAC Hayfin Nov 04, 2024 2,771 18.59 23.40 5.20 0.89 0.00 12.71
Hayfin Emerald CLO VIII DAC Hayfin Nov 15, 2024 2,775 18.79 22.58 5.37 0.79 0.00 12.22
Hayfin Emerald CLO X DAC Hayfin Dec 02, 2024 2,698 19.79 20.60 4.13 0.69 0.00 12.08
Hayfin Emerald CLO XII DAC Hayfin Dec 02, 2024 2,647 17.91 22.31 1.93 0.00 0.00 13.72
Hayfin Emerald CLO XIII DAC Hayfin Nov 04, 2024 2,626 20.16 23.64 0.50 0.00 0.00 9.99
Henley CLO I DAC Napier Park Nov 15, 2024 2,903 5.95 25.53 2.29 0.00 0.76 12.60
Henley CLO II DAC Napier Park Oct 15, 2024 2,970 2.03 25.44 2.55 0.00 0.76 14.97
Henley CLO III DAC Napier Park Oct 15, 2024 2,955 3.84 25.77 2.78 0.00 1.01 14.12
Henley CLO IV DAC Napier Park Nov 15, 2024 2,909 5.07 24.77 2.27 0.00 0.76 12.23
Henley CLO V DAC Napier Park Nov 15, 2024 2,950 2.48 23.84 2.77 0.00 0.76 15.10
Henley CLO VI DAC Napier Park Nov 15, 2024 2,962 2.94 25.40 2.21 0.00 1.53 13.53
Henley CLO VII DAC Napier Park Dec 16, 2024 2,887 4.93 23.02 1.75 0.00 1.00 12.60
Henley CLO X DAC Napier Park Nov 15, 2024 2,953 2.17 24.31 1.08 0.00 0.43 8.20
Holland Park CLO DAC Blackstone Nov 01, 2024 2,957 12.27 30.13 5.57 0.76 0.59 16.65
ICG Euro CLO 2021-1 DAC Intermediate Nov 07, 2024 3,008 13.78 32.01 3.48 1.82 0.00 16.27
ICG Euro CLO 2023-1 DAC Intermediate Nov 12, 2024 3,119 13.41 29.93 5.78 2.32 0.00 15.64
ICG Euro CLO 2023-2 DAC Intermediate Nov 12, 2024 2,997 13.82 31.92 2.24 1.68 0.00 19.62
ICG Euro CLO 2024-1 DAC Intermediate Nov 12, 2024 2,798 17.11 31.62 0.95 0.00 0.00 13.07
Indigo Credit Management I DAC Pemberton Nov 11, 2024 2,482 20.60 8.73 0.00 0.00 0.00 15.92
Invesco Euro CLO II DAC Invesco Nov 04, 2024 3,201 11.45 32.15 4.48 3.53 0.00 19.90
Invesco Euro CLO III DAC Invesco Dec 16, 2024 3,132 13.67 32.40 3.19 3.63 0.58 20.35
Invesco Euro CLO IV DAC Invesco Nov 15, 2024 3,247 10.25 34.39 4.57 3.48 0.19 21.67
Invesco Euro CLO Issuer X DAC Invesco Nov 15, 2024 2,981 15.10 28.21 2.24 2.36 0.00 20.18
Invesco Euro CLO VI DAC Invesco Nov 15, 2024 3,045 13.93 26.75 4.11 3.05 0.00 20.80
Invesco Euro CLO XI DAC Invesco Nov 15, 2024 2,914 15.60 28.18 1.99 1.58 0.00 17.01
Invesco Euro CLO XII DAC Invesco Nov 15, 2024 2,857 10.89 29.84 0.43 0.00 0.00 17.88
Jubilee CLO 2013-X DAC Alcentra Nov 04, 2024 2,916 16.83 29.81 6.14 1.10 0.00 17.19
Jubilee CLO 2017-XIX DAC Alcentra Dec 04, 2024 3,124 10.77 34.04 8.72 1.51 0.00 21.78
Jubilee CLO 2019-XXII DAC Alcentra Dec 10, 2024 2,844 16.89 30.22 3.86 0.59 0.00 17.32
Jubilee CLO 2019-XXIII DAC Alcentra Nov 07, 2024 2,921 14.74 31.78 4.10 0.91 0.00 17.61
