(Editor's Note: In the original version of this report published earlier today, the weighted average life data for both European and U.S. CLOs were misstated in table 1. A corrected version follows.)
S&P Global Ratings is publishing its updated performance benchmarks under its non-model Monitor framework for rated collateralized loan obligation (CLO) transactions (see "S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version," published June 21, 2019). The performance benchmarks provide transparency into our view of CLO collateral credit quality and diversity using the non-model version of our CDO monitor. They also highlight the different CLO manager investment styles (i.e., some managers prefer to invest in loans from higher rated issuers, while others prefer to maintain highly diversified portfolios).
Non-Model Monitor's Benchmarks
Chart 1 summarizes the non-model Monitor's benchmarks.
Chart 1
These metrics are calculated based on portfolio information from recent trustee reports and our ratings on the corporate obligors in the CLO collateral pools as of second-quarter 2020. The metrics below are calculated for the portfolio exposures to obligors with performing ratings (those rated 'CCC-' and above). For example, if a CLO has exposure to an obligor that is downgraded to a nonperforming rating ('CC', 'SD', or 'D'), the monitor metrics of the portfolio will exclude exposure to that obligor.
Non-Model Monitor Benchmarks
U.S. and European reinvesting broadly syndicated loan (BSL) CLO comparison
Table 1 shows the average second-quarter 2020 metrics for reinvesting U.S. and European BSL CLOs.
Table 1
| Average Second-Quarter 2020 Metrics For Reinvesting BSL CLOs | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| WAL (years) | DRD | ODM | IDM | RDM | SPWARF | |||||||||
| European CLOs | 4.96 | 720 | 113.14 | 20.57 | 1.31 | 2937 | ||||||||
| U.S. CLOs | 4.87 | 874 | 200.26 | 24.45 | 1.19 | 2841 | ||||||||
| CLO--Collateralized loan obligation. BSL--Broadly syndicated loan. WAL--Weighted average life. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. SPWARF--S&P Global weighted average rating factor. | ||||||||||||||
For a comparison between the structure and composition of U.S. and European CLOs, see "European And U.S. CLOs: How Different Are They Really?" published Dec. 1, 2015.
U.S. CLO metrics
Table 2 shows the second-quarter 2020 portfolio metrics for the U.S. CLOs rated by S&P Global Ratings (this list includes middle market CLOs).
Table 2
| Second-Quarter 2020 Metrics For U.S. CLOs Rated By S&P Global Ratings | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transaction | WAL (years) | DRD | ODM | IDM | RDM | SPWARF | Reinvesting | |||||||||
| CIFC Funding 2014-IV-R, Ltd. 2014-IV-R | 4.73 | 883 | 236.73 | 22.75 | 1.18 | 2753 | Y | |||||||||
| Madison Park Funding XXXI, Ltd. | 4.82 | 874 | 232.50 | 22.38 | 1.27 | 3043 | Y | |||||||||
| Columbia Cent CLO 28 Limited | 4.76 | 938 | 227.84 | 23.54 | 1.16 | 2542 | Y | |||||||||
| OHA Credit Partners XI, Ltd. | 4.99 | 890 | 157.45 | 23.50 | 1.19 | 2921 | Y | |||||||||
| Madison Park Funding XLIV Ltd | 4.73 | 890 | 240.25 | 23.02 | 1.28 | 2968 | Y | |||||||||
| Harbor Park CLO, Ltd. | 4.97 | 843 | 221.55 | 19.86 | 1.15 | 2818 | Y | |||||||||
| Halcyon Loan Advisors Funding 2018-2 Ltd. | 5.00 | 931 | 189.30 | 28.01 | 1.34 | 2676 | Y | |||||||||
| Voya CLO 2015-3, Ltd. | 4.78 | 921 | 312.99 | 22.66 | 1.16 | 2804 | Y | |||||||||
| Golub Capital BDC CLO III LLC | 3.03 | 851 | 59.71 | 6.90 | 1.00 | 4177 | Y | |||||||||
| OHA Credit Partners X-R, Ltd. | 4.88 | 917 | 152.08 | 25.29 | 1.24 | 2949 | Y | |||||||||
| Guggenheim MM CLO 2018-1 Ltd 2018-1 | 4.22 | 656 | 56.34 | 15.79 | 1.12 | 3648 | Y | |||||||||
| Barings Middle Market CLO Ltd. 2018-I | 4.10 | 652 | 53.93 | 23.96 | 1.03 | 3878 | Y | |||||||||
| GCIC CLO II LLC | 3.18 | 847 | 78.07 | 7.94 | 1.00 | 4223 | Y | |||||||||
| Crown Point CLO 6 Ltd. | 4.59 | 1057 | 152.10 | 28.34 | 1.16 | 2905 | Y | |||||||||
| Antares CLO 2018-3 Ltd. | 3.78 | 344 | 132.87 | 20.30 | 1.00 | 3725 | Y | |||||||||
| Golub Capital Partners CLO 33 (M), Ltd. | 3.74 | 829 | 62.42 | 8.74 | 1.00 | 4191 | Y | |||||||||
| Peaks CLO 3, Ltd. | 4.79 | 741 | 137.43 | 20.69 | 1.03 | 3246 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 30, Ltd. | 4.84 | 751 | 169.34 | 26.03 | 1.26 | 2797 | Y | |||||||||
| Dryden 70 CLO, Ltd. | 5.01 | 948 | 293.13 | 26.42 | 1.15 | 2714 | Y | |||||||||
| Voya CLO 2018-4, Ltd. | 5.00 | 892 | 276.29 | 20.88 | 1.13 | 2791 | Y | |||||||||
| Madison Park Funding XXXII, Ltd. | 4.87 | 880 | 219.05 | 20.02 | 1.30 | 3004 | Y | |||||||||
| TIAA CLO IV Ltd. | 4.98 | 939 | 155.43 | 27.56 | 1.15 | 2685 | Y | |||||||||
| Deerpath Capital CLO 2018-1 Ltd. | 3.41 | 577 | 43.36 | 9.93 | 1.00 | 3936 | Y | |||||||||
| Symphony CLO XV, Ltd. | 4.80 | 918 | 194.77 | 21.75 | 1.13 | 2794 | Y | |||||||||
| Ares LI CLO Ltd. | 5.02 | 742 | 197.92 | 19.54 | 1.23 | 2919 | Y | |||||||||
| GoldenTree Loan Management US CLO 4, Ltd. | 4.98 | 830 | 136.02 | 24.05 | 1.26 | 2789 | Y | |||||||||
| AIG CLO 2018-1, Ltd. | 4.90 | 702 | 186.58 | 23.44 | 1.18 | 2882 | Y | |||||||||
| Voya CLO 2019-3 Ltd | 5.14 | 884 | 255.06 | 21.10 | 1.15 | 2654 | Y | |||||||||
| Park Avenue Institutional Advisers CLO Ltd 2019-2 | 4.94 | 728 | 130.18 | 22.49 | 1.06 | 2747 | Y | |||||||||
| OHA Credit Funding 4, Ltd. | 5.23 | 840 | 146.09 | 21.40 | 1.23 | 2817 | Y | |||||||||
| Madison Park Funding XXXIII Ltd. | 5.24 | 793 | 235.74 | 20.58 | 1.24 | 2918 | Y | |||||||||
| KKR CLO 27 Ltd. | 4.90 | 957 | 194.60 | 24.50 | 1.18 | 2785 | Y | |||||||||
| Apex Credit CLO 2019-II Ltd. | 5.29 | 950 | 184.06 | 26.56 | 1.18 | 2615 | Y | |||||||||
| Palmer Square CLO 2019-1 Ltd. | 5.05 | 839 | 235.07 | 19.00 | 1.14 | 2564 | Y | |||||||||
| Fortress Credit BSL VIII Ltd. | 4.73 | 803 | 99.76 | 20.77 | 1.15 | 3287 | Y | |||||||||
| Oaktree CLO 2019-4, Ltd. | 5.03 | 943 | 229.76 | 28.48 | 1.14 | 2705 | Y | |||||||||
| GCPF Loan Funding D L.P. | 3.96 | 901 | 58.38 | 6.26 | 1.03 | 4264 | Y | |||||||||
| Magnetite XXIII, Limited | 5.27 | 876 | 189.35 | 24.25 | 1.13 | 2672 | Y | |||||||||
| ABPCI Direct Lending Fund CLO VII LP | 4.30 | 669 | 54.72 | 8.23 | 1.00 | 4032 | Y | |||||||||
| Benefit Street Partners CLO XVIII, Ltd. | 4.97 | 839 | 290.47 | 27.61 | 1.15 | 2704 | Y | |||||||||
| Atlas Senior Loan Fund XV, Ltd. | 5.34 | 915 | 166.71 | 26.00 | 1.13 | 2658 | Y | |||||||||
| AIG CLO 2019-2, Ltd. | 5.12 | 681 | 164.13 | 22.90 | 1.19 | 2791 | Y | |||||||||
| Trimaran CAVU 2019-2 Ltd. | 5.26 | 807 | 206.10 | 27.60 | 1.14 | 2536 | Y | |||||||||
| Octagon Investment Partners 45, Ltd. | 5.48 | 832 | 155.72 | 25.48 | 1.19 | 2716 | Y | |||||||||
| BlueMountain CLO XXVI Ltd. | 5.47 | 843 | 219.87 | 25.82 | 1.15 | 2811 | Y | |||||||||
| Beechwood Park CLO, Ltd. | 5.25 | 714 | 190.12 | 19.72 | 1.19 | 2837 | Y | |||||||||
| Fort Washington CLO 2019-1, Ltd. | 5.35 | 721 | 160.41 | 26.22 | 1.17 | 2620 | Y | |||||||||
| Ares LIV CLO Ltd. | 5.13 | 746 | 189.72 | 18.11 | 1.20 | 2933 | Y | |||||||||
| TCW CLO 2019-2, Ltd. | 5.29 | 801 | 209.28 | 24.04 | 1.18 | 2802 | Y | |||||||||
| Flatiron CLO 19 Ltd. | 4.98 | 773 | 201.79 | 27.57 | 1.20 | 2696 | Y | |||||||||
| Pulsar Funding I, Ltd. | 4.92 | 764 | 91.65 | 16.55 | 1.14 | 3146 | Y | |||||||||
| Voya CLO 2019-4, Ltd. | 5.25 | 855 | 258.92 | 21.68 | 1.13 | 2661 | Y | |||||||||
| Guggenheim MM CLO 2019-2, Ltd. | 4.41 | 554 | 55.84 | 13.71 | 1.17 | 3670 | Y | |||||||||
| MidOcean Credit CLO X | 5.26 | 762 | 149.33 | 20.72 | 1.17 | 2932 | Y | |||||||||
| Audax Senior Debt CLO II, LLC | 4.51 | 488 | 90.73 | 15.64 | 1.03 | 3675 | Y | |||||||||
| Owl Rock CLO II, Ltd. | 4.38 | 366 | 41.52 | 21.21 | 1.04 | 3636 | Y | |||||||||
| GoldenTree Loan Management US CLO 6, Ltd. | 5.08 | 797 | 123.64 | 25.20 | 1.24 | 2598 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 34, Ltd. | 5.17 | 707 | 169.52 | 23.92 | 1.24 | 2691 | Y | |||||||||
| 522 Funding CLO I Ltd. | 5.32 | 838 | 129.11 | 20.86 | 1.12 | 2620 | Y | |||||||||
| OHA Loan Funding 2015-1 Ltd. | 4.89 | 917 | 158.22 | 25.81 | 1.22 | 2919 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 35, Ltd. | 5.30 | 668 | 153.96 | 22.22 | 1.31 | 2808 | Y | |||||||||
| CIFC Funding 2019-VI, Ltd. | 5.45 | 754 | 158.43 | 21.33 | 1.21 | 2907 | Y | |||||||||
| Golub Capital Partners CLO 46(M), L.P. | 4.13 | 760 | 49.92 | 9.18 | 1.00 | 4176 | Y | |||||||||
| First Eagle Commercial Loan Funding 2016-1 LLC | 3.85 | 802 | 85.05 | 23.33 | 1.00 | 3984 | Y | |||||||||
| East West Investment Management CLO 2019-1, Limited | 5.18 | 743 | 146.14 | 23.56 | 1.07 | 2875 | Y | |||||||||
| Golub Capital Partners CLO 28(M)-R, L.P. | 3.67 | 877 | 70.72 | 9.27 | 1.03 | 4317 | Y | |||||||||
| Madison Park Funding XXII, Ltd. | 4.66 | 879 | 212.76 | 26.01 | 1.28 | 2830 | Y | |||||||||
| Mountain View CLO 2016-1 Ltd. | 5.07 | 920 | 217.54 | 22.81 | 1.23 | 2560 | Y | |||||||||
| ARES XLVI CLO Ltd. | 4.87 | 781 | 212.76 | 19.62 | 1.20 | 2923 | Y | |||||||||
