CLO Spotlight: Fourth-Quarter CDO Monitor Benchmarks Reveal Relative Credit Quality And Diversity Of CLO Portfolios

In This List

COMMENTS

Take Notes - The Rise Of U.S. CLO ETFs

Covered Bonds Uncovered

COMMENTS

2025 U.S. Residential Mortgage And Housing Outlook

COMMENTS

Weekly European CLO Update

COMMENTS
12 Jan, 2021 | 15:05

Sector Structured Finance Structured Credit (incl. CLO)
Tags Americas

View Analyst Contact Information

Table of Contents

S&P Global Ratings is publishing performance benchmarks under the 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 provides transparency into our view of CLO collateral credit quality and diversity using the non-model version of our CDO monitor. They also highlight 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.

These metrics are calculated based on portfolio information from the recent trustee reports and our ratings on the corporate obligors in the CLO collateral pools as of the end of fourth-quarter 2020. The metrics below are calculated for the portfolio exposures to obligors with performing ratings (rated 'CCC-' and above). For example, if a CLO has exposure to an obligor that gets downgraded to a nonperforming rating ('CC', 'SD', or 'D'), the monitor metrics of the portfolio will exclude exposure to said obligor.

Non-Model Monitor Benchmarks

U.S. and European reinvesting broadly syndicated loan (BSL) CLO comparison

Table 1 shows the average fourth-quarter 2020 metrics for reinvesting U.S. and European BSL CLOs.

Table 1

Average Fourth-Quarter 2020 Metrics For Reinvesting BSL CLOs
	SPWARF	DRD	ODM	IDM	RDM	WAL (years)
European CLOs	2884	656	110.91	20.14	1.30	4.87
U.S. CLOs	2748	840	199.55	24.09	1.18	4.78
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, on RatingsDirect.

U.S. CLO metrics

Table 2 shows the fourth-quarter 2020 portfolio metrics for the S&P Global Ratings-rated U.S. CLOs (this list includes middle-market CLOs).