Jubilee CLO 2020-XXIV DAC Alcentra Dec 10, 2024 2,918 14.44 29.78 5.10 1.07 0.00 19.08
Jubilee CLO 2022-XXVI DAC Alcentra Nov 07, 2024 2,905 15.94 29.83 4.88 1.08 0.00 16.94
Jubilee CLO 2023-XXVII DAC Alcentra Nov 07, 2024 2,934 15.69 31.19 4.80 1.32 0.00 16.59
Jubilee CLO 2024-XXVIII DAC Alcentra Dec 11, 2024 2,784 15.64 31.02 2.57 0.00 0.00 13.56
MV Credit Euro CLO III DAC MV Nov 04, 2024 2,898 10.42 20.02 2.81 0.58 0.00 16.05
Madison Park Euro Funding IX DAC Credit Suisse Nov 06, 2024 3,005 10.91 20.57 5.13 2.23 0.27 16.42
Madison Park Euro Funding VIII DAC Credit Suisse Nov 20, 2024 2,927 11.53 23.54 4.45 1.54 0.62 14.20
Madison Park Euro Funding X DAC Credit Suisse Nov 12, 2024 2,859 21.83 22.75 5.49 2.36 0.92 15.39
Madison Park Euro Funding XV DAC Credit Suisse Nov 20, 2024 2,995 11.37 26.51 4.52 1.41 0.41 14.66
Madison Park Euro Funding XVI DAC Credit Suisse Oct 04, 2024 2,977 11.86 24.78 3.69 1.86 0.79 15.61
Madison Park Euro Funding XVII DAC Credit Suisse Nov 20, 2024 2,997 9.14 28.25 4.31 0.92 0.26 17.73
Madison Park Euro Funding XX DAC Credit Suisse Nov 05, 2024 3,098 6.70 24.39 4.07 2.31 1.67 15.11
Man Euro CLO 2023-1 DAC GLG Nov 08, 2024 2,825 10.05 25.84 0.86 0.00 1.15 8.25
Man GLG Euro CLO III DAC GLG Nov 08, 2024 3,199 12.97 29.22 10.11 2.45 3.00 22.68
Man GLG Euro CLO VI DAC GLG Dec 09, 2024 2,957 10.87 33.84 4.25 0.55 1.60 18.34
Margay CLO II DAC M&G Nov 15, 2024 2,647 15.78 16.30 1.25 0.00 0.00 14.28
Marino Park CLO DAC Blackstone Nov 20, 2024 2,910 11.52 28.84 5.68 0.00 0.12 15.98
Montmartre Euro CLO 2020-2 DAC CELF Nov 04, 2024 2,945 10.71 28.18 5.88 0.00 0.00 17.44
Monument CLO 1 DAC Serone Nov 15, 2024 2,782 11.26 18.24 1.42 0.00 0.00 10.46
Nassau Euro CLO III DAC NCC Nov 07, 2024 2,857 8.91 21.23 1.59 0.66 0.00 14.08
Nassau Euro CLO IV DAC NCC Nov 07, 2024 2,786 9.33 19.87 0.50 0.00 0.00 12.88
Neuberger Berman Loan Advisers Euro CLO 1 DAC Neuberger Berman Nov 15, 2024 2,745 12.40 19.91 1.70 0.16 0.48 13.06
Neuberger Berman Loan Advisers Euro CLO 2 DAC Neuberger Berman Nov 18, 2024 2,750 12.32 20.95 1.85 0.16 0.95 13.58
Neuberger Berman Loan Advisers Euro CLO 3 DAC Neuberger Berman Nov 18, 2024 2,762 11.80 19.75 2.10 0.17 0.94 13.34
Neuberger Berman Loan Advisers Euro CLO 5 DAC Neuberger Berman Oct 08, 2024 2,747 12.91 21.74 2.65 0.17 1.13 14.71
Neuberger Berman Loan Advisers Euro CLO 6 DAC Neuberger Berman Nov 18, 2024 2,735 10.95 19.25 1.64 0.00 0.66 13.90
Newhaven CLO DAC Bain Nov 01, 2024 3,043 14.06 24.78 6.24 2.53 0.31 17.81
North Westerly VI ESG CLO DAC NIBC Dec 02, 2024 2,925 14.05 23.92 4.42 1.66 0.00 20.31