| BlueMountain Fuji US CLO III Ltd. | 5.08 | 898 | 204.07 | 27.61 | 1.24 | 2952 | Y | |||||||||
| MMCF CLO 2017-1, LLC 2017-1 | 3.19 | 511 | 22.94 | 12.52 | 1.00 | 3855 | N | |||||||||
| Carlyle US CLO 2017-5, Ltd. | 4.79 | 961 | 208.56 | 31.11 | 1.19 | 2876 | Y | |||||||||
| Fortress Credit BSL V Limited N/A | 4.54 | 836 | 110.10 | 22.92 | 1.10 | 3126 | Y | |||||||||
| ABPCI Direct Lending Fund CLO IV Ltd | 3.36 | 526 | 52.19 | 7.00 | 1.00 | 3889 | Y | |||||||||
| CVP CLO 2017-2, Ltd. 2017-2 | 4.68 | 954 | 159.02 | 26.42 | 1.13 | 2711 | Y | |||||||||
| LCM 26 Ltd. | 4.52 | 847 | 254.58 | 25.38 | 1.12 | 2814 | Y | |||||||||
| Tralee CLO IV, Ltd. | 4.87 | 913 | 180.70 | 23.61 | 1.09 | 2797 | Y | |||||||||
| Neuberger Berman CLO XVI-S, Ltd. | 4.15 | 789 | 137.12 | 23.12 | 1.27 | 2827 | N | |||||||||
| Anchorage Capital CLO 5-R Ltd | 5.00 | 713 | 142.53 | 25.67 | 1.20 | 3266 | Y | |||||||||
| RR 3 LTD | 4.54 | 943 | 142.45 | 21.22 | 1.25 | 3045 | Y | |||||||||
| Neuberger Berman Loan Advisors CLO 27, Ltd. | 4.79 | 800 | 179.82 | 24.55 | 1.29 | 2747 | Y | |||||||||
| Madison Park Funding XXVII, Ltd. | 4.81 | 893 | 232.94 | 24.00 | 1.29 | 2922 | Y | |||||||||
| Octagon Investment Partners 35 Ltd. | 5.04 | 960 | 220.64 | 24.65 | 1.22 | 2765 | Y | |||||||||
| Anchorage Capital CLO 3-R, Ltd. | 5.03 | 725 | 142.21 | 26.36 | 1.21 | 3223 | Y | |||||||||
| Anchorage Capital CLO 4-R Ltd. | 5.03 | 728 | 141.75 | 26.42 | 1.21 | 3227 | Y | |||||||||
| Atlas Senior Loan Fund X, Ltd. | 5.00 | 1036 | 164.08 | 27.74 | 1.14 | 2801 | Y | |||||||||
| Cedar Funding VII CLO, Ltd. | 4.65 | 860 | 212.02 | 26.89 | 1.11 | 2794 | Y | |||||||||
| Mariner CLO 5, Ltd. | 4.77 | 842 | 223.58 | 21.57 | 1.16 | 2771 | Y | |||||||||
| OCP CLO 2014-5, Ltd. 2014-5 | 4.81 | 917 | 206.24 | 27.90 | 1.27 | 2810 | Y | |||||||||
| ZAIS CLO 8, LIMITED | 4.75 | 994 | 180.36 | 24.69 | 1.11 | 3037 | Y | |||||||||
| Garrison Funding 2018-1 LP | 4.21 | 784 | 75.42 | 22.31 | 1.04 | 3462 | N | |||||||||
| MidOcean Credit CLO VIII | 5.18 | 851 | 159.02 | 23.70 | 1.16 | 2829 | Y | |||||||||
| Golub Capital Partners CLO 36(M), Ltd. | 3.43 | 972 | 73.79 | 9.57 | 1.00 | 4405 | Y | |||||||||
| Benefit Street Partners CLO XIV, Ltd. | 4.77 | 866 | 281.80 | 27.18 | 1.15 | 2831 | Y | |||||||||
| HPS Loan Management 6-2015, Ltd. 6-2015 | 4.75 | 965 | 176.65 | 26.72 | 1.16 | 2756 | Y | |||||||||
| AMMC CLO 22, Limited | 4.55 | 931 | 318.23 | 29.31 | 1.12 | 2793 | Y | |||||||||
| Cook Park CLO, Ltd. | 4.92 | 865 | 230.57 | 22.74 | 1.18 | 2867 | Y | |||||||||
| Atlas Senior Loan Fund IX, Ltd. | 4.34 | 1029 | 156.63 | 28.46 | 1.11 | 2832 | N | |||||||||
| Ares XLVII CLO Ltd. | 4.91 | 782 | 207.49 | 19.90 | 1.20 | 2927 | Y | |||||||||
| Octagon Investment Partners 36, Ltd. | 4.97 | 904 | 199.96 | 21.54 | 1.21 | 2705 | Y | |||||||||
| Voya CLO 2018-1, Ltd. | 4.87 | 931 | 312.33 | 21.78 | 1.16 | 2804 | Y | |||||||||
| Madison Park Funding XXX, Ltd. | 4.86 | 944 | 228.26 | 24.18 | 1.25 | 2938 | Y | |||||||||
| Palmer Square CLO 2018-1, Ltd. | 4.88 | 870 | 232.87 | 20.02 | 1.13 | 2618 | Y | |||||||||
| Anchorage Capital CLO 1-R, Ltd. 1-R | 5.01 | 720 | 139.81 | 24.28 | 1.24 | 3251 | Y | |||||||||
| Octagon Investment Partners 18-R, Ltd. | 5.03 | 949 | 231.09 | 25.44 | 1.21 | 2730 | Y | |||||||||
| Benefit Street Partners CLO XVII, Ltd. | 4.92 | 819 | 274.23 | 26.47 | 1.16 | 2791 | Y | |||||||||
| Niagara Park CLO, Ltd. | 5.06 | 774 | 192.40 | 21.13 | 1.11 | 2829 | Y | |||||||||
| AIMCO CLO 10, Ltd. | 4.99 | 907 | 205.66 | 26.00 | 1.15 | 2692 | Y | |||||||||
| BlueMountain CLO XXV Ltd. | 5.33 | 837 | 214.54 | 26.32 | 1.12 | 2828 | Y | |||||||||
| RR 6 Ltd | 4.80 | 829 | 141.34 | 20.97 | 1.24 | 2920 | Y | |||||||||
| Madison Park Funding XXXVII, Ltd. | 5.06 | 857 | 203.63 | 19.38 | 1.24 | 2989 | Y | |||||||||
| Golub Capital Partners CLO 44(M), Ltd. | 3.88 | 934 | 78.48 | 9.83 | 1.00 | 4261 | Y | |||||||||
| SYMPHONY CLO XXI, LLC | 5.20 | 826 | 163.31 | 19.10 | 1.15 | 2754 | Y | |||||||||
| Woodmont 2019-6 LP | 3.62 | 678 | 52.12 | 15.81 | 1.01 | 4007 | Y | |||||||||
| Black Diamond CLO 2019-2, Ltd. | 4.88 | 878 | 143.71 | 21.93 | 1.15 | 2959 | Y | |||||||||
| Carlyle US CLO 2019-2, Ltd. | 4.92 | 823 | 219.44 | 29.58 | 1.16 | 2862 | Y | |||||||||
| Fortress Credit BSL VII Limited | 4.72 | 814 | 99.49 | 21.69 | 1.15 | 3243 | Y | |||||||||
| Battery Park CLO Ltd | 5.23 | 825 | 253.34 | 23.28 | 1.22 | 2655 | Y | |||||||||
| OCP CLO 2019-17 Ltd. | 5.07 | 803 | 203.35 | 25.23 | 1.30 | 2689 | Y | |||||||||
| Octagon Investment Partners 44, Ltd. | 5.24 | 853 | 187.90 | 24.58 | 1.19 | 2778 | Y | |||||||||
| Dryden 68 CLO, Ltd. | 4.96 | 896 | 275.32 | 26.44 | 1.13 | 2743 | Y | |||||||||
| Anchorage Capital CLO 9, Ltd. | 5.09 | 786 | 131.01 | 25.61 | 1.26 | 3144 | Y | |||||||||
| Whitebox CLO I Ltd. | 5.46 | 826 | 161.92 | 26.03 | 1.14 | 2634 | Y | |||||||||
| Oaktree CLO 2019-3, Ltd. | 4.98 | 942 | 211.12 | 27.02 | 1.11 | 2741 | Y | |||||||||
| Parallel 2019-1 Ltd. | 5.24 | 833 | 215.11 | 23.44 | 1.15 | 2875 | Y | |||||||||
| Southwick Park CLO, Ltd. | 5.11 | 790 | 187.24 | 19.25 | 1.19 | 2848 | Y | |||||||||
| Steele Creek CLO 2019-2 Ltd. | 5.21 | 992 | 176.86 | 27.38 | 1.13 | 2606 | Y | |||||||||
| BCC Middle Market CLO 2019-1 LLC | 4.78 | 488 | 52.46 | 15.31 | 1.06 | 3804 | Y | |||||||||
| ABPCI Direct Lending Fund CLO VI Ltd. | 4.18 | 610 | 54.82 | 6.78 | 1.00 | 3986 | Y | |||||||||
| Voya CLO 2019-2, Ltd. | 5.14 | 898 | 272.60 | 21.00 | 1.13 | 2700 | Y | |||||||||
| Bain Capital Credit CLO 2019-2, Limited | 5.13 | 820 | 264.97 | 25.67 | 1.21 | 2890 | Y | |||||||||
| GoldenTree Loan Management US CLO 5, Ltd. | 5.12 | 781 | 116.42 | 25.26 | 1.21 | 2766 | Y | |||||||||
| Anchorage Capital CLO 11, Ltd. | 5.16 | 714 | 122.44 | 23.47 | 1.24 | 3124 | Y | |||||||||
| ORCC Financing IV LLC | 4.30 | 799 | 15.34 | 10.36 | 1.00 | 4060 | Y | |||||||||
| HPS Loan Management 15-2019, Ltd. | 5.20 | 870 | 157.63 | 24.22 | 1.09 | 2693 | Y | |||||||||
| Garrison MML CLO 2019-1 LP | 4.48 | 1066 | 88.77 | 21.20 | 1.05 | 3037 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 33, Ltd. | 5.19 | 727 | 179.72 | 25.33 | 1.23 | 2723 | Y | |||||||||
| OZLM XXIV, Ltd. | 5.16 | 937 | 142.56 | 26.47 | 1.25 | 2814 | Y | |||||||||
| Cedar Funding X CLO, Ltd. | 4.72 | 802 | 191.15 | 25.63 | 1.07 | 2759 | Y | |||||||||
| PennantPark CLO I, Ltd. | 3.92 | 519 | 48.07 | 21.18 | 1.00 | 3724 | Y | |||||||||
| Golub Capital Partners CLO 45(M), Ltd. | 3.93 | 869 | 60.08 | 8.23 | 1.00 | 4255 | Y | |||||||||
| TICP CLO XIV, Ltd. | 5.06 | 801 | 195.68 | 17.56 | 1.19 | 2925 | Y | |||||||||
| Regatta XII Funding Ltd. | 5.05 | 834 | 222.79 | 20.09 | 1.18 | 2811 | Y | |||||||||
| Tralee CLO VI, Ltd. | 5.01 | 912 | 156.57 | 24.08 | 1.10 | 2691 | Y | |||||||||
| Canyon CLO 2019-2, Ltd. | 5.42 | 761 | 177.07 | 18.05 | 1.30 | 2859 | Y | |||||||||
| CIFC Funding 2016-I, Ltd. | 4.83 | 859 | 231.45 | 23.02 | 1.16 | 2815 | Y | |||||||||
| Carlyle US CLO 2019-3, Ltd. | 5.00 | 815 | 229.39 | 28.58 | 1.16 | 2819 | Y | |||||||||
| Trestles CLO III, Ltd. | 5.41 | 697 | 159.26 | 23.00 | 1.16 | 2819 | Y | |||||||||
| York CLO-4 Ltd. | 4.83 | 995 | 196.68 | 29.70 | 1.18 | 2768 | Y | |||||||||
| Golub Capital Partners CLO 48(B), Ltd. | 5.04 | 781 | 154.34 | 16.91 | 1.11 | 2848 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 36, Ltd. | 5.36 | 729 | 161.25 | 20.78 | 1.29 | 2635 | Y | |||||||||
| Canyon CLO 2020-1, Ltd. | 5.55 | 798 | 148.13 | 22.38 | 1.29 | 2603 | Y | |||||||||
| TCP Whitney CLO, Ltd | 4.00 | 782 | 57.85 | 11.46 | 1.14 | 4188 | Y | |||||||||
| Nassau 2017-I Ltd. | 4.78 | 907 | 195.62 | 27.75 | 1.07 | 2890 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 25, Ltd. CLO 25 | 4.71 | 779 | 180.75 | 24.18 | 1.27 | 2764 | Y | |||||||||
| Marathon CLO X Ltd X | 4.72 | 883 | 192.22 | 26.72 | 1.24 | 3034 | Y | |||||||||
| MCF CLO VII LLC VII | 3.17 | 617 | 97.57 | 14.89 | 1.00 | 3917 | Y | |||||||||
| Cedar Funding VIII CLO Ltd VIII | 4.66 | 891 | 215.16 | 26.85 | 1.11 | 2802 | Y | |||||||||
| Woodmont 2017-3 LP 2017-3 | 3.68 | 903 | 62.53 | 18.90 | 1.02 | 4171 | Y | |||||||||
| Battalion CLO XI Ltd. | 5.04 | 942 | 163.14 | 23.03 | 1.24 | 2790 | Y | |||||||||
| BlueMountain Fuji US CLO II Ltd. | 5.04 | 892 | 232.06 | 27.69 | 1.20 | 2951 | Y | |||||||||
| Oaktree EIF III Series II Ltd | 5.03 | 953 | 228.56 | 26.38 | 1.14 | 2741 | Y | |||||||||
| Race Point IX CLO, Limited IX | 5.02 | 838 | 267.84 | 24.99 | 1.23 | 2887 | Y | |||||||||
| RR 2 LTD | 4.64 | 871 | 135.27 | 21.15 | 1.28 | 2936 | Y | |||||||||
| AMMC CLO 21, Limited 21 | 4.53 | 915 | 313.08 | 26.07 | 1.13 | 2823 | Y | |||||||||
| Park Avenue Institutional Advisers CLO Ltd 2017-1 | 4.81 | 754 | 142.60 | 22.28 | 1.08 | 2800 | Y | |||||||||
| KCAP F3C Senior Funding, LLC | 4.49 | 714 | 64.32 | 19.19 | 1.00 | 3906 | Y | |||||||||
| Mariner CLO 2017-4, Ltd. 2017-4 | 4.68 | 844 | 225.37 | 20.55 | 1.15 | 2775 | Y | |||||||||
| NXT Capital CLO 2017-2, LLC 2017-2 | 3.30 | 661 | 65.88 | 13.17 | 1.00 | 3997 | Y | |||||||||
| OHA Credit Partners XIV, Ltd. | 5.06 | 887 | 164.60 | 23.11 | 1.20 | 2896 | Y | |||||||||