Table 2

Fourth-Quarter 2020 Metrics For S&P Global Ratings-Rated U.S. CLOs
Transaction	WAL (years)	ODM	IDM	RDM	SPWARF	DRD	Reinvesting
522 Funding CLO I Ltd.	5.20	152.38	20.71	1.16	2733	760	Y
ABPCI Direct Lending Fund CLO I Ltd.	3.20	57.04	6.44	1.00	3961	596	Y
ABPCI Direct Lending Fund CLO II Ltd.	3.20	57.29	8.54	1.00	3980	625	Y
ABPCI Direct Lending Fund CLO IV Ltd	3.15	51.97	6.74	1.00	3915	557	Y
ABPCI Direct Lending Fund CLO V Ltd.	3.51	55.81	6.22	1.00	3926	549	Y
ABPCI Direct Lending Fund CLO VI Ltd.	3.92	56.43	5.83	1.00	3880	475	Y
ABPCI Direct Lending Fund CLO VII LP	3.90	55.41	7.35	1.00	3853	433	Y
ABPCI Direct Lending Fund CLO VIII Ltd	3.64	58.93	5.78	1.00	3858	443	Y
ABPCI II Direct Lending Funding II LP	4.21	36.57	7.05	1.00	3850	415	Y
ACIS CLO 2014-3, Ltd.	2.92	36.27	16.25	1.10	3059	962
ACIS CLO 2014-4 Ltd	3.08	41.53	18.08	1.17	3198	974
ACIS CLO 2014-5 Ltd.	3.26	49.29	17.58	1.15	3227	957
ACIS CLO 2015-6 Ltd.	3.32	56.91	19.38	1.13	2996	1021
Addington Square Funding III L.P.	3.36	35.25	6.47	1.00	3853	399	Y
AGL CLO 3 Ltd.	5.53	173.23	26.45	1.20	2725	780	Y
AGL CLO 5 Ltd.	5.49	170.20	26.45	1.19	2592	784	Y
AGL CLO 6 Ltd.	5.48	171.13	25.23	1.17	2529	789	Y
AGL CLO 7 Ltd.	5.42	179.23	25.76	1.18	2533	779	Y
AIG CLO 2018-1, Ltd.	4.70	188.55	22.08	1.16	2850	667	Y
AIG CLO 2019-1, Ltd.	4.72	186.98	22.48	1.15	2819	677	Y
AIG CLO 2019-2, Ltd.	4.85	170.77	21.34	1.17	2796	663	Y
AIG CLO 2020-1 LLC	4.93	124.24	21.48	1.15	2762	659	Y
AIMCO CLO 10, Ltd.	4.85	207.00	25.51	1.14	2622	887	Y
Allegany Park CLO, Ltd.	4.97	177.14	17.40	1.21	2848	674	Y
Allegro CLO I, Ltd.	2.58	29.77	12.73	1.20	3408	870
Allegro CLO III, Ltd.	3.47	102.10	22.18	1.23	3290	828
Allegro CLO XI, Ltd.	4.93	230.11	24.98	1.22	2766	776	Y
ALM 2020, LTD.	4.50	132.41	25.09	1.27	2819	823	Y
ALM VII(R)-2, Ltd.	4.45	146.07	23.75	1.25	2756	904	Y
ALM VII, Ltd.	4.67	133.41	23.57	1.25	2788	877	Y
ALM XIX, Ltd.	4.65	116.59	22.66	1.27	2849	831	Y
ALM XVIII, Ltd.	4.54	101.34	22.06	1.31	2799	897	Y
AMMC CLO 19, Limited	4.08	304.25	28.69	1.13	2638	990	Y
AMMC CLO 20, Limited	4.35	308.49	27.35	1.13	2688	910	Y
AMMC CLO 21, Limited	4.43	332.06	27.41	1.14	2714	933	Y
AMMC CLO 22, Limited	4.39	324.96	29.02	1.12	2675	957	Y
AMMC CLO 23, Limited	4.98	206.43	22.28	1.16	2579	794	Y
AMMC CLO XI, Limited	4.37	305.42	29.43	1.13	2703	952	Y
AMMC CLO XII, Limited	4.34	294.74	31.43	1.11	2703	944	Y
AMMC CLO XIII, Limited	4.40	273.86	30.49	1.15	2603	959	Y
Anchorage Capital CLO 11, Ltd.	5.18	131.90	22.81	1.27	3168	659	Y
Anchorage Capital CLO 13, Ltd.	5.11	136.99	24.53	1.24	3181	662	Y
Anchorage Capital CLO 1-R, Ltd.	5.04	138.19	24.72	1.28	3251	673	Y
Anchorage Capital CLO 2018-10, Ltd.	5.02	138.52	25.59	1.26	3245	661	Y
Anchorage Capital CLO 3-R, Ltd.	5.02	142.92	24.77	1.24	3258	663	Y
Anchorage Capital CLO 4-R Ltd.	5.04	142.24	24.80	1.25	3250	673	Y
Anchorage Capital CLO 5-R Ltd	5.04	143.15	25.54	1.23	3238	686	Y
Anchorage Capital CLO 7, Ltd	4.82	125.18	25.36	1.25	3247	656
Anchorage Capital CLO 9, Ltd.	5.07	134.87	23.65	1.31	3199	695	Y
Anchorage Credit Opportunities CLO 1, Ltd.	4.95	93.25	28.59	1.25	3549	576	Y
Antares CLO 2017-1, Ltd.	3.45	161.35	23.47	1.01	3737	348	Y
Antares CLO 2017-2, Ltd.	3.38	143.98	21.58	1.02	3708	355	Y
Antares CLO 2018-1, Ltd.	3.50	134.31	23.48	1.01	3711	350	Y
Antares CLO 2018-2, Ltd.	3.59	139.19	22.86	1.01	3717	313	Y
Antares CLO 2018-3 Ltd.	3.60	132.85	22.37	1.02	3722	350	Y
Antares CLO 2019-1, Ltd.	3.47	135.10	20.38	1.01	3743	381	Y
Antares CLO 2019-2, Ltd.	3.81	131.91	23.75	1.02	3657	260	Y
Apex Credit CLO 2015-II Ltd.	3.93	174.98	23.47	1.18	3096	1046
Apex Credit CLO 2019-II Ltd.	5.02	189.18	26.05	1.19	2590	930	Y
Apidos CLO XI	4.56	194.85	28.53	1.19	2637	910	Y
Apidos CLO XV	4.60	208.02	28.85	1.21	2691	877	Y
Apidos CLO XVIII-R	4.58	200.10	28.25	1.17	2628	887	Y
Apidos CLO XXIII	4.45	204.99	27.27	1.19	2638	884	Y
Apidos CLO XXIV	4.58	210.30	27.22	1.19	2693	888	Y
Apidos CLO XXIX	4.63	223.74	27.60	1.21	2731	862	Y
Apidos CLO XXVI	4.51	204.25	27.54	1.18	2601	911	Y
Apidos CLO XXVIII	4.56	215.19	27.95	1.20	2664	901	Y
Apidos CLO XXX	4.61	213.76	26.42	1.20	2685	853	Y
Apidos CLO XXXI	4.66	208.64	25.95	1.21	2669	858	Y
Apollo Credit Funding IV Ltd	4.85	70.85	16.08	1.34	2960	736	Y
Apres Static CLO 2 Ltd.	4.64	141.20	21.59	1.09	2826	647	Y
Ares LI CLO Ltd.	5.01	200.29	18.38	1.22	2978	722	Y
Ares LII CLO Ltd.	4.98	213.37	19.08	1.24	2981	739	Y
Ares LIII CLO Ltd.	4.97	204.83	16.66	1.17	2943	733	Y
Ares LIV CLO Ltd.	5.05	194.93	17.86	1.20	2994	733	Y
Ares LV CLO Ltd.	4.89	167.64	16.24	1.17	2851	641	Y
Ares XLII CLO, Ltd.	4.86	205.73	19.39	1.20	3051	750	Y
Ares XLIV CLO Ltd.	4.88	210.13	18.93	1.22	3002	750	Y
Ares XLIX CLO Ltd.	4.95	212.53	18.83	1.18	2949	739	Y
ARES XLVI CLO Ltd.	4.91	210.83	18.79	1.21	3012	750	Y
Ares XLVII CLO Ltd.	4.93	210.93	19.15	1.19	3001	755	Y
Ares XLVIII CLO Ltd.	4.96	207.52	19.06	1.22	2965	738	Y
Ares XXVII CLO LTD	4.95	215.01	19.28	1.20	3001	729	Y
Ares XXVIIIR CLO Ltd	4.90	218.97	19.44	1.20	2987	758	Y
Ares XXXIIR CLO Ltd.	4.93	213.70	19.73	1.21	2997	745	Y
Ares XXXIR CLO Ltd.	4.90	223.60	19.83	1.20	2985	742	Y
ARES XXXIV CLO Ltd.	4.89	208.78	19.08	1.19	2950	742
Ares XXXIX CLO Ltd.	4.94	211.13	18.43	1.20	3040	762	Y
Ares XXXVIII CLO Ltd.	4.94	214.79	18.69	1.20	3025	752	Y
Atlas Senior Loan Fund III, Ltd.	4.38	133.44	25.71	1.12	2697	1062
Atlas Senior Loan Fund IX, Ltd.	4.03	139.66	29.35	1.11	2701	1042
Atlas Senior Loan Fund V, Ltd.	4.84	157.75	25.96	1.10	2566	979	Y
Atlas Senior Loan Fund VII Ltd.	4.90	169.84	26.03	1.11	2560	981	Y
Atlas Senior Loan Fund X, Ltd.	4.88	160.41	26.26	1.10	2605	957	Y
Atlas Senior Loan Fund XII, Ltd.	4.96	172.26	26.29	1.11	2624	965	Y
Atlas Senior Loan Fund XIII, Ltd.	4.88	169.66	26.44	1.10	2615	944	Y
Atlas Senior Loan Fund XV, Ltd.	5.01	167.61	25.26	1.12	2500	887	Y