North Westerly VII ESG CLO DAC NIBC Nov 05, 2024 2,890 14.61 22.50 3.93 1.95 0.00 16.43
North Westerly VIII 2024 ESG CLO DAC NIBC Oct 31, 2024 2,702 14.88 22.53 0.00 0.00 0.00 11.68
Northwoods Capital 19 Euro DAC Northwoods Nov 13, 2024 2,988 9.78 27.32 6.61 0.54 0.85 19.25
Northwoods Capital 21 Euro DAC Northwoods Nov 11, 2024 3,044 11.73 26.55 5.33 1.87 0.00 17.78
Northwoods Capital 23 Euro DAC Northwoods Oct 31, 2024 3,026 12.40 26.90 5.20 1.92 0.00 18.33
Northwoods Capital 24 Euro DAC Northwoods Nov 04, 2024 3,058 11.63 27.38 5.46 1.91 0.00 17.65
Northwoods Capital 26 Euro DAC Northwoods Nov 04, 2024 3,045 10.98 26.70 5.22 1.62 0.43 18.70
OCP EURO CLO 2022-5 DAC Onex Nov 06, 2024 2,845 15.20 33.86 2.90 0.00 0.49 19.37
OCP Euro CLO 2017-1 DAC Onex Nov 06, 2024 2,818 15.46 32.65 3.41 0.00 0.43 17.44
OCP Euro CLO 2017-2 DAC Onex Nov 06, 2024 2,803 16.46 33.56 2.30 0.00 0.00 16.03
OCP Euro CLO 2019-3 DAC Onex Nov 06, 2024 2,810 14.41 29.21 2.98 0.00 0.35 17.07
OCP Euro CLO 2020-4 DAC Onex Nov 06, 2024 2,864 14.28 32.11 4.16 0.00 1.05 20.99
OCP Euro CLO 2022-6 DAC Onex Dec 06, 2024 2,888 14.11 35.24 3.14 0.00 0.49 17.27
OCP Euro CLO 2023-8 DAC Onex Nov 06, 2024 2,897 10.77 35.20 1.83 0.00 0.00 18.36
OCP Euro CLO 2024-10 DAC Onex Dec 06, 2024 2,805 13.15 29.17 1.60 0.00 0.34 13.76
OCP Euro CLO 2024-9 DAC Onex Nov 06, 2024 2,844 12.03 28.96 2.83 0.00 0.40 13.79
OCPE CLO 2023-7 DAC Onex Nov 06, 2024 2,852 13.97 33.77 2.89 0.00 0.56 16.26
OZLME III DAC Sculptor Dec 12, 2024 2,745 18.83 27.54 7.30 0.00 0.00 20.37
Oak Hill European Credit Partners VIII DAC Oak Hill Nov 06, 2024 2,857 9.33 26.01 2.95 0.00 0.32 15.81
Palmer Square European CLO 2021-1 DAC Palmer Square Nov 29, 2024 2,812 16.39 23.91 3.41 0.72 0.65 17.55
Palmer Square European CLO 2021-2 DAC Palmer Square Nov 05, 2024 2,841 15.76 24.17 3.94 0.82 0.64 18.24
Palmer Square European CLO 2022-1 DAC Palmer Square Nov 29, 2024 2,801 16.33 22.91 2.83 0.74 0.96 16.48
Palmer Square European CLO 2022-2 DAC Palmer Square Nov 29, 2024 2,778 16.31 22.22 1.93 0.85 0.81 15.50
Palmer Square European CLO 2023-2 DAC Palmer Square Oct 31, 2024 2,766 17.37 21.95 1.98 0.67 1.03 13.67
Penta CLO 11 DAC Partners Nov 29, 2024 2,941 7.21 27.82 3.46 0.00 0.00 10.81
Penta CLO 12 DAC Partners Oct 30, 2024 2,868 11.79 26.30 2.83 0.00 0.00 12.79
Penta CLO 14 DAC Partners Nov 29, 2024 2,883 9.63 29.12 1.46 0.00 0.00 12.57
Penta CLO 15 DAC Partners Oct 31, 2024 2,863 11.84 26.21 2.69 0.00 0.00 11.62
Penta CLO 16 DAC Partners Nov 29, 2024 2,865 10.79 25.87 3.33 0.00 0.00 13.58