| Halcyon Loan Advisors Funding 2017-2 Ltd. 2017-2 | 4.92 | 922 | 188.76 | 26.33 | 1.35 | 2659 | Y | |||||||||
| Fortress Credit BSL IV Limited IV | 4.55 | 822 | 112.25 | 22.73 | 1.10 | 3041 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 26, Ltd. | 4.74 | 770 | 180.77 | 23.91 | 1.30 | 2758 | Y | |||||||||
| VOYA CLO 2017-4, LTD. 2017-4 | 4.81 | 891 | 303.34 | 22.09 | 1.16 | 2874 | Y | |||||||||
| Madison Park Funding XLII Ltd XIII | 4.69 | 916 | 234.66 | 24.44 | 1.29 | 2996 | Y | |||||||||
| Octagon Investment Partners 34, Ltd. | 4.92 | 909 | 201.84 | 22.04 | 1.20 | 2728 | Y | |||||||||
| Fortress Credit Opportunities IX CLO Limited | 3.58 | 987 | 59.17 | 12.75 | 1.04 | 4200 | Y | |||||||||
| Octagon Investment Partners 33, Ltd. | 5.21 | 906 | 171.61 | 23.64 | 1.17 | 2698 | Y | |||||||||
| CFIP CLO 2017-1, Ltd. 2017-1 | 4.56 | 829 | 138.82 | 20.82 | 1.15 | 2787 | Y | |||||||||
| Antares CLO 2017-2, Ltd. | 3.62 | 322 | 141.76 | 21.07 | 1.00 | 3673 | Y | |||||||||
| TIAA Churchill Middle Market CLO II Ltd. II | 4.34 | 710 | 58.72 | 17.73 | 1.00 | 4011 | Y | |||||||||
| OHA Credit Partners XV, Ltd. | 5.00 | 896 | 160.89 | 23.74 | 1.21 | 2906 | Y | |||||||||
| Apidos CLO XXVIII | 4.75 | 895 | 221.53 | 28.91 | 1.23 | 2765 | Y | |||||||||
| OCP CLO 2017-14, Ltd. | 4.85 | 849 | 220.60 | 27.30 | 1.30 | 2778 | Y | |||||||||
| Long Point Park CLO, Ltd. | 4.89 | 922 | 201.00 | 23.22 | 1.19 | 2833 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 32, Ltd. | 4.86 | 735 | 184.84 | 25.24 | 1.23 | 2766 | Y | |||||||||
| Buckhorn Park CLO, Ltd. | 5.05 | 785 | 178.40 | 20.52 | 1.13 | 2844 | Y | |||||||||
| BlueMountain CLO XXIV Ltd. | 5.24 | 812 | 204.80 | 25.87 | 1.15 | 2880 | Y | |||||||||
| Barings CLO Ltd. 2019-I | 4.87 | 800 | 186.11 | 22.85 | 1.16 | 2896 | Y | |||||||||
| ABPCI Direct Lending Fund CLO V Ltd. | 3.87 | 598 | 55.87 | 6.74 | 1.00 | 3969 | Y | |||||||||
| Octagon Investment Partners 40, Ltd. | 5.28 | 916 | 170.19 | 25.78 | 1.19 | 2753 | Y | |||||||||
| Dryden 75 CLO, Ltd. | 4.90 | 924 | 265.41 | 27.90 | 1.14 | 2729 | Y | |||||||||
| Voya CLO 2019-1, Ltd. | 4.86 | 904 | 309.55 | 22.42 | 1.14 | 2828 | Y | |||||||||
| TCW CLO 2019-1 AMR, LTD. | 4.86 | 871 | 202.53 | 24.81 | 1.17 | 2844 | Y | |||||||||
| OHA Credit Funding 2, Ltd. | 5.12 | 854 | 154.05 | 21.86 | 1.20 | 2905 | Y | |||||||||
| Ares LII CLO Ltd. | 4.99 | 760 | 202.81 | 19.99 | 1.25 | 2936 | Y | |||||||||
| Anchorage Capital CLO 13, Ltd. | 5.16 | 723 | 131.00 | 25.44 | 1.22 | 3125 | Y | |||||||||
| OCP CLO 2019-16, Ltd. | 4.99 | 824 | 209.02 | 26.49 | 1.32 | 2702 | Y | |||||||||
| THL Credit Wind River 2019-1 CLO Ltd. | 5.04 | 788 | 178.88 | 20.26 | 1.18 | 2852 | Y | |||||||||
| ALM XIX, Ltd. | 4.66 | 907 | 109.91 | 19.94 | 1.24 | 3017 | Y | |||||||||
| AIG CLO 2019-1, Ltd. | 4.95 | 698 | 182.22 | 23.51 | 1.17 | 2888 | Y | |||||||||
| Barings CLO Ltd. 2019-II | 4.87 | 861 | 181.59 | 24.93 | 1.19 | 2827 | Y | |||||||||
| Atlas Senior Loan Fund XIII, Ltd. | 5.04 | 979 | 171.15 | 27.70 | 1.12 | 2777 | Y | |||||||||
| Ares XXXIX CLO Ltd. | 4.86 | 817 | 215.66 | 20.09 | 1.20 | 2929 | Y | |||||||||
| Oaktree CLO 2019-1 Ltd. | 4.86 | 971 | 206.12 | 28.70 | 1.14 | 2766 | Y | |||||||||
| Madison Park Funding XXXIV, Ltd. | 4.64 | 894 | 196.81 | 22.50 | 1.27 | 3000 | Y | |||||||||
| LCM 30 Ltd. | 4.61 | 786 | 207.36 | 25.36 | 1.13 | 2959 | Y | |||||||||
| THL Credit Wind River 2019-3 CLO Ltd. | 4.93 | 839 | 181.61 | 20.63 | 1.18 | 2909 | Y | |||||||||
| Bain Capital Credit CLO 2019-1 Ltd 2019-1 | 5.08 | 816 | 272.65 | 26.17 | 1.25 | 2877 | Y | |||||||||
| Ares LIII CLO Ltd. | 4.98 | 751 | 197.65 | 17.64 | 1.17 | 2866 | Y | |||||||||
| Maranon Loan Funding 2019-1, Ltd. | 3.62 | 556 | 57.74 | 14.44 | 1.02 | 3841 | Y | |||||||||
| Greywolf CLO IV, Ltd. IV | 5.19 | 883 | 128.01 | 25.95 | 1.23 | 2967 | Y | |||||||||
| Mariner CLO 7, Ltd. | 4.95 | 795 | 178.08 | 20.05 | 1.11 | 2796 | Y | |||||||||
| Golub Capital Partners CLO 42(M), Ltd. | 3.78 | 846 | 68.63 | 10.15 | 1.00 | 4255 | Y | |||||||||
| Apidos CLO XXXI | 4.84 | 845 | 212.91 | 27.58 | 1.22 | 2765 | Y | |||||||||
| Magnetite XXII, Limited | 5.17 | 882 | 200.69 | 25.81 | 1.14 | 2692 | Y | |||||||||
| Barings CLO Ltd. 2019-III | 4.79 | 796 | 158.24 | 23.63 | 1.16 | 2940 | Y | |||||||||
| Oaktree CLO 2019-2 Ltd. | 4.90 | 938 | 211.31 | 27.00 | 1.14 | 2834 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 31, Ltd. | 4.88 | 730 | 180.31 | 24.82 | 1.25 | 2781 | Y | |||||||||
| Antares CLO 2019-1, Ltd. | 3.74 | 384 | 131.48 | 19.47 | 1.00 | 3741 | Y | |||||||||
| Madison Park Funding XXXV, Ltd. | 4.95 | 845 | 225.76 | 21.12 | 1.22 | 2940 | Y | |||||||||
| Ivy Hill Middle Market Credit Fund XV, Ltd. | 4.25 | 614 | 44.53 | 13.23 | 1.00 | 3812 | Y | |||||||||
| Cedar Funding XI CLO, Ltd. | 4.80 | 827 | 178.44 | 27.67 | 1.09 | 2822 | Y | |||||||||
| LCM 29 Ltd. | 4.69 | 802 | 198.64 | 24.87 | 1.10 | 2946 | Y | |||||||||
| MMCF CLO 2019-2, LLC | 4.52 | 418 | 31.19 | 14.80 | 1.00 | 3524 | N | |||||||||
| Dryden 72 CLO, Ltd. | 5.03 | 917 | 247.48 | 25.35 | 1.14 | 2762 | Y | |||||||||
| Ocean Trails CLO VII | 4.77 | 904 | 161.53 | 28.77 | 1.21 | 2909 | Y | |||||||||
| Park Avenue Institutional Advisers CLO Ltd 2019-1 | 4.97 | 745 | 132.41 | 23.30 | 1.07 | 2791 | Y | |||||||||
| Great Lakes CLO 2019-1, Ltd. | 3.90 | 469 | 68.57 | 18.64 | 1.00 | 3845 | Y | |||||||||
| OWL ROCK CLO I, Ltd. | 4.45 | 426 | 43.67 | 19.25 | 1.03 | 3691 | Y | |||||||||
| HPS Loan Management 14-2019, Ltd. | 5.09 | 841 | 157.56 | 25.59 | 1.12 | 2764 | Y | |||||||||
| FS KKR MM CLO 1 LLC | 4.04 | 936 | 45.37 | 19.42 | 1.11 | 3963 | Y | |||||||||
| OHA Credit Funding 3, Ltd. | 5.30 | 848 | 154.44 | 22.25 | 1.18 | 2898 | Y | |||||||||
| Trimaran CAVU 2019-1 Ltd. | 5.17 | 803 | 200.77 | 26.82 | 1.12 | 2616 | Y | |||||||||
| MCF CLO IX Ltd. | 3.46 | 543 | 109.55 | 15.67 | 1.01 | 3854 | Y | |||||||||
| Audax Senior Debt CLO I, LLC | 4.44 | 531 | 110.09 | 15.87 | 1.02 | 3523 | Y | |||||||||
| Cedar Funding IX CLO, Ltd. IX | 4.68 | 857 | 206.57 | 27.88 | 1.10 | 2802 | Y | |||||||||
| Woodmont 2018-4 Trust | 3.40 | 688 | 70.82 | 17.78 | 1.00 | 3957 | Y | |||||||||
| Barings CLO Ltd. 2018-II | 4.95 | 886 | 189.63 | 25.77 | 1.18 | 2742 | Y | |||||||||
| Ivy Hill Middle Market Credit Fund XIV, Ltd. | 4.12 | 572 | 90.52 | 14.03 | 1.02 | 3800 | Y | |||||||||
| Greywolf CLO VI, Ltd. | 5.24 | 850 | 134.54 | 28.33 | 1.23 | 2942 | Y | |||||||||
| Fortress Credit Opportunities XI CLO Limited | 3.78 | 1003 | 55.17 | 13.01 | 1.04 | 4172 | Y | |||||||||
| Ares XXXIIR CLO Ltd. | 4.85 | 781 | 214.78 | 21.12 | 1.21 | 2889 | Y | |||||||||
| Antares CLO 2018-1, Ltd. | 3.74 | 376 | 131.28 | 22.00 | 1.00 | 3709 | Y | |||||||||
| Chenango Park CLO, Ltd. | 4.81 | 882 | 207.22 | 21.09 | 1.17 | 2792 | Y | |||||||||
| Romark WM-R Ltd. | 4.79 | 850 | 223.44 | 24.49 | 1.13 | 2809 | Y | |||||||||
| Madison Park Funding XIII, Ltd. | 4.64 | 937 | 214.75 | 24.59 | 1.28 | 2985 | Y | |||||||||
| NewStar Fairfield Fund CLO Ltd. | 4.03 | 794 | 91.18 | 23.19 | 1.03 | 3946 | Y | |||||||||
| Voya CLO 2014-1, Ltd. | 4.81 | 902 | 313.08 | 22.66 | 1.15 | 2806 | Y | |||||||||
| RR 4 LTD | 4.57 | 939 | 147.78 | 21.40 | 1.25 | 3017 | Y | |||||||||
| Bain Capital Credit CLO 2018-1 Ltd | 5.00 | 817 | 260.58 | 24.83 | 1.22 | 2894 | Y | |||||||||
| TCW CLO 2018-1, Ltd. | 5.08 | 873 | 217.31 | 22.79 | 1.20 | 2792 | Y | |||||||||
| Northwoods Capital XI-B, Limited | 4.64 | 978 | 143.91 | 26.07 | 1.12 | 2893 | Y | |||||||||
| Benefit Street Partners CLO V-B, Ltd. V-B | 4.60 | 903 | 278.57 | 28.41 | 1.16 | 2844 | Y | |||||||||
| GoldenTree Loan Management US CLO 3, Ltd. | 4.86 | 810 | 128.73 | 24.03 | 1.29 | 2774 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 28, Ltd. 28 | 4.77 | 782 | 172.76 | 24.85 | 1.29 | 2840 | Y | |||||||||
| NewStar Arlington Senior Loan Program LLC | 3.88 | 734 | 97.16 | 23.67 | 1.01 | 3893 | Y | |||||||||
| MARANON LOAN FUNDING 2018-1, LTD. 2018-1 | 3.60 | 589 | 57.53 | 14.71 | 1.03 | 3883 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2014-2-R, Ltd. | 4.66 | 981 | 226.78 | 31.34 | 1.18 | 2811 | Y | |||||||||
| Apidos CLO XXIX | 4.79 | 868 | 224.69 | 28.89 | 1.24 | 2760 | Y | |||||||||
| Ares XXXIR CLO Ltd. | 4.87 | 785 | 218.59 | 20.60 | 1.20 | 2859 | Y | |||||||||
| Ares XLVIII CLO Ltd. | 4.95 | 763 | 206.68 | 20.00 | 1.22 | 2894 | Y | |||||||||
| Dryden 55 CLO, Ltd. | 4.83 | 966 | 285.36 | 26.52 | 1.14 | 2727 | Y | |||||||||
| MCF CLO VIII Ltd. | 3.49 | 518 | 103.97 | 14.51 | 1.02 | 3852 | Y | |||||||||
| Dorchester Park CLO DAC | 4.37 | 863 | 208.55 | 22.95 | 1.20 | 2904 | N | |||||||||
| Voya CLO 2018-2, Ltd. | 4.87 | 923 | 307.38 | 20.71 | 1.15 | 2809 | Y | |||||||||
| HPS Loan Management 12-2018, Ltd. | 4.81 | 908 | 178.48 | 25.41 | 1.11 | 2746 | Y | |||||||||
| ORCC Financing II LLC | 3.61 | 418 | 25.46 | 17.55 | 1.02 | 3627 | Y | |||||||||
| Octagon Investment Partners 37, Ltd. | 5.27 | 945 | 180.62 | 24.35 | 1.21 | 2722 | Y | |||||||||