Atlas Senior Secured Loan Fund VIII Ltd.	4.90	171.51	26.94	1.11	2601	978	Y
Audax Senior Debt CLO I, LLC	4.25	116.64	15.79	1.02	3606	561	Y
Audax Senior Debt CLO II, LLC	4.42	101.17	15.63	1.03	3645	472	Y
Audax Senior Debt CLO III LLC	4.43	105.29	14.52	1.03	3609	457	Y
Avery Point III CLO, Limited	3.01	35.01	19.84	1.24	2909	671
Avery Point IV CLO, Limited	3.20	61.33	22.33	1.21	2858	744
B&M CLO 2014-1, Ltd.	2.39	42.70	19.85	1.02	3275	937
Bain Capital Credit CLO 2016-2, Limited	4.92	264.09	24.09	1.23	2811	838	Y
Bain Capital Credit CLO 2017-1, Limited	4.83	263.66	22.69	1.24	2857	796	Y
Bain Capital Credit CLO 2017-2, Limited	4.89	269.79	23.81	1.20	2842	816	Y
Bain Capital Credit CLO 2018-1 Ltd	4.90	266.62	23.29	1.21	2872	786	Y
Bain Capital Credit CLO 2018-2, Limited	4.88	267.72	23.26	1.22	2847	778	Y
Bain Capital Credit CLO 2019-1 Ltd	4.90	276.70	24.85	1.25	2835	796	Y
Bain Capital Credit CLO 2019-2, Limited	4.93	274.50	24.50	1.22	2858	777	Y
Bain Capital Credit CLO 2019-4, Limited	4.97	274.80	24.30	1.26	2876	770	Y
Bain Capital Credit CLO 2020-1 Ltd.	5.11	232.97	19.04	1.24	2779	741	Y
Bain Capital Credit CLO 2020-2, Ltd.	5.03	220.03	22.13	1.20	2680	803	Y
Ballyrock CLO 2020-1 Ltd.	5.08	198.67	23.50	1.26	2475	830	Y
Ballyrock CLO 2020-2 Ltd.	5.26	203.61	23.69	1.24	2466	795	Y
Barings CLO Ltd. 2013-I	3.90	166.41	26.02	1.17	2643	941
Barings CLO Ltd. 2016-I	4.62	173.31	26.97	1.17	2748	913	Y
Barings CLO Ltd. 2017-I	4.58	198.17	26.49	1.17	2723	884	Y
Barings CLO Ltd. 2018-II	4.64	189.21	28.26	1.16	2660	915	Y
Barings CLO Ltd. 2018-III	4.60	192.26	28.79	1.15	2763	854	Y
Barings CLO Ltd. 2019-I	4.69	190.08	24.33	1.16	2826	768	Y
Barings CLO Ltd. 2019-II	4.65	185.46	26.13	1.18	2807	852	Y
Barings CLO Ltd. 2019-III	4.51	160.57	24.91	1.14	2808	824	Y
Barings CLO Ltd. 2019-IV	4.81	149.08	21.23	1.19	2847	718	Y
Barings CLO Ltd. 2020-I	5.05	101.28	21.13	1.25	2570	852	Y
Barings CLO Ltd. 2020-II	5.03	125.50	20.07	1.19	2653	829	Y
Barings Middle Market CLO Ltd. 2018-I	3.85	57.36	22.80	1.03	3867	678	Y
Barings Middle Market CLO Ltd. 2019-I	4.15	69.70	15.23	1.03	3906	621	Y
Battalion CLO XI Ltd.	4.88	170.14	25.96	1.26	2700	930	Y
Battalion CLO XV Ltd.	5.01	162.56	25.40	1.25	2626	861	Y
Battalion CLO XVI Ltd.	5.00	164.46	25.82	1.24	2600	880	Y
Battalion CLO XVIII Ltd.	5.14	161.65	24.73	1.28	2475	806	Y
Battery Park CLO Ltd	4.98	270.73	22.89	1.20	2680	770	Y
BCC Middle Market CLO 2018-1, LLC	4.15	44.39	14.34	1.07	3835	491	Y
BCC Middle Market CLO 2019-1 LLC	4.31	52.20	16.04	1.06	3891	560	Y
Beechwood Park CLO, Ltd.	5.01	199.10	19.66	1.21	2798	744	Y
Benefit Street Partners CLO II, Ltd.	4.59	272.44	28.00	1.16	2733	868	Y
Benefit Street Partners CLO III, Ltd.	4.62	274.09	27.34	1.14	2763	870	Y
Benefit Street Partners CLO IV, Ltd.	4.32	270.29	28.31	1.13	2723	864	Y
Benefit Street Partners CLO IX, Ltd.	4.65	280.50	27.89	1.17	2790	853	Y
Benefit Street Partners CLO V-B, Ltd.	4.60	276.77	28.14	1.14	2737	877	Y
Benefit Street Partners CLO VI Ltd.	4.59	282.86	26.86	1.13	2765	871	Y
Benefit Street Partners CLO VII, Ltd.	3.40	153.50	25.27	1.10	2934	925
Benefit Street Partners CLO VIII Ltd	4.63	286.29	26.95	1.15	2776	864	Y
Benefit Street Partners CLO X, Ltd.	4.59	279.35	28.85	1.14	2772	873	Y
Benefit Street Partners CLO XIV, Ltd.	4.68	283.60	27.89	1.12	2768	861	Y
Benefit Street Partners CLO XIX, Ltd.	4.81	297.49	27.07	1.15	2687	835	Y
Benefit Street Partners CLO XVII, Ltd.	4.73	282.87	27.90	1.13	2746	826	Y
Benefit Street Partners CLO XVIII, Ltd.	4.79	293.93	28.42	1.14	2670	842	Y
Benefit Street Partners CLO XX, Ltd.	5.12	248.29	25.40	1.14	2514	774	Y
Benefit Street Partners CLO XXI, Ltd.	5.12	245.96	26.65	1.14	2528	745	Y
Black Diamond CLO 2013-1, Ltd.	2.75	31.90	15.27	1.02	3253	1145
Black Diamond CLO 2014-1, Ltd.	2.98	45.64	17.13	1.03	3337	1052
Black Diamond CLO 2016-1, Ltd	4.48	155.24	21.55	1.18	2927	844	Y
Black Diamond CLO 2017-1, Ltd.	4.54	151.26	21.19	1.14	2943	858	Y
Black Diamond CLO 2019-2, Ltd.	4.60	144.36	20.80	1.16	2929	827	Y
Blue Ridge CLO Ltd. I	2.84	33.25	16.30	1.24	3080	1165
Blue Ridge CLO Ltd. II	3.09	49.32	17.15	1.11	2762	1035
BlueMountain CLO 2012-2 Ltd	4.85	259.08	24.09	1.18	3002	881
BlueMountain CLO 2013-1 Ltd.	4.20	217.79	27.58	1.18	2973	981	Y
BlueMountain CLO 2013-2 Ltd.	4.86	229.74	28.16	1.17	2879	950	Y
BlueMountain CLO 2014-2 Ltd.	4.95	249.81	28.36	1.23	2894	835	Y
BlueMountain CLO 2015-1 Ltd.	3.38	96.25	19.82	1.22	2913	996
BlueMountain CLO 2015-2 Ltd.	4.57	221.02	25.72	1.17	2984	928
BlueMountain CLO 2015-3 Ltd	4.87	248.45	26.28	1.17	2949	874	Y
BlueMountain CLO 2015-4 Ltd.	4.82	245.70	25.34	1.19	2925	923	Y
BlueMountain CLO 2016-1 Ltd	4.30	214.68	27.54	1.19	2907	937
BlueMountain CLO 2016-2 Ltd	4.87	263.46	25.10	1.17	3023	887	Y
BlueMountain CLO 2016-3 Ltd.	4.75	244.42	25.68	1.17	2898	903	Y
BlueMountain CLO 2018-1 Ltd.	4.92	229.16	26.62	1.18	2992	871	Y
BlueMountain CLO 2018-2 Ltd.	4.89	246.03	25.03	1.18	2968	845	Y
BlueMountain CLO 2018-3 Ltd.	4.82	246.80	27.32	1.17	3031	861	Y
BlueMountain CLO XXII Ltd.	4.86	212.00	26.63	1.24	2981	881	Y
BlueMountain CLO XXIII Ltd.	4.97	226.88	25.21	1.18	2947	829	Y
BlueMountain CLO XXIV Ltd.	5.01	226.12	23.42	1.17	2954	755	Y
BlueMountain CLO XXIX Ltd.	5.33	229.58	22.83	1.18	2641	779	Y
BlueMountain CLO XXV Ltd.	5.10	235.30	24.82	1.14	2867	784	Y
BlueMountain CLO XXVI Ltd.	5.16	238.81	24.01	1.17	2871	781	Y
BlueMountain Fuji US CLO I, Ltd.	4.83	230.33	26.84	1.21	2911	905	Y
BlueMountain Fuji US CLO II Ltd.	4.83	237.69	28.26	1.19	2940	876	Y
BlueMountain Fuji US CLO III Ltd.	4.83	215.06	26.58	1.23	2925	890	Y
BNPP IP CLO 2014-1, Ltd.	2.32	32.57	14.67	1.04	3916	993
BNPP IP CLO 2014-II, Ltd.	2.63	48.22	20.18	1.06	3726	1012
Bowman Park CLO Ltd.	3.31	80.65	17.35	1.14	2981	792
Brentwood CLO Ltd	0.59	2.19	2.19	1.00	5685	129