Penta CLO 17 DAC Partners Nov 29, 2024 2,845 11.81 23.65 3.12 0.00 0.00 12.59
Penta CLO 5 DAC Partners Nov 29, 2024 2,838 13.74 27.08 3.34 0.00 0.00 13.53
Penta CLO 8 DAC Partners Oct 31, 2024 2,888 11.19 27.29 3.80 0.00 0.00 19.40
Penta CLO 9 DAC Partners Oct 31, 2024 2,891 9.07 25.67 3.34 0.00 0.00 11.04
Providus CLO I DAC Permira Oct 31, 2024 2,767 17.95 34.13 3.28 0.00 0.00 17.66
Providus CLO III DAC Permira Oct 31, 2024 2,885 10.38 32.81 2.06 0.00 0.00 14.80
Providus CLO IV DAC Permira Oct 31, 2024 2,900 9.49 33.03 2.30 0.00 0.00 15.83
Providus CLO IX DAC Permira Oct 31, 2024 2,948 8.12 32.85 2.33 0.00 0.00 13.50
Providus CLO V DAC Permira Oct 31, 2024 2,908 9.33 33.23 2.41 0.00 0.00 15.17
Providus CLO VI DAC Permira Nov 05, 2024 2,919 9.64 33.10 2.84 0.00 0.00 15.04
Providus CLO VII DAC Permira Oct 31, 2024 2,937 9.01 32.83 2.48 0.00 0.00 14.53
Providus CLO X DAC Permira Nov 01, 2024 2,926 9.34 31.95 2.36 0.00 0.00 14.92
Purple Finance CLO 1 DAC Ostrum Nov 15, 2024 3,272 4.04 45.27 10.96 0.00 0.00 15.16
Purple Finance CLO 2 DAC Ostrum Dec 16, 2024 2,989 3.14 27.27 3.38 0.00 0.00 16.87
RRE 1 Loan Management DAC Redding Ridge Oct 31, 2024 2,809 12.04 23.26 2.76 0.00 0.00 12.77
RRE 10 Loan Management DAC Redding Ridge Nov 30, 2024 2,797 12.12 23.03 2.82 0.00 0.00 12.38
RRE 11 Loan Management DAC Redding Ridge Oct 31, 2024 2,825 9.25 22.33 2.20 0.00 0.00 13.32
RRE 12 Loan Management DAC Redding Ridge Oct 31, 2024 2,811 11.03 21.22 2.63 0.00 0.00 13.13
RRE 16 Loan Management DAC Redding Ridge Oct 31, 2024 2,836 8.04 22.49 1.96 0.00 0.00 14.34
RRE 17 Loan Management DAC Redding Ridge Oct 31, 2024 2,822 7.90 23.59 1.12 0.00 0.00 14.23
RRE 18 Loan Management DAC Redding Ridge Oct 31, 2024 2,826 7.66 23.33 0.88 0.00 0.00 13.49
RRE 19 Loan Management DAC Redding Ridge Nov 30, 2024 2,863 6.49 24.55 1.11 0.00 0.00 12.64
RRE 2 Loan Management DAC Redding Ridge Oct 31, 2024 2,803 11.98 22.12 2.64 0.00 0.00 12.62
RRE 20 Loan Management DAC Redding Ridge Oct 31, 2024 2,914 5.88 25.18 1.45 0.00 0.00 10.91
RRE 21 Loan Management DAC Redding Ridge Oct 31, 2024 2,876 6.64 23.69 2.04 0.00 0.00 13.75
RRE 5 Loan Management DAC Redding Ridge Oct 31, 2024 2,800 11.83 22.52 2.76 0.00 0.00 13.24
RRE 6 Loan Management DAC Redding Ridge Oct 31, 2024 2,804 11.68 22.20 2.64 0.00 0.00 13.22
RRE 7 Loan Management DAC Redding Ridge Oct 31, 2024 2,802 12.29 22.57 2.75 0.00 0.00 12.63
RRE 8 Loan Management DAC Redding Ridge Oct 31, 2024 2,820 11.09 22.84 2.83 0.00 0.00 13.16