| Madison Park Funding XXVIII, Ltd. | 4.87 | 906 | 227.55 | 23.54 | 1.26 | 2976 | Y | |||||||||
| Barings CLO Ltd. 2018-III | 4.74 | 909 | 190.80 | 25.42 | 1.17 | 2819 | Y | |||||||||
| OCP CLO 2018-15, Ltd. | 4.91 | 851 | 219.96 | 27.80 | 1.30 | 2751 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2014-3-R, Ltd. | 4.72 | 960 | 253.87 | 30.71 | 1.19 | 2866 | Y | |||||||||
| Apollo Credit Funding IV Ltd | 4.69 | 949 | 86.09 | 16.71 | 1.34 | 2842 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2014-4-R, Ltd. | 4.65 | 967 | 237.40 | 29.92 | 1.21 | 2881 | Y | |||||||||
| Golub Capital Partners CLO 30(M), Ltd. | 4.04 | 914 | 59.52 | 8.47 | 1.00 | 4320 | N | |||||||||
| THL Credit Wind River 2018-1 CLO Ltd. | 4.83 | 890 | 184.34 | 22.09 | 1.22 | 2918 | Y | |||||||||
| OFSI BSL IX, Ltd. | 4.78 | 775 | 181.57 | 23.87 | 1.13 | 2834 | Y | |||||||||
| Mariner CLO 6, Ltd. | 4.79 | 802 | 210.66 | 21.07 | 1.16 | 2787 | Y | |||||||||
| Crown Point CLO 5 Ltd. | 4.43 | 933 | 169.91 | 30.92 | 1.12 | 2850 | Y | |||||||||
| Fillmore Park CLO, Ltd. | 4.97 | 851 | 204.59 | 23.40 | 1.17 | 2805 | Y | |||||||||
| BlueMountain CLO XXII Ltd. | 5.12 | 875 | 198.18 | 27.89 | 1.24 | 2926 | Y | |||||||||
| Ares XLIX CLO Ltd. | 4.94 | 770 | 209.07 | 19.80 | 1.18 | 2875 | Y | |||||||||
| CFIP CLO 2018-1, Ltd. | 4.61 | 900 | 137.54 | 20.41 | 1.14 | 2583 | Y | |||||||||
| Golub Capital Partners CLO 38(M), Ltd. | 3.72 | 905 | 53.81 | 8.23 | 1.00 | 4324 | Y | |||||||||
| Race Point X CLO, Limited | 5.04 | 861 | 252.37 | 24.06 | 1.23 | 2931 | Y | |||||||||
| Bain Capital Credit CLO 2018-2, Limited | 5.04 | 810 | 259.42 | 25.11 | 1.23 | 2857 | Y | |||||||||
| Octagon Investment Partners 38, Ltd. | 5.17 | 945 | 207.70 | 24.38 | 1.19 | 2745 | Y | |||||||||
| BlueMountain CLO 2018-1 Ltd. | 5.02 | 927 | 217.26 | 25.99 | 1.18 | 3062 | Y | |||||||||
| LCM 27 Ltd. | 4.52 | 825 | 228.49 | 26.14 | 1.11 | 2879 | Y | |||||||||
| Woodmont 2018-5 Trust | 3.64 | 793 | 62.25 | 17.48 | 1.00 | 4158 | Y | |||||||||
| Galaxy XXVIII CLO, Ltd. | 4.80 | 868 | 191.95 | 25.31 | 1.29 | 2873 | Y | |||||||||
| Palmer Square CLO 2018-2, Ltd. | 4.92 | 873 | 240.37 | 20.68 | 1.13 | 2612 | Y | |||||||||
| Voya CLO 2014-4, Ltd. 2014-4 | 4.81 | 868 | 292.68 | 21.51 | 1.15 | 2837 | Y | |||||||||
| Fortress Credit BSL VI Limited | 4.45 | 848 | 112.00 | 20.75 | 1.10 | 3199 | Y | |||||||||
| Madison Park Funding XLIII Ltd | 4.78 | 926 | 223.77 | 22.42 | 1.28 | 2974 | Y | |||||||||
| MidOcean Credit CLO IX | 5.23 | 828 | 150.10 | 23.56 | 1.09 | 2866 | Y | |||||||||
| Venture 33 CLO, Limited | 5.08 | 969 | 347.64 | 29.52 | 1.17 | 2717 | Y | |||||||||
| Ares XXVIIIR CLO Ltd | 4.79 | 804 | 210.52 | 19.91 | 1.20 | 2874 | Y | |||||||||
| Apidos CLO XXX | 4.74 | 857 | 216.01 | 28.74 | 1.22 | 2720 | Y | |||||||||
| Golub Capital Partners CLO 37(B), Ltd. | 4.75 | 887 | 169.30 | 16.78 | 1.07 | 3078 | Y | |||||||||
| Myers Park CLO, Ltd. | 4.92 | 872 | 201.23 | 21.80 | 1.13 | 2834 | Y | |||||||||
| VCO CLO 2018-1, LLC | 4.69 | 367 | 46.78 | 1.83 | 1.16 | 3701 | N | |||||||||
| THL Credit Wind River 2018-2 CLO Ltd. | 4.86 | 880 | 206.21 | 21.37 | 1.21 | 2947 | Y | |||||||||
| Carlyle US CLO 2018-2 Ltd | 4.79 | 905 | 231.89 | 30.14 | 1.17 | 2870 | Y | |||||||||
| GoldenTree Loan Opportunities X, Limited | 4.73 | 828 | 141.02 | 25.29 | 1.25 | 2714 | Y | |||||||||
| BlueMountain CLO 2018-2 Ltd. | 5.01 | 877 | 226.21 | 26.14 | 1.18 | 2951 | Y | |||||||||
| Carlyle Direct Lending CLO 2015-1R LLC | 3.83 | 615 | 43.83 | 11.25 | 1.05 | 3931 | Y | |||||||||
| Antares CLO 2018-2, Ltd. | 3.85 | 316 | 138.43 | 21.97 | 1.00 | 3712 | Y | |||||||||
| Diamond CLO 2018-1 Ltd. | 3.46 | 724 | 55.48 | 24.47 | 1.05 | 3854 | N | |||||||||
| OHA Credit Funding 1, Ltd. | 5.10 | 875 | 151.32 | 22.66 | 1.20 | 2895 | Y | |||||||||
| Dryden 65 CLO, Ltd. | 4.89 | 938 | 301.02 | 26.36 | 1.15 | 2710 | Y | |||||||||
| HPS Loan Management 13-2018, Ltd. | 4.95 | 886 | 166.02 | 25.34 | 1.11 | 2789 | Y | |||||||||
| Greywolf CLO VII, Ltd. | 5.22 | 848 | 133.63 | 27.40 | 1.26 | 2922 | Y | |||||||||
| Marathon CLO XII Ltd. | 4.84 | 923 | 173.61 | 22.86 | 1.23 | 3035 | Y | |||||||||
| Anchorage Capital CLO 2018-10, Ltd. | 5.08 | 718 | 136.38 | 26.43 | 1.22 | 3200 | Y | |||||||||
| WhiteHorse XII Ltd. | 4.74 | 944 | 155.89 | 26.06 | 1.15 | 2766 | Y | |||||||||
| Neuberger Berman Loan Advisers CLO 29, Ltd. | 4.79 | 786 | 167.49 | 23.80 | 1.28 | 2861 | Y | |||||||||
| Buttermilk Park CLO, Ltd. | 4.72 | 866 | 213.62 | 22.06 | 1.20 | 2869 | Y | |||||||||
| RR 5 LTD | 4.74 | 857 | 131.92 | 20.77 | 1.28 | 2991 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2014-5, Ltd. | 4.54 | 968 | 234.09 | 28.23 | 1.21 | 2869 | Y | |||||||||
| Cathedral Lake V, Ltd. | 4.79 | 731 | 105.42 | 18.50 | 1.24 | 2870 | Y | |||||||||
| BCC Middle Market CLO 2018-1, LLC | 4.60 | 469 | 45.05 | 15.51 | 1.07 | 3803 | Y | |||||||||
| Apidos CLO XVIII-R | 4.67 | 913 | 203.90 | 29.25 | 1.20 | 2747 | Y | |||||||||
| Catamaran CLO 2018-1 Ltd. | 5.08 | 941 | 167.99 | 25.77 | 1.17 | 2752 | Y | |||||||||
| Voya CLO 2018-3, Ltd. | 4.90 | 912 | 308.56 | 20.74 | 1.15 | 2820 | Y | |||||||||
| Madison Park Funding XXIX, Ltd. | 4.88 | 888 | 234.14 | 22.34 | 1.28 | 3025 | Y | |||||||||
| CIFC Funding 2014-V, Ltd. | 4.80 | 869 | 230.01 | 23.06 | 1.19 | 2850 | Y | |||||||||
| BlueMountain CLO 2018-3 Ltd. | 4.91 | 884 | 236.36 | 26.80 | 1.17 | 3068 | Y | |||||||||
| GoldenTree Loan Opportunities IX, Limited | 4.70 | 809 | 131.01 | 24.67 | 1.24 | 2786 | Y | |||||||||
| LCM 28 Ltd. | 4.45 | 808 | 215.94 | 24.58 | 1.11 | 2886 | Y | |||||||||
| Park Avenue Institutional Advisers CLO Ltd 2018-1 | 4.84 | 765 | 133.60 | 21.91 | 1.07 | 2796 | Y | |||||||||
| Golub Capital Partners CLO 39(B), Ltd. | 4.83 | 898 | 165.81 | 16.97 | 1.07 | 3069 | Y | |||||||||
| Oaktree CLO 2018-1 Ltd. | 5.01 | 943 | 208.84 | 25.84 | 1.14 | 2837 | Y | |||||||||
| TIAA Churchill Middle Market CLO I Ltd. | 4.05 | 723 | 59.70 | 17.67 | 1.00 | 3934 | Y | |||||||||
| Greywolf CLO III, Ltd. (Re-issue) III | 5.27 | 823 | 131.86 | 28.00 | 1.25 | 2945 | Y | |||||||||
| THL Credit Wind River 2018-3 CLO Ltd. | 4.91 | 771 | 184.36 | 22.69 | 1.18 | 2856 | Y | |||||||||
| Tralee CLO V, Ltd. | 4.44 | 919 | 174.93 | 23.85 | 1.10 | 2847 | Y | |||||||||
| Columbia Cent CLO 27 Limited | 4.70 | 943 | 223.71 | 23.51 | 1.17 | 2607 | Y | |||||||||
| BlueMountain CLO XXIII Ltd. | 5.26 | 887 | 209.60 | 26.79 | 1.17 | 2934 | Y | |||||||||
| Ocean Trails CLO V | 4.37 | 949 | 189.25 | 28.04 | 1.21 | 2846 | Y | |||||||||
| Golub Capital Partners CLO 21(M)-R, Ltd. | 3.49 | 954 | 79.83 | 9.28 | 1.00 | 4357 | Y | |||||||||
| Figueroa CLO 2014-1, Ltd. | 3.75 | 870 | 89.81 | 18.05 | 1.21 | 3205 | N | |||||||||
| Neuberger Berman CLO XVIII Ltd. | 4.71 | 787 | 172.77 | 24.42 | 1.29 | 2766 | Y | |||||||||
| KKR CLO 10 Ltd. | 4.73 | 1008 | 175.66 | 27.60 | 1.16 | 2836 | Y | |||||||||
| Bowman Park CLO Ltd. | 3.41 | 920 | 100.39 | 16.29 | 1.15 | 3183 | N | |||||||||
| HPS Loan Management 5-2015, Ltd. | 4.65 | 887 | 152.07 | 25.95 | 1.17 | 2812 | Y | |||||||||
| Madison Park Funding XV, Ltd. | 3.62 | 932 | 112.84 | 22.19 | 1.31 | 3152 | N | |||||||||
| Elm CLO 2014-1 Ltd. | 4.58 | 880 | 209.33 | 21.76 | 1.16 | 2722 | Y | |||||||||
| THL Credit Wind River 2014-3 CLO Ltd. | 4.66 | 876 | 139.64 | 21.15 | 1.22 | 3028 | Y | |||||||||
| Galaxy XIX CLO Ltd | 4.86 | 866 | 194.68 | 24.61 | 1.28 | 2851 | Y | |||||||||
| NewStar Exeter Fund CLO LLC | 3.38 | 641 | 51.61 | 20.76 | 1.00 | 3875 | N | |||||||||
| MidOcean Credit CLO IV | 2.98 | 1077 | 57.19 | 19.92 | 1.09 | 2954 | N | |||||||||
| BlueMountain CLO 2015-1 Ltd. | 3.64 | 949 | 106.83 | 19.09 | 1.22 | 2966 | N | |||||||||
| LCM XVIII Limited Partnership | 4.49 | 891 | 247.49 | 25.77 | 1.13 | 2737 | Y | |||||||||
| Madison Park Funding XVI, Ltd. | 3.69 | 912 | 121.13 | 22.63 | 1.35 | 2981 | N | |||||||||
| Benefit Street Partners CLO VI Ltd. | 4.67 | 897 | 288.79 | 26.22 | 1.16 | 2889 | Y | |||||||||
| ACIS CLO 2015-6 Ltd. | 3.37 | 1017 | 70.69 | 18.18 | 1.09 | 3060 | N | |||||||||
| Mariner CLO 2015-1 LLC | 4.59 | 844 | 213.09 | 21.56 | 1.15 | 2778 | Y | |||||||||
| Venture XX CLO, Limited | 4.25 | 977 | 344.17 | 27.40 | 1.16 | 2895 | N | |||||||||
| Fortress Credit Opportunities VI CLO Limited | 3.72 | 996 | 49.60 | 12.28 | 1.03 | 3955 | Y | |||||||||
| GREYWOLF CLO V LTD | 5.22 | 887 | 133.84 | 27.86 | 1.23 | 2974 | Y | |||||||||
| JFIN CLO 2015 Ltd. 2015 | 3.82 | 1067 | 140.80 | 20.07 | 1.09 | 3014 | N | |||||||||
| Elevation CLO 2015-4, Ltd. 2015-4 | 3.52 | 983 | 107.95 | 14.81 | 1.06 | 3059 | N | |||||||||
| Golub Capital Partners CLO 24 (M)-R Ltd. 24(M) | 3.39 | 959 | 74.37 | 10.40 | 1.00 | 4383 | Y | |||||||||
| Catamaran CLO 2015-1 Ltd | 3.73 | 1072 | 120.96 | 22.68 | 1.26 | 3015 | N | |||||||||
| OCP CLO 2015-8, Ltd. | 3.46 | 915 | 107.12 | 26.80 | 1.29 | 2982 | N | |||||||||
| Trinitas CLO II, Ltd. | 3.37 | 1172 | 53.50 | 14.02 | 1.20 | 2820 | N | |||||||||
| MidOcean Credit CLO III | 4.83 | 860 | 133.05 | 23.63 | 1.19 | 2985 | Y | |||||||||