Brightwood Capital MM CLO 2019-1 Ltd.	3.68	44.91	14.00	1.00	4324	926	Y
Broad River BSL Funding CLO Ltd. 2020-1	4.84	170.39	21.89	1.16	2652	830	Y
Buckhorn Park CLO, Ltd.	4.63	165.08	21.33	1.13	2709	870	Y
Buttermilk Park CLO, Ltd.	4.56	216.46	21.38	1.21	2807	828	Y
California Street CLO IX Limited Partnership	4.71	191.96	22.62	1.14	2889	820
Canyon Capital CLO 2014-1 Ltd.	4.86	150.33	23.43	1.28	2779	862	Y
Canyon CLO 2019-2, Ltd.	5.17	195.08	20.61	1.30	2822	776	Y
Canyon CLO 2020-1, Ltd.	5.02	147.75	23.83	1.32	2545	785
Carlyle C17 CLO, Ltd.	4.85	224.48	30.85	1.20	2753	905	Y
Carlyle Direct Lending CLO 2015-1R LLC	3.37	43.21	13.05	1.05	3864	540	Y
Carlyle Global Market Strategies CLO 2012-3 Ltd.	4.84	264.54	27.45	1.19	2709	937	Y
Carlyle Global Market Strategies CLO 2012-4, LTD	4.86	257.05	28.57	1.18	2712	947	Y
Carlyle Global Market Strategies CLO 2013-2, Ltd.	4.51	239.15	30.35	1.16	2684	933	Y
Carlyle Global Market Strategies CLO 2013-3 Ltd	4.89	247.20	30.34	1.16	2683	939	Y
Carlyle Global Market Strategies CLO 2013-4, Ltd.	4.90	233.98	29.78	1.20	2750	925	Y
Carlyle Global Market Strategies CLO 2014-1, Ltd.	4.91	271.95	28.60	1.19	2731	916	Y
Carlyle Global Market Strategies CLO 2014-2-R, Ltd.	4.84	253.85	28.43	1.18	2692	927	Y
Carlyle Global Market Strategies CLO 2014-3-R, Ltd.	4.85	273.34	28.43	1.18	2730	933	Y
Carlyle Global Market Strategies CLO 2014-4-R, Ltd.	4.83	257.92	29.50	1.20	2736	920	Y
Carlyle Global Market Strategies CLO 2014-5, Ltd.	4.81	252.20	26.62	1.20	2715	935	Y
Carlyle Global Market Strategies CLO 2016-1, Ltd.	4.76	225.21	28.64	1.18	2750	930
Carlyle Global Market Strategies CLO 2016-2, Ltd.	4.60	245.58	30.59	1.17	2740	899	Y
Carlyle US CLO 2016-4, Ltd.	4.73	243.47	29.84	1.20	2751	934	Y
Carlyle US CLO 2017-3 Ltd	4.86	258.34	28.08	1.18	2714	929	Y
Carlyle US CLO 2017-5, Ltd.	4.82	240.86	29.98	1.19	2745	960	Y
Carlyle US CLO 2018-2 Ltd	4.82	259.90	29.19	1.17	2772	916	Y
Carlyle US CLO 2019-2, Ltd.	4.89	249.44	29.19	1.15	2769	842	Y
Carlyle US CLO 2019-3, Ltd.	4.93	258.81	27.94	1.16	2760	831	Y
Carlyle US CLO 2019-4, Ltd.	5.03	225.19	27.30	1.19	2777	820	Y
Carlyle US CLO 2020-1, Ltd.	5.36	217.52	23.82	1.19	2552	766	Y
Catamaran CLO 2014-2 Ltd.	3.17	80.05	23.46	1.31	2919	1046
Catamaran CLO 2015-1 Ltd	3.49	103.79	22.93	1.23	2875	1043
Catamaran CLO 2018-1 Ltd.	4.80	170.20	23.82	1.13	2614	900	Y
Cathedral Lake CLO 2013 Ltd	4.69	112.61	21.82	1.16	2703	857	Y
Cathedral Lake II, Ltd.	4.70	118.38	22.00	1.16	2719	831	Y
Cathedral Lake III, Ltd.	4.71	117.05	21.64	1.13	2725	835	Y
Cathedral Lake IV, Ltd.	4.69	116.57	21.79	1.14	2722	855	Y
Cathedral Lake V, Ltd.	4.68	107.56	19.10	1.20	2747	827	Y
Catskill Park CLO, Ltd.	4.50	210.56	21.80	1.17	2581	929	Y
Cayuga Park CLO, Ltd.	5.25	159.96	15.38	1.17	2627	799	Y
CBAM 2020-12, Ltd.	5.15	137.10	19.60	1.20	2496	722	Y
Cedar Funding II CLO Ltd	4.45	208.69	26.87	1.09	2743	879	Y
Cedar Funding IV CLO, Ltd.	4.50	222.20	26.96	1.11	2719	875	Y
Cedar Funding IX CLO, Ltd.	4.53	215.14	27.72	1.10	2749	854	Y
Cedar Funding V CLO Ltd	4.42	211.87	27.24	1.12	2695	867	Y
Cedar Funding VI CLO, Ltd.	4.40	219.21	28.00	1.11	2760	869	Y
Cedar Funding VII CLO, Ltd.	4.50	219.68	26.63	1.12	2739	850	Y
Cedar Funding VIII CLO Ltd	4.48	221.08	26.70	1.11	2738	874	Y
Cedar Funding X CLO, Ltd.	4.60	204.59	25.29	1.09	2706	822	Y
Cedar Funding XI CLO, Ltd.	4.53	188.50	26.65	1.10	2748	820	Y
Cent CLO 19 Limited	3.03	81.71	20.34	1.19	2620	967
Cent CLO 21 Limited	4.64	236.87	23.27	1.16	2528	954	Y
Cent CLO 24 Limited	3.89	197.42	24.15	1.18	2565	937
CFIP CLO 2013-1, Ltd	4.49	139.20	21.66	1.15	2686	797	Y
CFIP CLO 2014-1, Ltd.	4.53	136.18	22.01	1.16	2706	794	Y
CFIP CLO 2017-1, Ltd.	4.49	146.37	21.00	1.15	2747	824	Y
CFIP CLO 2018-1, Ltd.	4.55	143.83	20.37	1.15	2560	870	Y
Chenango Park CLO, Ltd.	4.57	207.13	20.58	1.16	2682	901	Y
Churchill Middle Market CLO IV Ltd.	4.25	72.36	18.63	1.00	3864	553	Y
CIFC Funding 2013-I, Ltd.	4.72	225.38	24.91	1.17	2793	828	Y
CIFC Funding 2013-II, Ltd.	4.73	230.69	24.97	1.17	2720	865	Y
CIFC Funding 2014, Ltd.	4.72	241.14	25.75	1.18	2693	872	Y
CIFC Funding 2014-III, Ltd.	4.83	230.26	22.44	1.15	2718	859	Y
CIFC Funding 2014-IV-R, Ltd.	4.78	237.96	23.67	1.13	2679	894	Y
CIFC Funding 2014-V, Ltd.	4.76	232.82	23.60	1.15	2776	857	Y
CIFC Funding 2016-I, Ltd.	4.71	237.45	23.13	1.13	2734	843	Y
CIFC Funding 2017-I, Ltd.	4.77	229.12	24.66	1.14	2700	885	Y
CIFC Funding 2019-IV, Ltd.	4.94	213.55	22.88	1.11	2732	740	Y
CIFC Funding 2019-VI, Ltd.	5.25	177.25	22.79	1.20	2828	733	Y
CIFC Funding 2020-I, Ltd	5.19	183.27	23.10	1.20	2681	701	Y
CIFC Funding 2020-II, Ltd.	5.27	178.55	19.26	1.13	2707	678	Y
CIFC Funding 2020-III, Ltd.	5.28	168.23	19.59	1.19	2687	684	Y
Columbia Cent CLO 27 Limited	4.59	230.18	24.08	1.16	2535	964
Columbia Cent CLO 28 Limited	4.58	233.75	24.46	1.17	2514	947	Y
Cook Park CLO, Ltd.	4.52	206.55	23.62	1.17	2682	931	Y
Crown City CLO I	5.33	157.99	23.01	1.15	2354	799	Y
Crown Point CLO 5 Ltd.	4.14	152.22	29.74	1.06	2763	930
Crown Point CLO 6 Ltd.	4.29	148.03	26.02	1.11	2732	960
Crown Point CLO 9 Ltd.	5.05	153.02	27.27	1.11	2348	810	Y
Cumberland Park CLO, Ltd.	4.15	191.69	20.99	1.18	2776	850
CVP CLO 2017-1 Ltd	4.53	152.57	26.63	1.11	2585	933	Y
CVP CLO 2017-2, Ltd.	4.53	155.25	26.83	1.11	2591	920	Y
Deerpath Capital CLO 2018-1 Ltd.	3.25	47.59	11.92	1.00	3988	697	Y
Deerpath Capital CLO 2020-1 Ltd.	3.37	48.56	13.52	1.00	3889	628	Y
Denali Capital CLO X, LTD.	3.73	196.57	25.18	1.07	2949	916
Diamond CLO 2018-1 Ltd.	3.33	46.93	21.42	1.06	3780	667
Diamond CLO 2019-1 Ltd.	3.76	57.06	21.91	1.15	3445	704
Dorchester Park CLO DAC	4.10	188.13	23.21	1.19	2780	844
Dryden 30 Senior Loan Fund	4.50	284.93	28.54	1.14	2644	961
Dryden 33 Senior Loan Fund	4.70	293.28	26.79	1.13	2659	944	Y
Dryden 36 Senior Loan Fund	4.70	288.74	26.89	1.13	2641	943	Y