Rockfield Park CLO DAC Blackstone Nov 12, 2024 2,921 11.93 26.60 5.05 0.59 0.14 14.16
Rockford Tower Europe CLO 2018-1 DAC Rockford Nov 15, 2024 2,888 17.70 34.50 5.06 0.25 1.35 16.50
Rockford Tower Europe CLO 2021-1 DAC Rockford Nov 15, 2024 2,773 19.53 25.16 6.34 0.00 0.83 12.46
Rockford Tower Europe CLO 2021-2 DAC Rockford Nov 15, 2024 2,877 16.95 30.80 6.99 0.00 0.67 13.93
Rockford Tower Europe CLO 2023-1 DAC Rockford Nov 15, 2024 2,841 15.83 29.90 4.46 0.00 0.53 11.65
Sculptor European CLO I DAC Sculptor Nov 12, 2024 2,749 16.68 25.24 3.17 0.00 0.00 15.29
Sculptor European CLO II DAC Sculptor Nov 12, 2024 2,726 17.12 24.94 2.52 0.00 0.00 15.28
Sculptor European CLO VI DAC Sculptor Oct 02, 2024 2,697 18.97 24.41 2.46 0.00 0.00 15.11
Sculptor European CLO VIII DAC Sculptor Nov 05, 2024 2,783 14.17 25.65 2.49 0.00 0.00 17.19
Seapoint Park CLO DAC Blackstone Nov 12, 2024 2,921 10.85 28.28 5.15 0.26 0.61 13.53
Segovia European CLO 1-2014 DAC Segovia Oct 02, 2024 2,947 10.92 24.80 5.32 0.62 1.04 14.44
Segovia European CLO 3-2017 DAC Segovia Oct 15, 2024 2,933 10.67 24.25 3.44 0.77 1.15 13.62
Segovia European CLO 4-2017 DAC Segovia Oct 08, 2024 2,979 19.12 28.67 8.04 1.51 1.69 16.20
Signal Harmonic CLO II DAC Signal Nov 12, 2024 2,839 16.81 29.81 2.93 0.00 0.00 10.99
Signal Harmonic CLO III DAC Signal Oct 14, 2024 2,835 15.04 28.09 2.68 0.00 0.00 10.08
Sona Fios CLO I DAC Sona Nov 29, 2024 2,807 10.56 24.40 2.10 0.00 0.00 8.21
Sona Fios CLO II DAC Sona Nov 29, 2024 2,755 11.73 24.08 1.09 0.00 0.00 8.06
Sona Fios CLO III DAC Sona Oct 31, 2024 2,719 11.85 20.17 1.29 0.00 0.00 6.85
Sound Point Euro CLO 10 Funding DAC Sound Point Nov 01, 2024 2,937 8.80 31.82 0.97 0.00 0.82 17.11
Sound Point Euro CLO 11 Funding DAC Sound Point Nov 01, 2024 2,866 13.17 31.08 0.99 0.00 0.99 15.05
Sound Point Euro CLO III Funding DAC Sound Point Nov 07, 2024 2,903 13.38 31.27 2.82 0.00 0.75 17.54
Sound Point Euro CLO IV Funding DAC Sound Point Nov 01, 2024 2,923 12.61 33.18 2.62 0.00 0.90 19.08
St. Paul's CLO II DAC Intermediate Nov 12, 2024 3,080 15.52 29.57 3.80 3.20 0.00 18.65
St. Paul's CLO IX DAC Intermediate Nov 07, 2024 3,060 15.76 29.68 3.80 2.96 0.00 18.42
St. Paul's CLO VI DAC Intermediate Nov 07, 2024 3,065 16.38 31.19 4.18 2.67 0.00 17.82
St. Paul's CLO VII DAC Intermediate Nov 07, 2024 3,062 16.58 30.07 3.93 2.96 0.00 17.94
St. Paul's CLO X DAC Intermediate Nov 07, 2024 3,114 15.57 30.91 3.36 3.62 0.00 18.22
St. Paul's CLO XII DAC Intermediate Nov 07, 2024 3,101 13.22 31.86 3.52 2.90 0.00 18.03