| HPS Loan Management 4-2014, Ltd. | 4.72 | 928 | 166.64 | 27.50 | 1.14 | 2785 | Y | |||||||||
| Blue Ridge CLO Ltd. II | 3.27 | 1063 | 65.11 | 15.64 | 1.11 | 2797 | N | |||||||||
| OFSI Fund VII, Ltd. | 3.21 | 926 | 68.59 | 16.55 | 1.12 | 3122 | N | |||||||||
| Monroe Capital CLO 2014-1, Ltd. | 3.25 | 801 | 54.79 | 23.02 | 1.03 | 3937 | N | |||||||||
| Black Diamond CLO 2014-1, Ltd. 2014-1 | 2.96 | 1089 | 60.01 | 20.60 | 1.30 | 3225 | N | |||||||||
| Catamaran CLO 2014-2 Ltd. | 3.37 | 1036 | 89.91 | 21.22 | 1.35 | 3025 | N | |||||||||
| LCM XVII Limited Partnership | 4.49 | 856 | 229.53 | 25.10 | 1.12 | 2827 | Y | |||||||||
| Mountain View CLO 2014-1 Ltd. | 3.23 | 1035 | 70.48 | 19.06 | 1.39 | 2565 | N | |||||||||
| Halcyon Loan Advisors Funding 2014-3 Ltd. | 3.15 | 1194 | 67.80 | 18.72 | 1.15 | 3236 | N | |||||||||
| ACIS CLO 2014-5 Ltd. | 3.12 | 1034 | 61.52 | 16.93 | 1.09 | 3146 | N | |||||||||
| Ivy Hill Middle Market Credit Fund IX, Ltd. | 4.07 | 652 | 107.39 | 19.89 | 1.02 | 3682 | Y | |||||||||
| BNPP IP CLO 2014-II, Ltd. | 2.85 | 1160 | 65.71 | 21.50 | 1.08 | 3606 | N | |||||||||
| Flagship CLO VIII Ltd | 3.56 | 1058 | 95.21 | 25.31 | 1.21 | 2947 | N | |||||||||
| OCP CLO 2014-7, Ltd. | 4.75 | 905 | 208.90 | 27.65 | 1.29 | 2848 | Y | |||||||||
| MCF CLO IV LLC | 3.47 | 621 | 106.56 | 17.62 | 1.00 | 3913 | Y | |||||||||
| Hull Street CLO Ltd | 3.00 | 1086 | 63.89 | 18.40 | 1.17 | 3208 | N | |||||||||
| Marathon CLO VII Ltd. | 3.26 | 1102 | 66.45 | 18.94 | 1.25 | 3409 | N | |||||||||
| Telos CLO 2014-6, Ltd. | 3.80 | 986 | 72.40 | 18.43 | 1.14 | 3234 | N | |||||||||
| Dryden 36 Senior Loan Fund | 4.85 | 961 | 287.97 | 26.79 | 1.14 | 2722 | Y | |||||||||
| Octagon Investment Partners XXII, Ltd. | 4.99 | 961 | 201.90 | 24.08 | 1.20 | 2716 | Y | |||||||||
| Palmer Square CLO 2015-1 Ltd | 4.82 | 879 | 232.86 | 20.54 | 1.12 | 2677 | Y | |||||||||
| Stewart Park CLO Ltd. , | 4.80 | 881 | 238.00 | 22.81 | 1.20 | 2766 | Y | |||||||||
| NXT Capital CLO 2015-1 LLC | 2.96 | 659 | 55.31 | 15.08 | 1.00 | 3948 | N | |||||||||
| Allegro CLO III, Ltd. | 3.69 | 818 | 120.17 | 22.37 | 1.26 | 3320 | N | |||||||||
| BlueMountain CLO 2015-2 Ltd. | 4.96 | 912 | 232.18 | 25.95 | 1.20 | 2973 | Y | |||||||||
| Venture XXI CLO, Limited | 4.35 | 1005 | 368.18 | 27.92 | 1.18 | 2789 | N | |||||||||
| Z Capital Credit Partners CLO 2015-1 Ltd. | 3.64 | 1077 | 80.37 | 23.55 | 1.17 | 3182 | N | |||||||||
| OCP CLO 2015-9 Ltd | 3.52 | 914 | 102.68 | 28.00 | 1.30 | 2841 | N | |||||||||
| Cathedral Lake II, Ltd. | 4.75 | 755 | 113.58 | 21.27 | 1.19 | 2846 | Y | |||||||||
| LCM XIX Limited Partnership | 4.49 | 890 | 249.34 | 26.03 | 1.13 | 2732 | Y | |||||||||
| Benefit Street Partners CLO VII, Ltd. | 3.65 | 893 | 180.82 | 25.08 | 1.14 | 2922 | N | |||||||||
| Ivy Hill Middle Market Credit Fund X Ltd | 4.05 | 690 | 113.42 | 19.48 | 1.02 | 3750 | Y | |||||||||
| Cumberland Park CLO, Ltd. | 4.53 | 849 | 219.42 | 20.99 | 1.18 | 2891 | N | |||||||||
| ARES XXXIV CLO Ltd. | 4.79 | 781 | 207.21 | 20.39 | 1.20 | 2857 | Y | |||||||||
| Golub Capital Partners CLO 25(M)-R, Ltd. | 3.49 | 943 | 72.18 | 8.19 | 1.00 | 4293 | Y | |||||||||
| Mountain View CLO X, Ltd. | 3.68 | 1013 | 98.70 | 24.73 | 1.30 | 2471 | N | |||||||||
| Cent CLO 24 Limited | 4.26 | 914 | 211.65 | 23.61 | 1.19 | 2588 | N | |||||||||
| Oaktree CLO 2015-1 Ltd | 4.30 | 982 | 166.13 | 26.82 | 1.10 | 2736 | N | |||||||||
| Madison Park Funding XVIII, Ltd. | 4.73 | 890 | 233.76 | 23.71 | 1.27 | 2959 | Y | |||||||||
| Anchorage Capital CLO 7, Ltd | 4.62 | 761 | 109.28 | 23.63 | 1.20 | 3195 | N | |||||||||
| Shackleton 2015-VIII CLO, Ltd. | 4.50 | 865 | 172.90 | 25.90 | 1.23 | 2890 | N | |||||||||
| BlueMountain CLO 2015-3 Ltd | 5.00 | 910 | 226.00 | 26.01 | 1.18 | 2946 | Y | |||||||||
| Apex Credit CLO 2015-II Ltd. 2015-ll | 4.29 | 1079 | 191.99 | 24.97 | 1.19 | 3169 | N | |||||||||
| Octagon Investment Partners 25 LTD | 3.63 | 910 | 124.26 | 22.27 | 1.14 | 2849 | N | |||||||||
| OCP CLO 2015-10, Ltd. 2015-10 | 3.67 | 1004 | 118.91 | 27.11 | 1.26 | 2749 | N | |||||||||
| Fortress Credit BSL III Limited | 4.59 | 829 | 115.40 | 22.20 | 1.11 | 3144 | Y | |||||||||
| Madison Park Funding XLI Ltd | 4.42 | 902 | 209.61 | 23.96 | 1.32 | 2941 | N | |||||||||
| Eaton Vance CLO 2015-1, Ltd. | 4.70 | 925 | 217.22 | 25.31 | 1.18 | 2727 | Y | |||||||||
| LCM XX Limited Partnership | 4.48 | 865 | 233.91 | 25.39 | 1.12 | 2808 | Y | |||||||||
| HPS Loan Management 7-2015, Ltd. | 4.62 | 904 | 165.75 | 25.38 | 1.09 | 2797 | N | |||||||||
| Cathedral Lake III, Ltd. | 4.74 | 768 | 114.58 | 19.45 | 1.19 | 2878 | Y | |||||||||
| Benefit Street Partners CLO VIII Ltd | 4.70 | 887 | 288.40 | 27.27 | 1.17 | 2854 | Y | |||||||||
| Ares XXXVIII CLO Ltd. | 4.86 | 809 | 220.28 | 20.20 | 1.20 | 2909 | Y | |||||||||
| OHA Credit Partners XII, Ltd. | 4.96 | 881 | 162.20 | 24.82 | 1.19 | 2919 | Y | |||||||||
| BlueMountain CLO 2015-4 Ltd. | 4.96 | 934 | 231.00 | 26.47 | 1.20 | 2964 | Y | |||||||||
| Webster Park CLO, Ltd. | 4.73 | 876 | 226.03 | 21.76 | 1.18 | 2869 | Y | |||||||||
| Barings CLO Ltd. 2016-I | 4.78 | 942 | 168.83 | 25.26 | 1.18 | 2835 | Y | |||||||||
| Voya CLO 2016-1Ltd | 4.83 | 948 | 310.46 | 23.06 | 1.16 | 2778 | Y | |||||||||
| Neuberger Berman CLO XXI, Ltd | 4.68 | 804 | 172.43 | 24.08 | 1.30 | 2775 | N | |||||||||
| Madison Park Funding XX Ltd | 4.74 | 879 | 218.61 | 22.71 | 1.26 | 2933 | Y | |||||||||
| HPS Loan Management 8-2016, Ltd. | 4.77 | 896 | 173.46 | 24.94 | 1.14 | 2780 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2016-1, Ltd. | 4.68 | 977 | 211.66 | 30.52 | 1.19 | 2930 | Y | |||||||||
| Octagon Investment Partners 26, Ltd. | 5.04 | 948 | 204.91 | 23.72 | 1.21 | 2748 | Y | |||||||||
| LCM XXI Limited Partnership | 4.26 | 826 | 194.12 | 24.91 | 1.13 | 2883 | Y | |||||||||
| BlueMountain CLO 2016-1 Ltd | 4.77 | 955 | 218.78 | 25.83 | 1.23 | 2993 | Y | |||||||||
| OCP CLO 2016-11, Ltd. | 4.85 | 899 | 213.10 | 26.96 | 1.26 | 2830 | Y | |||||||||
| Dryden 42 Senior Loan Fund 42 | 4.79 | 967 | 285.21 | 26.29 | 1.14 | 2731 | Y | |||||||||
| Golub Capital Partners CLO 31(M)-R, Ltd. | 3.72 | 921 | 79.85 | 9.45 | 1.00 | 4319 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2016-2, Ltd. | 4.66 | 943 | 217.61 | 31.22 | 1.19 | 2893 | Y | |||||||||
| HPS Loan Management 9-2016, Ltd. | 4.81 | 966 | 179.56 | 27.14 | 1.15 | 2696 | Y | |||||||||
| Black Diamond CLO 2016-1, Ltd | 4.78 | 884 | 162.80 | 22.58 | 1.15 | 2952 | Y | |||||||||
| Trinitas CLO IV, Ltd. | 4.83 | 814 | 173.46 | 18.54 | 1.07 | 2825 | Y | |||||||||
| Cedar Funding V CLO Ltd | 4.61 | 868 | 205.67 | 27.59 | 1.11 | 2800 | Y | |||||||||
| Newfleet CLO 2016-1 Ltd. | 4.49 | 924 | 144.63 | 27.14 | 1.16 | 2716 | N | |||||||||
| Octagon Investment Partners 27, Ltd. | 5.04 | 958 | 195.34 | 24.34 | 1.23 | 2741 | Y | |||||||||
| TIAA CLO I Ltd. | 4.79 | 971 | 155.70 | 28.95 | 1.13 | 2698 | Y | |||||||||
| ALM XVIII, Ltd. | 4.72 | 918 | 101.59 | 19.04 | 1.28 | 2982 | Y | |||||||||
| Galaxy XXII CLO, LTD | 4.95 | 917 | 215.60 | 27.62 | 1.22 | 2759 | Y | |||||||||
| Benefit Street Partners CLO IX, Ltd. | 4.70 | 878 | 276.83 | 27.83 | 1.19 | 2869 | Y | |||||||||
| GoldenTree Loan Opportunities XII, Limited | 4.82 | 837 | 132.38 | 24.49 | 1.23 | 2672 | Y | |||||||||
| Apidos CLO XXIV | 4.71 | 904 | 211.90 | 28.10 | 1.23 | 2759 | Y | |||||||||
| Park Avenue Institutional Advisers CLO Ltd. 2016-1 | 4.74 | 743 | 134.69 | 22.66 | 1.07 | 2825 | Y | |||||||||
| BlueMountain CLO 2016-2 Ltd | 4.97 | 942 | 233.65 | 25.03 | 1.16 | 3031 | Y | |||||||||
| Mariner CLO 2016-3 Ltd | 4.61 | 830 | 220.21 | 21.50 | 1.15 | 2762 | Y | |||||||||
| Trinitas CLO V, Ltd. | 4.71 | 808 | 180.97 | 18.80 | 1.07 | 2795 | Y | |||||||||
| Neuberger Berman CLO XXll Ltd XXII | 4.69 | 776 | 173.37 | 24.18 | 1.30 | 2780 | Y | |||||||||
| Jay Park CLO, Ltd. | 4.69 | 867 | 216.75 | 21.48 | 1.20 | 2809 | Y | |||||||||
| Octagon Investment Partners 28 Ltd | 4.94 | 943 | 211.58 | 22.71 | 1.20 | 2675 | Y | |||||||||
| LCM XXII Ltd. | 4.49 | 829 | 214.76 | 24.62 | 1.12 | 2845 | Y | |||||||||
| OCP CLO 2016-12, Ltd. | 4.74 | 850 | 211.83 | 27.33 | 1.28 | 2812 | Y | |||||||||
| Voya CLO 2016-3, Ltd. | 4.83 | 939 | 322.63 | 22.42 | 1.17 | 2795 | Y | |||||||||
| Cathedral Lake IV, Ltd. | 4.72 | 788 | 114.07 | 20.74 | 1.19 | 2838 | Y | |||||||||
| BlueMountain CLO 2016-3 Ltd. | 4.97 | 931 | 221.78 | 26.34 | 1.18 | 2954 | Y | |||||||||
| AMMC CLO 19, Limited | 4.35 | 942 | 319.18 | 29.11 | 1.13 | 2838 | Y | |||||||||
| Shackleton 2016-IX CLO, Ltd. | 4.77 | 847 | 185.33 | 25.93 | 1.20 | 2892 | Y | |||||||||
| Cedar Funding VI CLO, Ltd. | 4.58 | 872 | 214.38 | 27.47 | 1.11 | 2809 | Y | |||||||||
| Neuberger Berman CLO XXIII, Ltd. | 4.74 | 800 | 173.15 | 23.83 | 1.29 | 2757 | Y | |||||||||
| Carlyle US CLO 2016-4, Ltd. | 4.73 | 995 | 227.38 | 30.14 | 1.20 | 2942 | Y | |||||||||
| OHA Loan Funding 2016-1, Ltd. | 5.06 | 896 | 155.01 | 24.36 | 1.20 | 2914 | Y | |||||||||
| Atlas Senior Loan Fund VII Ltd. | 5.01 | 1060 | 176.47 | 27.41 | 1.14 | 2795 | Y | |||||||||