Dryden 42 Senior Loan Fund	4.72	283.63	27.17	1.13	2656	941	Y
Dryden 47 Senior Loan Fund	4.66	296.56	28.11	1.14	2644	951	Y
Dryden 55 CLO, Ltd.	4.70	287.22	26.88	1.13	2662	935	Y
Dryden 65 CLO, Ltd.	4.75	300.23	26.85	1.14	2649	922	Y
Dryden 68 CLO, Ltd.	4.79	278.92	26.65	1.12	2657	902	Y
Dryden 70 CLO, Ltd.	4.76	294.42	26.39	1.14	2657	929	Y
Dryden 72 CLO, Ltd.	4.84	252.57	25.78	1.14	2689	918	Y
Dryden 75 CLO, Ltd.	4.73	271.65	27.58	1.13	2645	918	Y
Dryden 76 CLO, Ltd.	4.81	261.98	26.03	1.14	2696	905	Y
Dryden 77 CLO, Ltd.	4.98	197.72	28.10	1.13	2260	873	Y
Dryden 78 CLO, Ltd	4.88	258.29	27.96	1.14	2522	908	Y
Dryden 80 CLO Ltd.	4.94	256.12	26.25	1.14	2639	907	Y
Dryden 85 CLO, Ltd.	4.96	223.19	26.35	1.16	2488	873	Y
Dryden 86 CLO, Ltd.	4.99	207.27	25.72	1.14	2487	880	Y
Dryden XXV Senior Loan Fund	4.22	255.10	26.10	1.15	2709	972
Dryden XXVI Senior Loan Fund	4.72	271.08	26.36	1.13	2698	956	Y
Dryden XXVIII Senior Loan Fund	4.71	292.35	27.11	1.13	2679	936	Y
East West Investment Management CLO 2019-1, Limited	4.90	148.64	24.60	1.05	2839	697	Y
Eastland CLO Ltd	0.66	1.39	1.39	1.00	5623	240
Eaton Vance CLO 2013-1 LTD	4.56	222.12	24.36	1.15	2646	907	Y
Eaton Vance CLO 2015-1, Ltd.	4.64	218.45	23.64	1.15	2656	899	Y
Eaton Vance CLO 2020-1, Ltd.	4.91	186.38	22.18	1.17	2446	795	Y
Elevation CLO 2013-1 Ltd.	4.66	230.62	26.53	1.11	2608	958	Y
Elevation CLO 2015-4, Ltd.	3.46	86.47	16.08	1.09	3014	944
Elevation CLO 2020-11, Ltd.	4.66	227.86	25.02	1.07	2730	796	Y
Elmwood CLO I Ltd.	4.84	232.18	27.13	1.11	2690	853	Y
Elmwood CLO IV, Ltd.	4.90	227.83	26.67	1.12	2675	842	Y
Elmwood CLO V Ltd.	4.91	218.18	26.64	1.11	2601	838	Y
Elmwood CLO VI Ltd.	4.92	225.62	27.30	1.12	2615	833	Y
Figueroa CLO 2014-1, Ltd.	3.60	79.50	17.98	1.24	3231	826
Fillmore Park CLO, Ltd.	4.68	201.65	22.54	1.17	2694	888	Y
First Eagle Commercial Loan Funding 2016-1 LLC	3.52	87.17	23.45	1.01	3906	695	Y
Flagship CLO VIII Ltd	3.16	82.45	26.82	1.15	2942	1003
Flagship VII LTD	2.33	32.00	14.77	1.12	3366	883
Flatiron CLO 19 Ltd.	4.68	203.22	27.70	1.20	2646	792	Y
Fort Washington CLO 2019-1, Ltd.	5.05	166.57	26.70	1.14	2637	749	Y
Fortress Credit BSL III Limited	4.41	115.73	22.08	1.10	3022	775	Y
Fortress Credit BSL IV Limited	4.40	115.42	23.11	1.09	2962	766	Y
Fortress Credit BSL V Limited	4.37	111.81	22.82	1.08	3035	777	Y
Fortress Credit BSL VI Limited	4.29	109.41	21.48	1.08	3092	790	Y
Fortress Credit BSL VII Limited	4.56	98.17	23.87	1.13	3087	767	Y
Fortress Credit BSL VIII Ltd.	4.58	100.60	22.93	1.14	3163	744	Y
Fortress Credit Opportunities IX CLO Limited	3.48	62.52	12.66	1.01	4098	947	Y
Fortress Credit Opportunities VI CLO Limited	3.46	49.52	12.91	1.04	3854	967	Y
Fortress Credit Opportunities VII CLO Limited	3.73	59.39	12.50	1.03	4018	957	Y
Fortress Credit Opportunities XI CLO Limited	3.68	57.97	13.42	1.01	4017	943	Y
Fortress Credit Opportunities XIII CLO Limited	3.93	27.66	13.46	1.02	3592	569	Y
FS KKR MM CLO 1 LLC	3.77	41.70	19.50	1.11	3929	863	Y
Galaxy XIX CLO Ltd	4.68	192.78	26.56	1.29	2694	890	Y
Galaxy XV CLO, Ltd.	4.72	198.68	26.18	1.30	2734	879	Y
Galaxy XXII CLO, LTD	4.53	206.29	29.23	1.24	2577	947
Galaxy XXIII CLO, Ltd.	4.78	207.97	28.12	1.24	2611	935	Y
Galaxy XXVIII CLO, Ltd.	4.71	202.41	27.25	1.29	2713	864	Y
Garrison Funding 2018-1 LP	3.79	68.91	22.15	1.04	3516	777
Garrison Funding 2018-2 Ltd.	3.76	57.12	20.40	1.02	3663	560	Y
Garrison MML CLO 2019-1 LP	3.97	72.82	20.74	1.07	3355	940	Y
GCIC CLO II LLC	2.74	73.11	8.00	1.00	4029	684	Y
GCPF Loan Funding D L.P.	3.52	49.47	5.74	1.00	4005	613	Y
GLG Ore Hill CLO 2013-1, Ltd.	2.50	21.84	16.82	1.34	2873	1350
Goldentree Loan Management US CLO 1, Ltd.	4.56	135.96	25.74	1.28	2619	811	Y
GoldenTree Loan Management US CLO 3, Ltd.	4.80	135.66	24.30	1.27	2641	788	Y
GoldenTree Loan Management US CLO 4, Ltd.	4.82	135.32	24.20	1.24	2661	794	Y
GoldenTree Loan Management US CLO 5, Ltd.	4.99	124.76	25.12	1.22	2636	793	Y
GoldenTree Loan Management US CLO 6, Ltd.	5.00	130.27	23.69	1.25	2569	788	Y
GoldenTree Loan Management US CLO 7, Ltd.	5.07	124.44	21.50	1.25	2471	757	Y
GoldenTree Loan Opportunities IX, Limited	4.68	133.83	25.96	1.25	2670	774	Y
GoldenTree Loan Opportunities X, Limited	4.68	143.59	25.03	1.25	2613	802	Y
GoldenTree Loan Opportunities XII, Limited	4.77	135.59	24.12	1.25	2593	818	Y
Golub Capital BDC CLO 4 LLC	3.49	54.31	5.09	1.00	3694	315	Y
Golub Capital BDC CLO III LLC	2.81	55.54	6.88	1.00	3987	630	Y
Golub Capital Partners CLO 16 (M) -R Ltd.	3.01	68.31	9.66	1.00	4015	659	Y
Golub Capital Partners CLO 17(M)-R, Ltd.	3.20	65.80	11.42	1.00	3986	640	Y
Golub Capital Partners CLO 18(M)-R, Ltd.	3.17	74.99	10.30	1.00	4021	659	Y
Golub Capital Partners CLO 21(M)-R, Ltd.	3.29	75.28	9.37	1.00	4032	678	Y
Golub Capital Partners CLO 24 (M)-R Ltd.	3.20	73.34	10.89	1.00	4028	680	Y
Golub Capital Partners CLO 25(M)-R, Ltd.	3.32	67.33	8.09	1.00	3941	632	Y
Golub Capital Partners CLO 28(M)-R, L.P.	3.42	62.15	8.31	1.03	4057	663	Y
Golub Capital Partners CLO 30(M), Ltd.	3.84	50.07	9.47	1.00	4020	622
Golub Capital Partners CLO 31(M)-R, Ltd.	3.46	72.01	9.68	1.00	3949	573	Y
Golub Capital Partners CLO 33 (M), Ltd.	3.87	53.17	7.04	1.00	3949	560
Golub Capital Partners CLO 34(M)-R, Ltd.	3.56	59.96	7.46	1.00	4016	577	Y
Golub Capital Partners CLO 36(M), Ltd.	3.24	73.99	9.70	1.01	3999	683	Y
Golub Capital Partners CLO 37(B), Ltd.	4.57	176.83	16.23	1.07	3007	827	Y
Golub Capital Partners CLO 38(M), Ltd.	3.23	68.27	7.93	1.00	3951	595	Y
Golub Capital Partners CLO 39(B), Ltd.	4.62	166.31	14.87	1.07	3024	847
Golub Capital Partners CLO 42(M), Ltd.	3.49	65.22	9.73	1.00	3962	543	Y
Golub Capital Partners CLO 44(M), Ltd.	3.60	73.72	9.98	1.00	4073	705	Y
Golub Capital Partners CLO 45(M), Ltd.	3.73	55.86	7.49	1.00	3953	565	Y
Golub Capital Partners CLO 46(M), L.P.	3.73	50.57	10.84	1.00	3871	452	Y