Texas Debt Capital Euro CLO 2024-I DAC CIFC Oct 31, 2024 2,806 12.62 28.77 0.85 0.00 0.24 17.65
Tikehau CLO III DAC Tikehau Oct 31, 2024 2,916 15.88 22.35 4.65 2.51 0.56 14.37
Tikehau CLO V DAC Tikehau Nov 29, 2024 2,950 12.79 27.79 3.75 1.83 0.83 17.53
Tikehau CLO VII DAC Tikehau Oct 31, 2024 2,926 13.30 26.87 1.66 1.71 0.00 16.47
Tikehau CLO X DAC Tikehau Nov 29, 2024 2,857 11.06 23.08 1.17 1.17 0.00 14.36
Tikehau CLO XI DAC Tikehau Oct 31, 2024 2,868 10.38 24.81 2.02 0.56 0.00 10.82
Tikehau CLO XII DAC Tikehau Oct 31, 2024 2,858 8.80 28.19 0.25 0.00 0.00 10.17
Toro European CLO 2 DAC Chenavari Nov 15, 2024 2,828 14.02 22.80 5.67 0.00 0.75 17.04
Toro European CLO 3 DAC Chenavari Nov 15, 2024 2,800 13.00 23.00 4.24 0.00 0.72 17.08
Toro European CLO 5 DAC Chenavari Dec 16, 2024 2,735 15.34 18.55 5.94 0.00 1.78 22.71
Toro European CLO 6 DAC Chenavari Nov 15, 2024 2,805 12.79 22.79 5.01 0.00 0.47 18.50
Toro European CLO 7 DAC Chenavari Nov 05, 2024 2,776 13.81 20.65 6.12 0.00 0.00 19.50
Toro European CLO 8 DAC Chenavari Nov 15, 2024 2,899 12.07 28.80 4.26 0.00 0.00 19.06
Toro European CLO 9 DAC Chenavari Nov 15, 2024 2,815 13.22 26.19 3.41 0.00 0.68 15.08
Trinitas Euro CLO I DAC WhiteStar Dec 16, 2024 2,880 10.74 25.84 3.89 0.00 0.49 23.49
Trinitas Euro CLO II DAC Trinitas Nov 12, 2024 2,705 17.27 22.72 1.61 0.00 0.14 14.44
Trinitas Euro CLO III DAC Trinitas Nov 15, 2024 2,731 16.27 22.16 1.18 0.20 0.72 15.20
Trinitas Euro CLO IV DAC Trinitas Nov 04, 2024 2,710 17.43 20.24 2.36 0.16 0.00 17.14
Trinitas Euro CLO V DAC WhiteStar Nov 15, 2024 2,629 17.89 17.67 0.57 0.00 0.00 15.71
Trinitas Euro CLO VI DAC WhiteStar Nov 15, 2024 2,644 17.38 18.74 1.20 0.00 0.00 16.62
Trinitas Euro CLO VII DAC Trinitas Nov 15, 2024 2,645 18.71 17.93 1.31 0.00 0.00 12.39
Tymon Park CLO DAC Blackstone Nov 15, 2024 2,933 10.77 26.79 6.22 0.21 0.31 15.68
Vendome Funding CLO 2020-1 DAC CELF Nov 07, 2024 2,944 7.81 28.11 3.83 0.00 0.00 17.29
Vesey Park CLO DAC Blackstone Nov 05, 2024 2,924 11.79 28.55 5.36 0.35 0.62 15.64
Voya Euro CLO III DAC Voya Dec 10, 2024 2,940 11.79 29.27 4.34 0.38 0.16 16.89
Voya Euro CLO IV DAC Voya Nov 05, 2024 2,946 11.71 28.50 4.63 0.27 0.29 16.33
Voya Euro CLO V DAC Voya Nov 04, 2024 2,948 11.83 28.18 4.67 0.28 0.00 17.02
Voya Euro CLO VI DAC Voya Nov 19, 2024 2,903 10.49 27.53 2.94 0.28 0.00 14.50
Wilton Park CLO DAC Blackstone Nov 13, 2024 2,888 9.67 26.34 3.36 0.37 0.12 15.16
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
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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