| Symphony CLO XVIII, Ltd. XVIII | 4.82 | 869 | 169.00 | 20.33 | 1.12 | 2879 | Y | |||||||||
| Benefit Street Partners CLO X, Ltd. X | 4.68 | 898 | 282.77 | 28.11 | 1.16 | 2859 | Y | |||||||||
| Madison Park Funding XXIV, Ltd. | 4.73 | 899 | 224.31 | 25.10 | 1.26 | 2904 | Y | |||||||||
| HPS Loan Management 10-2016, Ltd. | 4.70 | 959 | 123.92 | 27.44 | 1.16 | 2626 | Y | |||||||||
| Bain Capital Credit CLO 2016-2, Limited 2016-2 | 5.06 | 865 | 258.80 | 25.67 | 1.24 | 2843 | Y | |||||||||
| TCP Waterman CLO, LLC | 3.76 | 812 | 57.18 | 9.46 | 1.13 | 4221 | Y | |||||||||
| Octagon Investment Partners 29, Ltd. | 4.98 | 887 | 166.10 | 20.85 | 1.19 | 2820 | Y | |||||||||
| Oaktree EIF III Series I, Ltd. | 4.67 | 994 | 226.20 | 27.12 | 1.14 | 2762 | N | |||||||||
| LCM XXIII Ltd. | 4.41 | 800 | 198.21 | 23.44 | 1.11 | 2882 | Y | |||||||||
| Fortress Credit Opportunities VII CLO Limited | 3.84 | 1019 | 54.17 | 12.02 | 1.05 | 4150 | Y | |||||||||
| ABPCI Direct Lending Fund CLO I Ltd. | 3.51 | 569 | 57.71 | 7.59 | 1.00 | 3941 | Y | |||||||||
| CIFC Funding 2017-I, Ltd. | 4.86 | 900 | 228.67 | 24.11 | 1.18 | 2831 | Y | |||||||||
| Woodmont 2017-2 Trust | 3.66 | 821 | 86.68 | 17.08 | 1.00 | 4133 | Y | |||||||||
| BlueMountain Fuji US CLO I, Ltd. | 5.04 | 917 | 214.24 | 27.29 | 1.21 | 2959 | Y | |||||||||
| TICP CLO VII, LTD. VII | 4.88 | 894 | 231.47 | 19.82 | 1.20 | 2822 | Y | |||||||||
| ABPCI Direct Lending Fund CLO II Ltd. | 3.32 | 630 | 55.62 | 9.42 | 1.00 | 3990 | Y | |||||||||
| MCF CLO VI LLC | 3.46 | 711 | 95.40 | 16.92 | 1.04 | 3980 | Y | |||||||||
| Voya CLO 2017-3 Ltd. 2017-3 | 4.78 | 927 | 311.33 | 21.71 | 1.19 | 2780 | Y | |||||||||
| OCP CLO 2017-13 Ltd. | 4.77 | 850 | 222.43 | 27.94 | 1.28 | 2818 | Y | |||||||||
| Bain Capital Credit CLO 2017-1, Limited 2017-1 | 5.00 | 833 | 261.64 | 24.52 | 1.25 | 2889 | Y | |||||||||
| Carlyle US CLO 2017-3 Ltd | 4.77 | 939 | 235.29 | 29.33 | 1.18 | 2874 | Y | |||||||||
| Barings CLO Ltd. 2017-I | 4.74 | 896 | 195.43 | 25.93 | 1.19 | 2754 | Y | |||||||||
| Atlas Senior Secured Loan Fund VIII Ltd. | 5.01 | 1018 | 177.48 | 28.13 | 1.15 | 2770 | Y | |||||||||
| Ares XLIV CLO Ltd. | 4.84 | 783 | 211.66 | 19.67 | 1.23 | 2938 | Y | |||||||||
| CVP CLO 2017-1 Ltd | 4.66 | 986 | 158.20 | 26.17 | 1.13 | 2728 | Y | |||||||||
| TCW CLO 2017-1, Ltd 2017-1 | 5.04 | 897 | 203.84 | 23.08 | 1.20 | 2763 | Y | |||||||||
| Octagon Investment Partners 32, Ltd. | 5.01 | 886 | 216.61 | 23.95 | 1.21 | 2757 | Y | |||||||||
| OFSI BSL VIII, LTD | 4.69 | 788 | 179.91 | 22.85 | 1.12 | 2933 | Y | |||||||||
| Ares XLII CLO, Ltd. | 4.81 | 794 | 202.85 | 20.49 | 1.19 | 2966 | Y | |||||||||
| Woodmont 2017-1 Trust | 3.62 | 784 | 66.86 | 19.50 | 1.00 | 4044 | Y | |||||||||
| Golub Capital Partners CLO 34(M)-R, Ltd. | 3.77 | 769 | 64.46 | 7.72 | 1.00 | 4224 | Y | |||||||||
| Marathon CLO IX Ltd. | 4.67 | 936 | 198.21 | 26.17 | 1.23 | 3062 | Y | |||||||||
| MCF CLO V LLC | 3.46 | 561 | 91.16 | 14.78 | 1.01 | 3849 | Y | |||||||||
| Galaxy XXIII CLO, Ltd. | 4.93 | 894 | 213.47 | 26.53 | 1.22 | 2785 | Y | |||||||||
| Dryden 47 Senior Loan Fund 47 | 4.81 | 958 | 300.00 | 27.14 | 1.15 | 2723 | Y | |||||||||
| AMMC CLO 20, Limited 20 | 4.45 | 888 | 295.51 | 28.76 | 1.13 | 2801 | Y | |||||||||
| Goldentree Loan Management US CLO 1, Ltd. | 4.82 | 849 | 135.12 | 24.33 | 1.27 | 2730 | Y | |||||||||
| TIAA CLO II Ltd. | 4.73 | 955 | 157.90 | 28.42 | 1.16 | 2791 | Y | |||||||||
| NXT Capital CLO 2017-1, LLC | 3.48 | 639 | 56.46 | 16.02 | 1.00 | 3989 | Y | |||||||||
| Madison Park Funding XXV, Ltd. | 4.75 | 901 | 214.41 | 25.76 | 1.29 | 2912 | Y | |||||||||
| Thayer Park CLO, Ltd | 4.79 | 867 | 212.01 | 22.05 | 1.19 | 2836 | Y | |||||||||
| Antares CLO 2017-1, Ltd. | 3.64 | 362 | 159.14 | 23.04 | 1.00 | 3725 | Y | |||||||||
| Catskill Park CLO, Ltd. | 4.78 | 894 | 237.21 | 20.46 | 1.18 | 2760 | Y | |||||||||
| Black Diamond CLO 2017-1, Ltd. 2017-1 | 4.86 | 910 | 158.07 | 22.72 | 1.14 | 2984 | Y | |||||||||
| Apidos CLO XXVI XXVI | 4.60 | 906 | 208.68 | 29.07 | 1.18 | 2686 | Y | |||||||||
| Ivy Hill Middle Market Credit Fund XII, Ltd. | 4.01 | 687 | 119.88 | 17.26 | 1.02 | 3828 | Y | |||||||||
| Voya CLO 2017-2, Ltd | 4.81 | 951 | 327.61 | 22.49 | 1.17 | 2750 | Y | |||||||||
| Grayson CLO Ltd | 1.11 | 354 | 3.39 | 3.22 | 1.00 | 5544 | N | |||||||||
| Brentwood CLO Ltd | 0.94 | 378 | 4.59 | 4.00 | 1.00 | 5522 | N | |||||||||
| Eastland CLO Ltd | 1.19 | 444 | 3.00 | 2.94 | 1.00 | 5473 | N | |||||||||
| Madison Park Funding XXVI, Ltd. | 4.77 | 906 | 216.03 | 24.21 | 1.29 | 3004 | Y | |||||||||
| Westchester CLO Ltd | 1.18 | 532 | 3.50 | 3.24 | 1.00 | 5354 | N | |||||||||
| Greenbriar CLO Ltd | 0.81 | 0 | 3.81 | 2.96 | 1.00 | 5751 | N | |||||||||
| Cedar Funding II CLO Ltd | 4.64 | 896 | 201.78 | 26.49 | 1.09 | 2785 | Y | |||||||||
| Benefit Street Partners CLO III, Ltd. | 4.75 | 887 | 275.93 | 27.18 | 1.17 | 2826 | Y | |||||||||
| Flagship VII LTD | 2.78 | 1099 | 42.20 | 15.00 | 1.16 | 3272 | N | |||||||||
| Cedar Funding IV CLO, Ltd. | 4.61 | 889 | 216.01 | 27.39 | 1.10 | 2783 | Y | |||||||||
| Palmer Square CLO 2015-2 Ltd | 4.83 | 886 | 227.86 | 21.00 | 1.12 | 2668 | Y | |||||||||
| Madison Park Funding XXIII, Ltd. | 4.71 | 898 | 225.66 | 24.37 | 1.28 | 2988 | Y | |||||||||
| Atlas Senior Loan Fund XII, Ltd. | 5.09 | 1008 | 175.88 | 27.19 | 1.15 | 2812 | Y | |||||||||
| Diamond CLO 2019-1 Ltd. | 3.96 | 677 | 61.44 | 24.43 | 1.11 | 3644 | Y | |||||||||
| CIFC Funding 2019-IV, Ltd. | 5.16 | 733 | 200.03 | 22.19 | 1.10 | 2796 | Y | |||||||||
| Guggenheim CLO 2019-1 Ltd. | 5.30 | 915 | 127.35 | 25.47 | 1.17 | 2807 | Y | |||||||||
| California Street CLO IX Limited Partnership | 4.84 | 873 | 182.39 | 22.00 | 1.17 | 2864 | N | |||||||||
| OZLM Funding Ltd | 4.85 | 1064 | 182.49 | 27.83 | 1.27 | 2735 | Y | |||||||||
| JFIN CLO 2012 Ltd. | 4.53 | 1025 | 150.87 | 19.94 | 1.18 | 2919 | N | |||||||||
| Halcyon Loan Advisors Funding 2012-1 Ltd. | 1.71 | 1383 | 11.50 | 6.66 | 1.23 | 3964 | N | |||||||||
| Carlyle Global Market Strategies CLO 2012-3 Ltd. | 4.71 | 969 | 245.85 | 29.07 | 1.19 | 2879 | Y | |||||||||
| OZLM Funding II, Ltd. | 4.87 | 1050 | 182.11 | 28.38 | 1.29 | 2754 | Y | |||||||||
| ALM VII, Ltd. | 4.70 | 932 | 124.54 | 20.02 | 1.24 | 2979 | Y | |||||||||
| AMMC CLO XI, Limited | 4.40 | 999 | 287.17 | 29.18 | 1.12 | 2795 | Y | |||||||||
| BlueMountain CLO 2012-2 Ltd | 5.04 | 910 | 243.02 | 25.25 | 1.17 | 2970 | Y | |||||||||
| OHA Credit Partners VII, Ltd. | 4.86 | 912 | 138.43 | 23.85 | 1.18 | 2859 | Y | |||||||||
| Octagon Investment Partners XIV Ltd. | 5.02 | 950 | 203.60 | 24.19 | 1.21 | 2736 | Y | |||||||||
| Voya CLO 2012-4, Ltd. 2012-4 | 4.80 | 885 | 316.74 | 21.81 | 1.16 | 2860 | Y | |||||||||
| Dryden XXV Senior Loan Fund | 4.43 | 957 | 276.08 | 26.19 | 1.15 | 2770 | N | |||||||||
| THL Credit Wind River 2012-1 CLO Ltd. | 3.31 | 927 | 68.62 | 19.91 | 1.16 | 3169 | N | |||||||||
| Carlyle Global Market Strategies CLO 2012-4, LTD | 4.75 | 955 | 248.86 | 30.42 | 1.21 | 2859 | Y | |||||||||
| Venture XII CLO, Ltd | 4.08 | 979 | 316.29 | 27.44 | 1.17 | 2957 | N | |||||||||
| Madison Park Funding X, Ltd. | 4.73 | 904 | 226.06 | 24.59 | 1.28 | 2932 | Y | |||||||||
| Magnetite VII, Limited VII | 5.05 | 922 | 218.05 | 27.87 | 1.16 | 2678 | Y | |||||||||
| Apidos CLO XI | 4.58 | 899 | 199.26 | 29.73 | 1.20 | 2722 | Y | |||||||||
| MidOcean Credit CLO I | 2.69 | 1122 | 36.16 | 16.94 | 1.10 | 2925 | N | |||||||||
| Madison Park Funding XL Ltd | 4.71 | 900 | 229.92 | 24.85 | 1.28 | 2905 | Y | |||||||||
| OZLM Funding III, Ltd. | 4.57 | 1022 | 186.97 | 28.54 | 1.28 | 2748 | Y | |||||||||
| LCM XIII Limited Partnership | 4.50 | 860 | 233.00 | 25.79 | 1.12 | 2846 | Y | |||||||||
| Longfellow Place CLO, Ltd. | 4.61 | 946 | 138.36 | 26.78 | 1.12 | 2990 | Y | |||||||||
| Carlyle C17 CLO, Ltd. | 4.89 | 903 | 192.76 | 31.77 | 1.24 | 2827 | Y | |||||||||
| Marathon CLO V Ltd. | 4.00 | 962 | 148.15 | 25.63 | 1.25 | 3300 | N | |||||||||
| Race Point VIII CLO, Limited | 5.01 | 825 | 266.88 | 24.78 | 1.25 | 2882 | Y | |||||||||
| Octagon Investment Partners XV, Ltd. | 4.98 | 924 | 225.57 | 24.57 | 1.20 | 2741 | Y | |||||||||
| Regatta II Funding L.P. | 4.93 | 862 | 226.42 | 21.51 | 1.22 | 2815 | Y | |||||||||
| Jamestown CLO II Ltd | 4.75 | 893 | 172.38 | 28.82 | 1.23 | 2825 | N | |||||||||
| KVK CLO 2013-1 Ltd. | 4.16 | 939 | 133.91 | 21.36 | 1.13 | 3067 | N | |||||||||
| CFIP CLO 2013-1, Ltd | 4.54 | 800 | 129.82 | 21.78 | 1.14 | 2714 | Y | |||||||||
| Sound Point CLO II, Ltd. | 5.16 | 910 | 198.17 | 22.60 | 1.18 | 2717 | Y | |||||||||
| CIFC Funding 2013-I, Ltd. | 4.83 | 809 | 218.55 | 25.13 | 1.20 | 2855 | Y | |||||||||
| Galaxy XV CLO, Ltd. | 4.87 | 878 | 194.82 | 24.57 | 1.28 | 2829 | Y | |||||||||
| Halcyon Loan Advisors Funding 2013-1 Ltd. | 2.27 | 1216 | 24.38 | 11.09 | 1.08 | 3574 | N | |||||||||
| Greywolf CLO II, Ltd. | 5.20 | 941 | 124.35 | 26.82 | 1.24 | 2986 | Y | |||||||||
| Dryden XXVI Senior Loan Fund XXVI | 4.82 | 951 | 268.60 | 26.12 | 1.14 | 2763 | Y | |||||||||