Golub Capital Partners CLO 47(M), L.P.	3.47	57.82	8.50	1.00	3763	318	Y
Golub Capital Partners CLO 48(B), Ltd.	4.83	156.28	16.56	1.09	2791	747	Y
Golub Capital Partners CLO 49(M) LP	3.86	48.78	7.99	1.00	3793	352	Y
Grayson CLO Ltd	0.64	1.23	1.23	1.00	5751	0
Great Lakes CLO 2014-1, Ltd.	2.97	81.96	17.45	1.00	3878	512	Y
Great Lakes CLO 2019-1, Ltd.	3.57	71.61	17.98	1.00	3897	501	Y
Greenbriar CLO Ltd	0.60	1.89	1.89	1.00	5751	0
Greywolf CLO II, Ltd.	4.80	127.59	26.08	1.22	2891	896	Y
Greywolf CLO III, Ltd. (Re-issue)	4.92	134.29	27.10	1.23	2843	791	Y
Greywolf CLO IV, Ltd.	4.85	132.28	25.24	1.21	2851	840	Y
GREYWOLF CLO V LTD	4.89	135.25	25.95	1.21	2872	850	Y
Greywolf CLO VI, Ltd.	4.91	135.70	27.56	1.21	2851	817	Y
Greywolf CLO VII, Ltd.	4.87	134.61	26.62	1.24	2828	825	Y
Guggenheim CLO 2019-1 Ltd.	5.07	135.22	24.91	1.20	2741	876	Y
Guggenheim CLO 2020-1, Ltd.	5.15	112.18	25.54	1.14	2613	810	Y
Guggenheim MM CLO 2018-1 Ltd	3.98	63.51	18.64	1.10	3626	575	Y
Guggenheim MM CLO 2019-2, Ltd.	4.11	60.04	15.30	1.17	3670	520	Y
Gulf Stream Meridian 1 Ltd.	5.30	169.07	22.31	1.17	2571	813	Y
Gulf Stream Meridian 2 Ltd.	5.35	159.89	24.19	1.16	2548	805	Y
Halcyon Loan Advisors Funding 2012-1 Ltd.	1.87	8.42	5.07	1.00	4013	784
Halcyon Loan Advisors Funding 2013-1 Ltd.	2.25	22.19	14.54	1.03	3689	971
Halcyon Loan Advisors Funding 2014-2 Ltd.	2.80	37.76	16.24	1.16	3238	1286
Halcyon Loan Advisors Funding 2014-3 Ltd.	3.04	59.96	18.72	1.12	3289	1115
Halcyon Loan Advisors Funding 2017-2 Ltd.	4.83	199.17	25.72	1.35	2652	882	Y
Halcyon Loan Advisors Funding 2018-2 Ltd.	4.84	197.91	25.68	1.35	2645	894	Y
HalseyPoint CLO I, Ltd.	5.13	172.39	22.31	1.18	2595	819	Y
HalseyPoint CLO II, Ltd.	5.21	168.31	25.61	1.18	2304	719	Y
Harbor Park CLO, Ltd.	4.73	215.73	19.45	1.17	2739	874	Y
Harriman Park CLO, Ltd	4.86	156.94	16.54	1.17	2694	772	Y
Hayfin Kingsland IX, Ltd.	5.22	152.00	18.40	1.16	2783	837	Y
HPS Loan Management 10-2016, Ltd.	4.54	128.67	27.85	1.20	2595	969	Y
HPS Loan Management 12-2018, Ltd.	4.72	187.04	25.82	1.14	2709	882	Y
HPS Loan Management 13-2018, Ltd.	4.84	175.69	26.09	1.13	2744	857	Y
HPS Loan Management 14-2019, Ltd.	4.88	166.58	25.01	1.14	2742	837	Y
HPS Loan Management 15-2019, Ltd.	4.95	167.25	23.86	1.11	2671	863	Y
HPS Loan Management 2013-2 Ltd.	4.67	176.70	26.47	1.13	2723	900	Y
HPS Loan Management 3-2014 Ltd.	4.67	170.57	26.03	1.16	2722	885	Y
HPS Loan Management 4-2014, Ltd.	4.66	173.82	27.24	1.15	2751	891	Y
HPS Loan Management 5-2015, Ltd.	4.61	166.01	26.84	1.17	2741	876	Y
HPS Loan Management 6-2015, Ltd.	4.63	184.39	26.17	1.18	2710	945	Y
HPS Loan Management 7-2015, Ltd.	4.19	147.22	25.63	1.11	2704	921
HPS Loan Management 8-2016, Ltd.	4.68	178.99	25.71	1.16	2714	863	Y
HPS Loan Management 9-2016, Ltd.	4.65	188.73	26.34	1.16	2672	937	Y
Hull Street CLO Ltd	2.83	46.53	19.39	1.10	3220	1151
Ivy Hill Middle Market Credit Fund IX, Ltd.	4.04	95.06	20.38	1.03	3659	632	Y
Ivy Hill Middle Market Credit Fund VII, Ltd.	3.98	99.47	21.06	1.02	3732	643	Y
Ivy Hill Middle Market Credit Fund X Ltd	4.05	106.28	19.82	1.02	3763	708	Y
Ivy Hill Middle Market Credit Fund XII, Ltd.	3.87	112.37	17.61	1.02	3871	703	Y
Ivy Hill Middle Market Credit Fund XIV, Ltd.	3.96	90.46	15.46	1.02	3882	642	Y
Ivy Hill Middle Market Credit Fund XV, Ltd.	4.06	48.15	14.29	1.00	3847	634	Y
Jamestown CLO II Ltd	4.36	164.93	30.62	1.22	2771	880
Jamestown CLO XV Ltd.	4.84	165.52	29.61	1.22	2751	759	Y
Jay Park CLO, Ltd.	4.49	201.93	21.77	1.21	2682	912	Y
JFIN CLO 2012 Ltd.	4.12	138.28	19.49	1.18	2883	1024
JFIN CLO 2013 Ltd.	4.69	160.58	27.55	1.21	2771	1022	Y
JFIN CLO 2014 Ltd.	2.94	84.35	20.52	1.10	3421	1058
JFIN CLO 2015 Ltd.	3.50	125.23	20.99	1.10	2979	1022
Kayne CLO 7 Ltd.	5.00	212.22	22.71	1.17	2688	771	Y
Kayne CLO 8, Ltd.	5.06	187.35	23.45	1.18	2509	778	Y
KCAP F3C Senior Funding, LLC	4.34	64.32	20.41	1.00	3794	655	Y
KKR CLO 10 Ltd.	4.71	185.53	27.04	1.14	2845	960	Y
KKR CLO 27 Ltd.	4.87	201.36	24.73	1.18	2833	942	Y
KKR CLO 28 Ltd.	4.87	194.95	23.53	1.17	2855	873	Y
KKR CLO 30 Ltd.	5.05	169.91	24.34	1.13	2623	805	Y
KVK CLO 2013-1 Ltd.	3.93	120.81	20.97	1.10	2969	946
LCM 26 Ltd.	4.39	247.47	26.87	1.11	2593	847	Y
LCM 27 Ltd.	4.35	225.56	27.11	1.10	2657	822	Y
LCM 28 Ltd.	4.34	212.23	26.14	1.10	2663	793	Y
LCM 29 Ltd.	4.40	204.58	25.98	1.09	2668	797	Y
LCM 30 Ltd.	4.32	208.39	25.94	1.11	2673	769	Y
LCM XIII Limited Partnership	4.29	212.44	25.93	1.10	2602	850	Y
LCM XIX Limited Partnership	4.21	220.49	26.45	1.10	2554	886
LCM XVI Limited Partnership	4.43	254.55	26.66	1.11	2526	862	Y
LCM XVII Limited Partnership	4.39	223.48	26.83	1.10	2607	850	Y
LCM XVIII Limited Partnership	4.40	245.11	26.91	1.10	2557	859	Y
LCM XX Limited Partnership	4.24	216.73	25.92	1.10	2605	860
LCM XXI Limited Partnership	4.02	174.13	26.40	1.12	2673	809
LCM XXII Ltd.	4.37	217.84	26.30	1.10	2636	819	Y
LCM XXIII Ltd.	4.33	195.85	24.82	1.11	2673	801	Y
Long Point Park CLO, Ltd.	4.68	186.74	23.02	1.21	2647	951	Y
Longfellow Place CLO, Ltd.	4.46	143.46	27.79	1.13	2850	794	Y
Madison Park Funding X, Ltd.	4.54	229.70	23.37	1.26	2906	851	Y
Madison Park Funding XI, Ltd	4.69	219.35	22.48	1.25	2958	854	Y
Madison Park Funding XIII, Ltd.	4.59	228.49	24.01	1.24	2981	849	Y
Madison Park Funding XL Ltd	4.51	234.64	25.04	1.25	2893	865	Y
Madison Park Funding XLI Ltd	4.05	208.03	24.79	1.28	2904	877
Madison Park Funding XLII Ltd	4.49	240.84	22.92	1.27	2996	874	Y
Madison Park Funding XLIII Ltd	4.68	226.79	23.29	1.25	2951	855	Y
Madison Park Funding XLIV Ltd	4.56	242.49	23.48	1.26	2956	853	Y
Madison Park Funding XLV, Ltd.	5.03	176.27	19.78	1.18	2637	735	Y
Madison Park Funding XLVI, Ltd.	5.20	196.26	19.26	1.22	2754	697	Y
Madison Park Funding XV, Ltd.	3.39	99.56	23.57	1.28	3162	900
Madison Park Funding XVI, Ltd.	3.43	111.32	23.33	1.29	2998	876
Madison Park Funding XVIII, Ltd.	4.53	235.52	22.51	1.26	2983	853	Y
Madison Park Funding XX Ltd	4.55	227.12	23.01	1.27	2970	854	Y
Madison Park Funding XXI Ltd.	4.45	224.92	24.79	1.28	2910	847	Y
Madison Park Funding XXII, Ltd.	4.46	216.79	25.31	1.27	2860	854	Y
Madison Park Funding XXIII, Ltd.	4.49	228.63	22.89	1.26	3004	875	Y
Madison Park Funding XXIV, Ltd.	4.55	228.12	24.08	1.25	2903	882	Y
Madison Park Funding XXIX, Ltd.	4.64	237.46	22.16	1.26	2999	845	Y
Madison Park Funding XXV, Ltd.	4.48	219.09	24.82	1.27	2905	874	Y
Madison Park Funding XXVI, Ltd.	4.59	222.96	22.94	1.27	3011	898	Y
Madison Park Funding XXVII, Ltd.	4.57	235.69	23.14	1.25	2897	864	Y
Madison Park Funding XXVIII, Ltd.	4.66	231.22	23.82	1.26	2967	841	Y
Madison Park Funding XXX, Ltd.	4.63	237.29	24.18	1.23	2934	895	Y
Madison Park Funding XXXI, Ltd.	4.61	234.93	22.27	1.25	3023	831	Y
Madison Park Funding XXXII, Ltd.	4.64	227.05	21.54	1.28	3000	830	Y
Madison Park Funding XXXIII Ltd.	4.96	233.90	19.75	1.23	2904	771	Y
Madison Park Funding XXXIV, Ltd.	4.56	209.48	22.99	1.24	2989	829	Y
Madison Park Funding XXXV, Ltd.	4.74	232.70	20.58	1.23	2928	814	Y
Madison Park Funding XXXVI, Ltd.	4.99	234.10	19.45	1.22	2867	757	Y
Madison Park Funding XXXVII, Ltd.	4.81	212.33	19.72	1.25	2990	826	Y
Magnetite VII, Limited	4.82	215.43	26.58	1.14	2659	901	Y
Magnetite XXII, Limited	4.96	204.65	25.53	1.14	2681	862	Y
Magnetite XXIII, Limited	5.02	198.01	24.34	1.14	2670	866	Y
Magnetite XXIV Ltd.	4.98	195.67	24.93	1.14	2665	865	Y
Magnetite XXVI, Limited	4.89	167.16	22.14	1.12	2569	796	Y
Magnetite XXVII, Limited	4.87	176.13	22.47	1.13	2539	781	Y
MARANON LOAN FUNDING 2018-1, LTD.	3.25	58.71	15.75	1.00	3846	438	Y
Maranon Loan Funding 2019-1, Ltd.	3.28	59.54	15.06	1.00	3816	409	Y
Marathon CLO 14 Ltd.	4.70	187.10	27.29	1.25	2889	834	Y
Marathon CLO IX Ltd.	4.55	208.16	25.96	1.20	2963	863	Y
Marathon CLO V Ltd.	3.76	135.15	25.07	1.23	3323	963
Marathon CLO VI Ltd.	4.14	144.03	24.55	1.23	3128	1014
Marathon CLO VII Ltd.	2.94	61.34	17.84	1.17	3430	1071
Marathon CLO X Ltd	4.54	204.29	28.24	1.22	2958	827	Y
Marathon CLO XII Ltd.	4.53	184.16	25.94	1.23	2936	835	Y
Marble Point CLO XVII Ltd.	4.80	135.96	21.62	1.17	2821	745	Y
Marble Point CLO XVIII Ltd.	4.79	152.59	22.65	1.12	2696	764	Y
MCF CLO IV LLC	3.14	106.41	18.08	1.00	3867	547	Y
MCF CLO IX Ltd.	3.18	106.28	15.84	1.01	3889	596	Y
MCF CLO V LLC	3.13	101.54	15.15	1.01	3814	505	Y
MCF CLO VI LLC	3.15	94.64	16.74	1.04	3937	651	Y
MCF CLO VII LLC	2.88	98.61	15.21	1.00	3854	530	Y
MCF CLO VIII Ltd.	3.04	99.63	14.39	1.03	3829	472	Y
Medalist Partners Corporate Finance CLO VI Ltd.	4.82	201.53	27.45	1.11	2568	880	Y
MidOcean Credit CLO I	2.43	27.50	14.55	1.06	3006	1119
MidOcean Credit CLO II	4.50	129.01	25.76	1.16	2898	875	Y
MidOcean Credit CLO III	4.65	128.22	21.99	1.17	2881	908	Y
MidOcean Credit CLO IV	2.79	46.72	20.57	1.06	2925	1049
MidOcean Credit CLO IX	4.91	151.69	23.36	1.09	2823	853	Y
MidOcean Credit CLO VIII	4.85	160.10	25.17	1.16	2779	896	Y
MidOcean Credit CLO X	5.01	147.47	22.19	1.17	2815	773	Y
MMCF CLO 2017-1, LLC	2.69	17.38	11.70	1.00	3694	313
MMCF CLO 2019-2, LLC	3.90	23.63	12.13	1.00	3563	432
Monroe Capital CLO 2014-1, Ltd.	3.08	45.67	22.56	1.03	4086	842
Mountain Hawk II CLO, Ltd.	3.05	33.98	10.11	1.06	3334	848
Mountain Hawk III CLO, Ltd.	3.41	66.43	15.88	1.07	3112	795
Mountain View CLO 2013-1 Ltd.	4.74	189.02	24.26	1.27	2466	918	Y
Mountain View CLO 2014-1 Ltd.	3.23	56.15	18.33	1.40	2457	973
Mountain View CLO 2016-1 Ltd.	4.78	227.76	22.94	1.24	2516	868	Y
Mountain View CLO X, Ltd.	3.43	90.67	25.26	1.26	2369	951
Mountain View CLO XV Ltd.	4.93	205.24	22.01	1.27	2484	828	Y
Myers Park CLO, Ltd.	4.63	190.55	21.62	1.14	2707	916	Y
Nassau 2017-I Ltd.	4.53	206.51	28.30	1.08	2757	898	Y
Neuberger Berman CLO XIV, Ltd.	4.68	189.03	25.84	1.28	2663	820	Y
Neuberger Berman CLO XV Ltd	4.60	186.37	25.42	1.26	2654	818	Y
Neuberger Berman CLO XVII, Ltd.	4.71	189.82	25.28	1.27	2663	813	Y
Neuberger Berman CLO XVIII Ltd.	4.64	186.51	25.35	1.26	2708	782	Y
Neuberger Berman CLO XVI-S, Ltd.	3.85	116.84	24.49	1.26	2652	801
Neuberger Berman CLO XXI, Ltd	4.22	150.90	27.14	1.29	2584	875
Neuberger Berman CLO XXIII, Ltd.	4.61	186.82	25.45	1.26	2661	813	Y
Neuberger Berman CLO XXll Ltd	4.64	189.29	25.63	1.27	2705	783	Y
Neuberger Berman Loan Advisers CLO 25, Ltd.	4.57	189.28	25.50	1.25	2688	780	Y
Neuberger Berman Loan Advisers CLO 26, Ltd.	4.67	193.35	25.19	1.28	2708	760	Y
Neuberger Berman Loan Advisers CLO 28, Ltd.	4.71	184.23	25.66	1.28	2780	779	Y
Neuberger Berman Loan Advisers CLO 29, Ltd.	4.68	175.98	25.17	1.26	2778	799	Y
Neuberger Berman Loan Advisers CLO 30, Ltd.	4.72	182.65	26.81	1.25	2758	761	Y
Neuberger Berman Loan Advisers CLO 31, Ltd.	4.75	193.50	25.08	1.24	2750	757	Y
Neuberger Berman Loan Advisers CLO 32, Ltd.	4.71	200.71	25.72	1.24	2718	784	Y
Neuberger Berman Loan Advisers CLO 33, Ltd.	4.88	195.32	25.92	1.23	2718	744	Y
Neuberger Berman Loan Advisers CLO 34, Ltd.	4.93	179.30	23.39	1.25	2721	702	Y
Neuberger Berman Loan Advisers CLO 35, Ltd.	5.06	163.72	21.88	1.31	2804	661	Y
Neuberger Berman Loan Advisers CLO 36, Ltd.	5.08	174.45	22.07	1.28	2676	717	Y
Neuberger Berman Loan Advisers CLO 37 Ltd.	5.00	172.32	22.07	1.23	2657	729	Y
Neuberger Berman Loan Advisers CLO 38, Ltd.	4.96	144.49	20.48	1.16	2755	641	Y
Neuberger Berman Loan Advisors CLO 27, Ltd.	4.62	187.77	25.96	1.27	2658	812	Y
Newfleet CLO 2016-1 Ltd.	4.19	134.44	27.61	1.14	2615	924
NewStar Arlington Senior Loan Program LLC	3.59	99.30	22.50	1.01	3815	614	Y
NewStar Commerical Loan Funding 2017-1 LLC	2.96	50.08	20.02	1.00	3865	578
NewStar Exeter Fund CLO LLC	3.07	41.30	16.99	1.00	3764	512
NewStar Fairfield Fund CLO Ltd	3.79	94.46	23.90	1.04	3755	590	Y
Niagara Park CLO, Ltd.	4.76	200.55	19.33	1.13	2822	776	Y