| JFIN CLO 2013 Ltd. | 4.69 | 1093 | 135.68 | 26.31 | 1.21 | 2826 | Y | |||||||||
| Denali Capital CLO X, LTD. | 4.02 | 908 | 212.31 | 24.72 | 1.09 | 2943 | N | |||||||||
| AMMC CLO XII, Limited | 4.43 | 906 | 278.86 | 30.15 | 1.12 | 2881 | Y | |||||||||
| Voya CLO 2013-1, Ltd. | 4.80 | 930 | 306.50 | 23.33 | 1.18 | 2778 | Y | |||||||||
| Tralee CLO II, Ltd. | 4.84 | 945 | 168.20 | 22.13 | 1.09 | 2907 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2013-2, Ltd. 2013-2 | 4.81 | 985 | 221.98 | 31.56 | 1.16 | 2885 | Y | |||||||||
| Shackleton 2013-III CLO, Ltd. | 4.66 | 873 | 181.52 | 26.35 | 1.22 | 2955 | Y | |||||||||
| Voya CLO 2013-2 Ltd. | 4.80 | 916 | 289.37 | 24.39 | 1.16 | 2752 | Y | |||||||||
| THL Credit Wind River 2013-1 CLO Ltd. | 4.79 | 842 | 160.89 | 18.34 | 1.17 | 3130 | Y | |||||||||
| Elevation CLO 2013-1 Ltd. | 4.83 | 929 | 237.08 | 25.82 | 1.13 | 2746 | Y | |||||||||
| Mountain View CLO 2013-1 Ltd. | 4.93 | 956 | 191.68 | 24.07 | 1.23 | 2604 | Y | |||||||||
| BlueMountain CLO 2013-1 Ltd. | 4.66 | 979 | 218.18 | 27.70 | 1.19 | 2988 | Y | |||||||||
| Neuberger Berman CLO XIV, Ltd. XIV | 4.74 | 832 | 174.26 | 23.74 | 1.31 | 2735 | Y | |||||||||
| Mountain Hawk II CLO, Ltd. | 3.12 | 796 | 39.16 | 9.68 | 1.04 | 3570 | N | |||||||||
| Barings CLO Ltd. 2013-I | 4.22 | 932 | 180.22 | 22.71 | 1.17 | 2715 | N | |||||||||
| GLG Ore Hill CLO 2013-1, Ltd. | 2.49 | 1375 | 35.66 | 18.28 | 1.19 | 3169 | N | |||||||||
| Octagon Investment Partners XVI, Ltd. | 5.13 | 955 | 227.52 | 25.62 | 1.19 | 2722 | Y | |||||||||
| Benefit Street Partners CLO II, Ltd. | 4.72 | 891 | 281.89 | 29.11 | 1.17 | 2836 | Y | |||||||||
| CIFC Funding 2013-II, Ltd. | 4.83 | 841 | 224.79 | 24.85 | 1.19 | 2827 | Y | |||||||||
| BlueMountain CLO 2013-2 Ltd. 2013-2 | 5.04 | 997 | 214.77 | 29.97 | 1.16 | 2932 | Y | |||||||||
| Tryon Park CLO, Ltd. Tryon | 4.78 | 849 | 194.11 | 20.72 | 1.17 | 2833 | Y | |||||||||
| Dryden XXVIII Senior Loan Fund | 4.81 | 944 | 289.32 | 26.84 | 1.14 | 2742 | Y | |||||||||
| OZLM Funding IV, Ltd. | 4.84 | 1062 | 182.93 | 28.60 | 1.28 | 2737 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2013-3 Ltd 2013-3 | 4.73 | 993 | 222.03 | 31.30 | 1.16 | 2865 | Y | |||||||||
| OHA Loan Funding 2013-1, Ltd. | 4.97 | 890 | 153.16 | 22.74 | 1.21 | 2936 | Y | |||||||||
| Atlas Senior Loan Fund III, Ltd. | 4.70 | 1060 | 147.45 | 25.70 | 1.12 | 2828 | N | |||||||||
| Telos CLO 2013-4, Ltd. | 4.67 | 1043 | 112.68 | 24.53 | 1.14 | 2837 | Y | |||||||||
| Golub Capital Partners CLO 16 (M) -R Ltd. | 3.27 | 921 | 69.68 | 8.97 | 1.00 | 4408 | Y | |||||||||
| Ares XXVII CLO LTD | 4.86 | 765 | 215.60 | 21.16 | 1.21 | 2869 | Y | |||||||||
| ALM VII(R)-2, Ltd. | 4.64 | 907 | 155.08 | 22.10 | 1.26 | 2904 | Y | |||||||||
| HPS Loan Management 2013-2 Ltd. | 4.76 | 932 | 171.08 | 26.11 | 1.12 | 2795 | Y | |||||||||
| Venture XIV CLO Limited | 4.72 | 928 | 228.12 | 28.59 | 1.15 | 2773 | Y | |||||||||
| OHA Loan Funding 2013-2, Ltd. | 5.06 | 907 | 146.34 | 23.02 | 1.19 | 2893 | Y | |||||||||
| WhiteHorse VII, Ltd. | 0.89 | 368 | 4.18 | 4.18 | 1.00 | 4663 | N | |||||||||
| Ocean Trails CLO IV | 3.08 | 1100 | 64.69 | 19.10 | 1.20 | 3288 | N | |||||||||
| Emerson Park CLO, Ltd. | 2.64 | 914 | 33.89 | 9.51 | 1.03 | 3339 | N | |||||||||
| Octagon Investment Partners XVII, Ltd. | 5.09 | 958 | 219.82 | 25.12 | 1.20 | 2737 | Y | |||||||||
| NewStar Commerical Loan Funding 2017-1 LLC | 3.20 | 645 | 59.02 | 21.57 | 1.00 | 3876 | N | |||||||||
| Palmer Square CLO 2018-3, Ltd. | 4.81 | 860 | 215.65 | 20.02 | 1.12 | 2715 | Y | |||||||||
| Madison Park Funding XI, Ltd | 4.73 | 924 | 214.71 | 22.79 | 1.30 | 2992 | Y | |||||||||
| Neuberger Berman CLO XV Ltd | 4.75 | 801 | 179.56 | 23.66 | 1.30 | 2758 | Y | |||||||||
| Hayfin Kingsland IX, Ltd. | 5.25 | 924 | 148.56 | 20.11 | 1.16 | 2801 | Y | |||||||||
| Dryden 30 Senior Loan Fund | 4.72 | 965 | 289.39 | 27.69 | 1.14 | 2736 | Y | |||||||||
| West CLO 2013-1 Ltd. 2013-1 | 2.74 | 933 | 22.56 | 11.02 | 1.07 | 3710 | N | |||||||||
| OCP CLO 2013-4, Ltd. | 4.83 | 886 | 215.55 | 26.02 | 1.26 | 2807 | Y | |||||||||
| Eaton Vance CLO 2013-1 LTD | 4.63 | 918 | 218.25 | 25.32 | 1.18 | 2729 | Y | |||||||||
| Apidos CLO XV | 4.75 | 885 | 212.50 | 29.89 | 1.24 | 2773 | Y | |||||||||
| Ivy Hill Middle Market Credit Fund VII, Ltd. VII | 4.08 | 687 | 114.82 | 21.51 | 1.02 | 3759 | Y | |||||||||
| Cent CLO 19 Limited | 3.21 | 973 | 93.79 | 19.79 | 1.24 | 2591 | N | |||||||||
| OHA Credit Partners IX, Ltd. | 3.16 | 968 | 43.60 | 16.54 | 1.18 | 2790 | N | |||||||||
| Golub Capital Partners CLO 17(M)-R, Ltd. 17 | 3.38 | 938 | 69.50 | 9.94 | 1.00 | 4288 | Y | |||||||||
| Carlyle Global Market Strategies CLO 2013-4, Ltd. | 4.79 | 991 | 204.76 | 31.69 | 1.20 | 2884 | Y | |||||||||
| THL Credit Wind River 2013-2 CLO Ltd. | 4.72 | 915 | 178.78 | 18.90 | 1.19 | 3005 | Y | |||||||||
| Avery Point III CLO, Limited 2013-3 | 3.06 | 888 | 49.73 | 16.38 | 1.17 | 3132 | N | |||||||||
| Bain Capital Credit CLO 2017-2, Limited | 5.06 | 847 | 263.69 | 25.31 | 1.20 | 2885 | Y | |||||||||
| AMMC CLO XIII, Limited | 4.49 | 997 | 257.22 | 32.51 | 1.15 | 2721 | Y | |||||||||
| Voya CLO 2013-3, Ltd 2013-3 | 4.78 | 878 | 273.20 | 21.47 | 1.14 | 2784 | Y | |||||||||
| HPS Loan Management 3-2014 Ltd. 3-2014 | 4.76 | 915 | 164.65 | 25.13 | 1.13 | 2770 | Y | |||||||||
| Allegro CLO I, Ltd. | 2.71 | 935 | 43.63 | 11.80 | 1.13 | 3369 | N | |||||||||
| Blue Ridge CLO Ltd. I 1 | 3.00 | 1109 | 49.30 | 15.95 | 1.22 | 3021 | N | |||||||||
| RR 1 Ltd | 4.63 | 921 | 146.91 | 22.33 | 1.28 | 2923 | Y | |||||||||
| MidOcean Credit CLO II | 4.84 | 892 | 128.62 | 25.69 | 1.16 | 3068 | Y | |||||||||
| Black Diamond CLO 2013-1, Ltd. | 2.74 | 1102 | 46.68 | 20.03 | 1.27 | 3201 | N | |||||||||
| Cathedral Lake CLO 2013 Ltd | 4.76 | 791 | 111.47 | 20.73 | 1.18 | 2817 | Y | |||||||||
| Oaktree CLO 2014-1 Ltd. 2014-1 | 4.82 | 1024 | 168.75 | 25.63 | 1.10 | 2831 | Y | |||||||||
| ACIS CLO 2014-3, Ltd. | 2.80 | 1071 | 44.65 | 15.33 | 1.05 | 3169 | N | |||||||||
| JFIN CLO 2014 Ltd. | 3.12 | 1124 | 101.09 | 20.15 | 1.10 | 3440 | N | |||||||||
| CIFC Funding 2014, Ltd. | 4.82 | 863 | 239.66 | 24.86 | 1.20 | 2803 | Y | |||||||||
| OFSI Fund VI, Ltd. | 2.34 | 1147 | 29.92 | 12.56 | 1.00 | 3428 | N | |||||||||
| Golub Capital Partners CLO 18(M)-R, Ltd. | 3.40 | 940 | 75.37 | 10.14 | 1.00 | 4377 | Y | |||||||||
| Mountain Hawk III CLO, Ltd. III | 3.46 | 845 | 73.98 | 16.03 | 1.12 | 3261 | N | |||||||||
| BNPP IP CLO 2014-1, Ltd. | 2.52 | 1154 | 43.14 | 14.21 | 1.03 | 3801 | N | |||||||||
| Zais CLO 1, Limited | 4.25 | 1016 | 151.81 | 25.73 | 1.12 | 3025 | N | |||||||||
| Carlyle Global Market Strategies CLO 2014-1, Ltd. | 4.81 | 982 | 252.06 | 29.02 | 1.19 | 2913 | Y | |||||||||
| Staniford Street CLO, Ltd. | 2.62 | 1206 | 39.66 | 13.82 | 1.08 | 3682 | N | |||||||||
| Canyon Capital CLO 2014-1 Ltd. | 4.97 | 929 | 143.65 | 23.20 | 1.33 | 2773 | Y | |||||||||
| Great Lakes CLO 2014-1, Ltd. | 3.25 | 580 | 80.96 | 17.00 | 1.00 | 3909 | Y | |||||||||
| CFIP CLO 2014-1, Ltd. 2014-1 | 4.60 | 792 | 126.95 | 22.28 | 1.16 | 2731 | Y | |||||||||
| Halcyon Loan Advisors Funding 2014-2 Ltd. | 2.90 | 1353 | 42.13 | 17.18 | 1.15 | 3177 | N | |||||||||
| Marathon CLO VI Ltd. | 4.59 | 1028 | 156.36 | 24.00 | 1.24 | 3158 | N | |||||||||
| Telos CLO 2014-5, Ltd. | 4.42 | 1046 | 122.80 | 25.91 | 1.15 | 2811 | N | |||||||||
| Avery Point IV CLO, Limited | 3.46 | 872 | 79.97 | 20.12 | 1.18 | 3037 | N | |||||||||
| B&M CLO 2014-1, Ltd. | 2.51 | 1002 | 58.24 | 20.63 | 1.16 | 3183 | N | |||||||||
| Palmer Square CLO 2014-1, Ltd. | 4.77 | 873 | 221.47 | 20.89 | 1.12 | 2705 | Y | |||||||||
| Dryden 33 Senior Loan Fund | 4.83 | 957 | 292.11 | 26.26 | 1.13 | 2740 | Y | |||||||||
| Golub Capital BDC CLO 2014 LLC | 2.56 | 959 | 33.31 | 9.12 | 1.00 | 4190 | N | |||||||||
| Atlas Senior Loan Fund V, Ltd. | 4.95 | 1063 | 165.61 | 27.44 | 1.13 | 2773 | Y | |||||||||
| ACIS CLO 2014-4 Ltd | 3.01 | 1014 | 51.62 | 16.67 | 1.10 | 3258 | N | |||||||||
| Benefit Street Partners CLO IV, Ltd. | 4.68 | 879 | 281.39 | 27.71 | 1.17 | 2829 | Y | |||||||||
| BlueMountain CLO 2014-2 Ltd. 2014-2 | 5.00 | 875 | 236.03 | 29.14 | 1.25 | 2918 | Y | |||||||||
| LCM XVI Limited Partnership | 4.52 | 897 | 260.26 | 25.44 | 1.13 | 2705 | Y | |||||||||
| CIFC Funding 2014-III, Ltd. | 4.73 | 881 | 228.20 | 22.24 | 1.23 | 2794 | Y | |||||||||
| Peaks CLO 1, Ltd. | 4.52 | 770 | 127.74 | 21.96 | 1.04 | 3391 | Y | |||||||||
| OCP CLO 2014-6, Ltd. 2014-6 | 4.87 | 902 | 221.59 | 27.82 | 1.28 | 2802 | Y | |||||||||
| Neuberger Berman CLO XVII, Ltd. | 4.73 | 806 | 176.86 | 24.17 | 1.30 | 2743 | Y | |||||||||
| Cent CLO 21 Limited | 4.74 | 934 | 225.80 | 23.93 | 1.18 | 2595 | Y | |||||||||
| CLO--Collateralized loan obligation. WAL--Weighted average life. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. SPWARF--S&P Global weighted average rating factor. Y--Yes. N--No. | ||||||||||||||||
European CLO metrics
Table 3 shows the second-quarter 2020 portfolio metrics for the European CLOs rated by S&P Global Ratings.
Table 3
| Second-Quarter 2020 Metrics For European CLOs Rated By S&P Global Ratings | ||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Transaction | WAL (years) | DRD | ODM | IDM | RDM | SPWARF | Reinvesting | |||||||||
| Harvest CLO XVII DAC . | 5.06 | 637 | 123.58 | 19.04 | 1.29 | 2868 | Y | |||||||||
| Ares European CLO VIII B.V. | 4.71 | 650 | 111.10 | 21.06 | 1.27 | 2930 | Y | |||||||||
| Northwoods Capital 19 Euro DAC | 5.62 | 557 | 87.75 | 21.42 | 1.24 | 2821 | Y | |||||||||
| MacKay Shields Euro CLO 1 DAC | 5.55 | 635 | 92.04 | 17.85 | 1.13 | 2933 | Y | |||||||||
| BlackRock Euro CLO IX DAC | 5.06 | 735 | 127.30 | 22.33 | 1.34 | 2874 | Y | |||||||||
| CVC Cordatus Loan Fund XVI DAC | 5.20 | 694 | 98.57 | 21.90 | 1.19 | 2847 | Y | |||||||||
| Holland Park CLO DAC | 4.68 | 765 | 129.94 | 17.61 | 1.33 | 2865 | Y | |||||||||
| North Westerly VI B.V. | 5.39 | 622 | 111.67 | 17.15 | 1.26 | 2757 | Y | |||||||||
| OCP Euro CLO 2017-1 DAC . | 5.02 | 724 | 95.16 | 20.22 | 1.43 | 2664 | Y | |||||||||
| Madison Park Euro Funding VIII DAC . | 4.57 | 832 | 128.83 | 23.41 | 1.27 | 3014 | Y | |||||||||
| Carlyle Global Market Strategies Euro CLO 2015-1 DAC . | 4.65 | 710 | 114.92 | 21.09 | 1.49 | 3264 | Y | |||||||||
| Purple Finance CLO 1 DAC | 4.89 | 697 | 82.22 | 21.21 | 1.14 | 2803 | Y | |||||||||
| CVC Cordatus Loan Fund X DAC | 4.89 | 713 | 95.30 | 18.31 | 1.19 | 2818 | Y | |||||||||
| Carlyle Euro CLO 2017-3 DAC | 4.81 | 742 | 117.42 | 23.07 | 1.26 | 3170 | Y | |||||||||
| Dryden 29 Euro CLO 2013 B.V. | 5.16 | 756 | 95.99 | 19.43 | 1.31 | 3051 | Y | |||||||||
| Adagio VI CLO DAC | 4.85 | 568 | 106.05 | 19.07 | 1.20 | 2949 | Y | |||||||||
| Carlyle Global Market Strategies Euro CLO 2015-3 DAC | 4.79 | 758 | 150.63 | 21.03 | 1.39 | 3106 | Y | |||||||||
| Madison Park Euro Funding X DAC | 4.80 | 794 | 129.03 | 23.93 | 1.26 | 3034 | Y | |||||||||
| Barings Euro CLO 2018-1 B.V. | 4.70 | 910 | 107.66 | 21.28 | 1.41 | 3172 | Y | |||||||||
| GLG Euro CLO IV DAC | 4.73 | 855 | 103.69 | 22.42 | 1.14 | 3113 | Y | |||||||||
| Harvest CLO VIII DAC . | 4.89 | 659 | 118.25 | 20.37 | 1.26 | 2949 | Y | |||||||||
| OZLME III DAC | 5.07 | 826 | 125.58 | 23.21 | 1.33 | 2901 | Y | |||||||||
| BlackRock European CLO I DAC | 4.94 | 785 | 138.63 | 22.07 | 1.38 | 2814 | Y | |||||||||
| Ares European CLO IX B.V. | 4.85 | 635 | 105.05 | 22.37 | 1.18 | 2912 | Y | |||||||||
| Toro European CLO 5 DAC | 5.11 | 680 | 120.20 | 20.94 | 1.24 | 2917 | Y | |||||||||
| Providus CLO I DAC | 5.32 | 721 | 105.63 | 14.98 | 1.48 | 2865 | Y | |||||||||
| Carlyle Euro CLO 2018-1 DAC | 4.78 | 770 | 126.81 | 21.20 | 1.33 | 3119 | Y | |||||||||
| Black Diamond CLO 2019-1 DAC | 5.01 | 648 | 141.97 | 21.37 | 1.79 | 3011 | Y | |||||||||
| Carlyle Euro CLO 2019-2 DAC | 5.28 | 702 | 95.25 | 19.56 | 1.32 | 3226 | Y | |||||||||
| GoldenTree Loan Management EUR CLO 3 DAC | 5.19 | 682 | 97.27 | 22.86 | 1.28 | 2975 | Y | |||||||||
| Harvest CLO XXII DAC | 5.25 | 528 | 99.48 | 18.90 | 1.24 | 2959 | Y | |||||||||
| Tikehau CLO V B.V. | 5.28 | 636 | 110.67 | 21.94 | 1.28 | 2815 | Y | |||||||||
| Dunedin Park CLO DAC | 5.29 | 681 | 141.29 | 18.89 | 1.28 | 2793 | Y | |||||||||
| Aurium CLO I DAC | 5.15 | 683 | 110.70 | 21.83 | 1.28 | 2785 | Y | |||||||||
| Toro European CLO 6 DAC | 5.12 | 691 | 105.99 | 20.39 | 1.20 | 2969 | Y | |||||||||
| Purple Finance CLO 2 DAC | 5.48 | 637 | 84.39 | 18.93 | 1.24 | 2819 | Y | |||||||||
| Avoca CLO XVII DAC | 4.85 | 629 | 136.93 | 18.51 | 1.27 | 2922 | Y | |||||||||
| Dryden 48 Euro CLO 2016 B.V. . | 5.11 | 749 | 96.71 | 19.88 | 1.25 | 3117 | Y | |||||||||
| St. Paul's CLO II DAC | 4.94 | 775 | 107.57 | 21.94 | 1.31 | 3025 | Y | |||||||||
| Armada Euro CLO I DAC | 5.31 | 753 | 101.29 | 22.59 | 1.39 | 2828 | Y | |||||||||
| Bain Capital Euro CLO 2017-1 DAC | 5.10 | 826 | 130.92 | 23.47 | 1.32 | 3027 | Y | |||||||||
| OZLME II DAC | 5.01 | 797 | 126.00 | 23.75 | 1.39 | 2914 | Y | |||||||||
| Accunia European CLO II B.V. | 5.20 | 787 | 93.83 | 19.05 | 1.19 | 2884 | Y | |||||||||
| Tikehau CLO III B.V. | 4.77 | 739 | 111.71 | 21.11 | 1.37 | 2872 | Y | |||||||||
| Cairn CLO VIII B.V. | 4.78 | 679 | 90.98 | 18.51 | 1.33 | 2954 | Y | |||||||||
| BlackRock European CLO IV DAC | 4.99 | 758 | 142.00 | 21.68 | 1.34 | 2846 | Y | |||||||||
| Dryden 39 Euro CLO 2015 B.V. | 5.12 | 747 | 108.29 | 19.88 | 1.33 | 3070 | Y | |||||||||
| Jubilee CLO 2017-XIX | 4.62 | 688 | 107.16 | 20.49 | 1.16 | 2953 | Y | |||||||||
| Dryden 56 Euro CLO 2017 B.V. | 5.14 | 737 | 101.58 | 18.82 | 1.30 | 3098 | Y | |||||||||
| Aqueduct European CLO 2-2017 DAC | 4.99 | 641 | 111.07 | 20.54 | 1.35 | 2795 | Y | |||||||||
| OCP Euro CLO 2017-2 DAC | 4.91 | 732 | 97.11 | 20.04 | 1.47 | 2735 | Y | |||||||||
| Black Diamond CLO 2017-2 DAC | 4.78 | 674 | 134.67 | 20.57 | 1.76 | 3025 | Y | |||||||||
| Halcyon Loan Advisors European Funding 2017-2 DAC | 4.78 | 786 | 116.43 | 19.43 | 1.27 | 3004 | Y | |||||||||
| Harvest CLO XVIII DAC | 4.81 | 696 | 114.32 | 18.65 | 1.24 | 2943 | Y | |||||||||
| RRE 1 Loan Management DAC | 5.22 | 709 | 110.90 | 18.15 | 1.19 | 2891 | Y | |||||||||
| Jubilee CLO 2019-XXII B.V. | 5.11 | 615 | 106.91 | 19.52 | 1.11 | 2927 | Y | |||||||||
| RRE 2 Loan Management DAC | 5.23 | 683 | 107.58 | 18.44 | 1.18 | 2854 | Y | |||||||||
| Aurium CLO IV DAC | 5.15 | 718 | 109.54 | 21.30 | 1.29 | 2768 | Y | |||||||||
| Voya Euro CLO I DAC | 5.01 | 726 | 121.44 | 20.03 | 1.48 | 2915 | Y | |||||||||
| BlueMountain EUR CLO 2016-1 DAC | 5.14 | 682 | 146.34 | 21.53 | 1.44 | 2920 | Y | |||||||||
| Avoca CLO XVIII DAC | 4.91 | 616 | 132.19 | 19.25 | 1.31 | 2869 | Y | |||||||||
| ALME Loan Funding V B.V. . | 5.11 | 688 | 104.13 | 17.62 | 1.19 | 2805 | Y | |||||||||
| Dryden 63 GBP CLO 2018 B.V. | 4.86 | 796 | 59.26 | 17.59 | 1.09 | 3079 | Y | |||||||||
| Halcyon Loan Advisors European Funding 2014 B.V. | 4.56 | 809 | 112.28 | 18.93 | 1.29 | 3024 | Y | |||||||||
| Lingfield 2014 I PLC | 2.38 | 736 | 80.11 | 18.84 | 1.00 | 1180 | N | |||||||||
| Harvest CLO XI DAC XI | 4.90 | 676 | 108.97 | 20.22 | 1.33 | 2928 | Y | |||||||||
| Harvest CLO X DAC | 3.85 | 744 | 72.96 | 19.94 | 1.31 | 2954 | N | |||||||||
| Jubilee CLO 2015-XV B.V. | 4.25 | 684 | 97.55 | 16.45 | 1.27 | 2922 | N | |||||||||
| Avoca CLO XIV Ltd. | 4.81 | 580 | 130.32 | 18.79 | 1.32 | 2916 | Y | |||||||||
| Black Diamond CLO 2015-1 Designated Activity Company | 4.39 | 730 | 117.79 | 19.32 | 1.73 | 2935 | N | |||||||||
| Euro-Galaxy IV CLO B.V. | 4.77 | 768 | 123.87 | 25.04 | 1.47 | 2896 | Y | |||||||||
| Jubilee CLO 2015-XVI B.V. | 4.59 | 713 | 100.38 | 18.06 | 1.24 | 2908 | N | |||||||||
| Elm Park CLO DAC | 4.88 | 711 | 143.95 | 20.41 | 1.29 | 2785 | N | |||||||||
| Dryden 44 Euro CLO 2015 B.V. | 5.09 | 739 | 97.41 | 19.00 | 1.29 | 3117 | Y | |||||||||
| Aurium CLO II DAC . | 4.99 | 729 | 111.17 | 21.27 | 1.30 | 2794 | Y | |||||||||
| Dryden 46 Euro CLO 2016 B.V. | 5.02 | 717 | 99.50 | 20.34 | 1.33 | 3041 | Y | |||||||||
| Clarinda Park CLO DAC | 4.96 | 728 | 144.35 | 19.76 | 1.31 | 2799 | Y | |||||||||
| Euro-Galaxy V CLO B.V. | 4.79 | 723 | 130.85 | 23.38 | 1.42 | 2907 | Y | |||||||||
| Carlyle Global Market Strategies Euro CLO 2016-2 DAC | 4.65 | 742 | 114.13 | 19.89 | 1.34 | 3155 | Y | |||||||||
| BlackRock European CLO II DAC | 4.92 | 800 | 135.67 | 22.73 | 1.42 | 2813 | Y | |||||||||
| OZLME B.V. | 4.86 | 813 | 129.80 | 24.25 | 1.39 | 2886 | Y | |||||||||
| Aurium CLO III DAC | 5.03 | 730 | 112.17 | 21.72 | 1.30 | 2800 | Y | |||||||||
| Madison Park Euro Funding IX DAC | 4.62 | 808 | 119.84 | 23.33 | 1.26 | 3012 | Y | |||||||||
| BlueMountain Fuji EUR CLO II DAC | 5.13 | 665 | 135.61 | 21.06 | 1.45 | 2889 | Y | |||||||||
| Dryden XXVII-R Euro CLO 2017 B.V. | 5.03 | 690 | 101.97 | 19.83 | 1.31 | 3062 | Y | |||||||||
| Contego CLO IV DAC | 4.87 | 650 | 102.54 | 20.61 | 1.40 | 2886 | Y | |||||||||
| Dryden 52 Euro CLO 2017 B.V. | 5.03 | 729 | 92.51 | 19.08 | 1.35 | 3039 | Y | |||||||||
| Halcyon Loan Advisors European Funding 2017-1 DAC | 4.70 | 851 | 118.61 | 19.60 | 1.31 | 2975 | Y | |||||||||
| Carlyle Euro CLO 2017-2 DAC | 4.91 | 789 | 125.17 | 20.85 | 1.26 | 3031 | Y | |||||||||
| CVC Cordatus Loan Fund V DAC | 4.87 | 727 | 99.38 | 17.84 | 1.22 | 2838 | Y | |||||||||
| CVC Cordatus Loan Fund IX DAC | 4.78 | 825 | 91.21 | 19.13 | 1.19 | 2843 | Y | |||||||||
| Ares European CLO VII B.V. | 4.84 | 657 | 123.58 | 22.95 | 1.26 | 2797 | Y | |||||||||
| Cairn CLO V B.V. | 4.75 | 707 | 91.28 | 20.28 | 1.34 | 2909 | Y | |||||||||
| CVC Cordatus Loan Fund VIII DAC | 4.80 | 840 | 90.09 | 20.96 | 1.21 | 2742 | Y | |||||||||
| Dryden 51 Euro CLO 2017 B.V. | 5.09 | 731 | 100.43 | 19.13 | 1.33 | 3104 | Y | |||||||||
| Bosphorus CLO III DAC | 3.55 | 786 | 30.50 | 15.44 | 1.58 | 2794 | N | |||||||||
| Carlyle Euro CLO 2017-1 DAC | 4.88 | 789 | 123.80 | 19.79 | 1.37 | 3060 | Y | |||||||||
| Aqueduct European CLO 1-2017 DAC | 4.97 | 642 | 112.87 | 20.09 | 1.31 | 2828 | Y | |||||||||
| BlackRock European CLO III DAC | 4.92 | 822 | 135.19 | 21.58 | 1.41 | 2807 | Y | |||||||||
| GLG Euro CLO III DAC | 4.53 | 821 | 107.73 | 23.14 | 1.17 | 3103 | Y | |||||||||
| Strawinsky I PLC | 2.00 | 388 | 1.54 | 1.54 | 1.54 | 5500 | N | |||||||||
| Clontarf Park CLO DAC | 4.90 | 744 | 134.84 | 19.97 | 1.34 | 2830 | Y | |||||||||
| Carlyle Global Market Strategies Euro CLO 2013-1 B.V. | 4.81 | 741 | 118.93 | 21.92 | 1.36 | 3134 | Y | |||||||||
| Jubilee CLO 2013-X B.V. | 4.71 | 783 | 102.34 | 20.65 | 1.18 | 2978 | Y | |||||||||
| Ares European CLO VI B.V. | 4.79 | 689 | 113.60 | 24.04 | 1.31 | 2965 | Y | |||||||||
| Harvest CLO VII DAC VII | 4.91 | 668 | 100.05 | 19.39 | 1.41 | 2999 | Y | |||||||||
| Euro-Galaxy III CLO B.V. | 4.75 | 753 | 129.78 | 24.49 | 1.48 | 2944 | Y | |||||||||
| North Westerly CLO IV 2013 B.V. | 3.64 | 779 | 46.07 | 15.23 | 1.44 | 2722 | N | |||||||||
| Jubilee CLO 2014-XI B.V. | 4.74 | 737 | 110.38 | 19.12 | 1.13 | 2948 | Y | |||||||||
| Avoca CLO XI DAC | 4.80 | 609 | 132.24 | 18.91 | 1.29 | 2901 | Y | |||||||||
| CLO--Collateralized loan obligation. WAL--Weighted average life. DRD--Default rate dispersion. ODM--Obligor diversity measure. IDM--Industry diversity measure. RDM--Regional diversity measure. SPWARF--S&P Global weighted average rating factor. Y--Yes. N--No. | ||||||||||||||||
Related Research
- S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version, June 21, 2019
- How To Build Your Own CDO Monitor E8 (Non-Model Version), June 21, 2019
- European And U.S. CLOs: How Different Are They Really?" published Dec. 1, 2015
Appendix
Appendix
| Rating Factor | |
|---|---|
| Rating | Rating factor |
| AAA | 13.51 |
| AA+ | 26.75 |
| AA | 46.36 |
| AA- | 63.90 |
| A+ | 99.50 |
| A | 146.35 |
| A- | 199.83 |
| BBB+ | 271.01 |
| BBB | 361.17 |
| BBB- | 540.42 |
| BB+ | 784.92 |
| BB | 1233.63 |
| BB- | 1565.44 |
| B+ | 1982.00 |
| B | 2859.50 |
| B- | 3610.11 |
| CCC+ | 4641.40 |
| CCC | 5293.00 |
| CCC- | 5751.10 |
The authors would like to thank Ian Chandler for his data analytics contribution to this update.
This report does not constitute a rating action.
| Primary Credit Analysts: | Daniel Hu, FRM, New York (1) 212-438-2206; daniel.hu@spglobal.com |
| Matteo Breviglieri, London (44) 20-7176-8495; Matteo.Breviglieri@spglobal.com | |
| U.S. CLO Sector Lead: | Stephen A Anderberg, New York (1) 212-438-8991; stephen.anderberg@spglobal.com |
| Analytical Manager, U.S.: | Jimmy N Kobylinski, New York (1) 212-438-6314; jimmy.kobylinski@spglobal.com |
| Analytical Manager, EMEA: | Emanuele Tamburrano, London (44) 20-7176-3825; emanuele.tamburrano@spglobal.com |
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