Northwoods Capital 20, Limited	4.64	129.79	25.40	1.14	2778	827	Y
Northwoods Capital 22, Limited	4.91	88.03	23.99	1.16	2562	794	Y
Northwoods Capital XI-B, Limited	4.54	155.13	27.71	1.13	2828	917	Y
NXT Capital CLO 2015-1 LLC	2.70	45.94	13.08	1.00	3929	614
NXT Capital CLO 2017-1, LLC	3.18	77.33	17.12	1.00	3914	583	Y
NXT Capital CLO 2017-2, LLC	3.22	69.60	13.70	1.00	3916	538	Y
Oaktree CLO 2014-1 Ltd.	4.58	165.91	25.27	1.09	2690	1062	Y
Oaktree CLO 2015-1 Ltd	4.03	149.69	26.70	1.09	2641	993
Oaktree CLO 2018-1 Ltd.	4.82	217.35	27.44	1.14	2644	972	Y
Oaktree CLO 2019-1 Ltd.	4.82	229.09	27.73	1.16	2588	973	Y
Oaktree CLO 2019-2 Ltd.	4.76	206.46	26.87	1.14	2653	977	Y
Oaktree CLO 2019-3, Ltd.	4.83	220.10	27.26	1.12	2621	965	Y
Oaktree CLO 2019-4, Ltd.	4.91	241.05	28.35	1.14	2604	953	Y
Oaktree CLO 2020-1 Ltd.	4.90	160.92	27.15	1.18	2386	890	Y
Oaktree EIF III Series I, Ltd.	4.45	211.24	27.32	1.11	2618	996
Oaktree EIF III Series II Ltd	4.84	227.13	28.06	1.16	2592	944	Y
Ocean Trails CLO 8	4.87	150.82	25.16	1.29	2413	757	Y
Ocean Trails CLO IV	3.07	55.63	20.53	1.16	3248	1176
Ocean Trails CLO IX	4.84	151.58	25.44	1.28	2456	749	Y
Ocean Trails CLO V	4.43	187.58	25.97	1.25	2704	941	Y
Ocean Trails CLO VII	4.54	167.42	27.31	1.23	2843	916	Y
Ocean Trails CLO X	5.04	147.94	23.80	1.36	2466	734	Y
OCP CLO 2013-4, Ltd.	4.39	199.42	26.64	1.26	2716	888	Y
OCP CLO 2014-5, Ltd.	4.64	207.30	27.68	1.26	2718	910	Y
OCP CLO 2014-6, Ltd.	4.65	220.47	27.39	1.28	2700	896	Y
OCP CLO 2014-7, Ltd.	4.65	210.26	27.30	1.28	2736	904	Y
OCP CLO 2015-10, Ltd.	3.40	101.40	27.59	1.22	2716	984
OCP CLO 2015-8, Ltd.	3.27	86.54	25.58	1.25	2875	856
OCP CLO 2015-9 Ltd	3.27	87.69	27.04	1.24	2712	919
OCP CLO 2016-11, Ltd.	4.66	217.04	27.21	1.27	2767	897	Y
OCP CLO 2016-12, Ltd.	4.45	208.47	28.30	1.29	2769	874
OCP CLO 2017-13 Ltd.	4.61	225.97	28.12	1.29	2747	854	Y
OCP CLO 2017-14, Ltd.	4.65	225.02	27.55	1.30	2722	856	Y
OCP CLO 2018-15, Ltd.	4.72	226.53	27.63	1.31	2691	849	Y
OCP CLO 2019-16, Ltd.	4.78	216.87	25.80	1.31	2666	825	Y
OCP CLO 2019-17 Ltd.	4.82	208.61	24.96	1.30	2646	819	Y
OCP CLO 2020-18, Ltd.	5.10	173.74	22.77	1.30	2625	852	Y
OCP CLO 2020-19, Ltd.	5.04	170.15	22.63	1.29	2597	831	Y
Octagon Investment Partners 18-R, Ltd.	4.86	250.67	24.86	1.19	2689	903	Y
Octagon Investment Partners 25 LTD	3.28	95.16	22.55	1.10	2632	1017
Octagon Investment Partners 26, Ltd.	4.88	208.20	23.83	1.20	2633	930	Y
Octagon Investment Partners 27, Ltd.	4.90	202.60	24.39	1.22	2618	930	Y
Octagon Investment Partners 28 Ltd	4.78	224.64	22.17	1.18	2597	895	Y
Octagon Investment Partners 29, Ltd.	4.87	176.50	22.40	1.16	2632	910	Y
Octagon Investment Partners 32, Ltd.	4.82	228.36	24.08	1.18	2661	856	Y
Octagon Investment Partners 33, Ltd.	5.02	177.00	23.79	1.15	2568	879	Y
Octagon Investment Partners 34, Ltd.	4.87	216.45	21.97	1.20	2661	874	Y
Octagon Investment Partners 35 Ltd.	4.87	236.48	24.51	1.21	2683	936	Y
Octagon Investment Partners 36, Ltd.	4.80	212.97	21.55	1.19	2626	882	Y
Octagon Investment Partners 37, Ltd.	4.96	188.82	23.37	1.18	2611	907	Y
Octagon Investment Partners 38, Ltd.	4.98	224.95	24.34	1.17	2671	911	Y
Octagon Investment Partners 40, Ltd.	5.02	177.31	26.05	1.16	2617	897	Y
Octagon Investment Partners 44, Ltd.	5.06	199.54	24.09	1.19	2691	853	Y
Octagon Investment Partners 45, Ltd.	5.28	175.46	24.78	1.17	2656	835	Y
Octagon Investment Partners 46, Ltd.	5.37	173.21	24.14	1.20	2562	832	Y
Octagon Investment Partners 47, Ltd.	5.25	159.25	23.34	1.19	2467	824	Y
Octagon Investment Partners 48, Ltd.	5.45	180.14	21.70	1.19	2554	789	Y
Octagon Investment Partners XIV Ltd.	4.88	208.66	24.80	1.19	2593	946	Y
Octagon Investment Partners XV, Ltd.	4.79	240.21	23.94	1.18	2638	907	Y
Octagon Investment Partners XVI, Ltd.	4.97	245.90	24.49	1.17	2657	894	Y
Octagon Investment Partners XVII, Ltd.	4.93	237.07	24.24	1.18	2663	924	Y
Octagon Investment Partners XXII, Ltd.	4.89	216.48	23.51	1.19	2664	899	Y
OFSI BSL IX, Ltd.	4.51	183.45	23.43	1.13	2662	770	Y
OFSI BSL VIII, LTD	4.39	178.41	22.61	1.12	2698	768	Y
OFSI Fund VI, Ltd.	2.18	21.61	9.19	1.00	3487	983
OFSI Fund VII, Ltd.	2.86	2.66	2.66	1.00	3449	572
OHA Credit Funding 1, Ltd.	4.88	154.33	22.78	1.19	2858	879	Y
OHA Credit Funding 2, Ltd.	4.86	155.84	23.47	1.20	2854	861	Y
OHA Credit Funding 3, Ltd.	4.90	154.36	23.19	1.19	2822	842	Y
OHA Credit Funding 4, Ltd.	4.98	154.47	24.09	1.23	2758	852	Y
OHA Credit Funding 5, Ltd.	5.15	143.26	22.57	1.20	2755	786	Y
OHA Credit Funding 6, Ltd.	5.13	126.74	22.20	1.20	2698	710	Y
OHA Credit Funding 7, Ltd.	5.35	100.83	22.73	1.15	2653	770	Y
OHA Credit Partners VII, Ltd.	4.54	132.92	23.52	1.14	2817	924	Y
OHA Credit Partners XI, Ltd.	4.79	156.56	23.54	1.18	2845	894	Y
OHA Credit Partners XII, Ltd.	4.73	162.03	24.94	1.19	2875	868	Y
OHA Credit Partners XIV, Ltd.	4.77	157.56	23.10	1.19	2814	915	Y
OHA Credit Partners X-R, Ltd.	4.70	156.25	25.53	1.23	2843	890	Y
OHA Credit Partners XV, Ltd.	4.68	154.55	23.70	1.20	2835	910	Y
OHA Loan Funding 2013-1, Ltd.	4.76	155.05	23.98	1.20	2875	852	Y
OHA Loan Funding 2013-2, Ltd.	4.77	148.26	23.61	1.17	2855	889	Y
OHA Loan Funding 2015-1 Ltd.	4.66	157.20	26.04	1.20	2869	877	Y
OHA Loan Funding 2016-1, Ltd.	4.73	159.50	25.26	1.20	2904	871	Y
ORCC Financing II LLC	3.11	16.73	12.59	1.00	3585	384
ORCC Financing IV LLC	4.12	17.56	14.74	1.00	4012	869	Y
ORCC II Financing II LLC	4.98	26.45	11.32	1.06	4094	772	Y
Owl Rock CLO II, Ltd.	4.08	42.13	18.46	1.04	3832	587	Y
Owl Rock CLO III, Ltd.	4.55	43.62	17.94	1.03	3838	553	Y
Owl Rock CLO IV, Ltd.	4.46	41.20	16.11	1.06	3782	517	Y
OZLM Funding II, Ltd.	4.67	182.21	26.41	1.29	2660	1035	Y
OZLM Funding III, Ltd.	4.23	177.13	27.25	1.28	2681	1009	Y
OZLM Funding IV, Ltd.	4.72	182.21	26.92	1.28	2658	1060	Y
OZLM Funding Ltd	4.74	179.40	26.09	1.27	2633	1057	Y
OZLM XXIV, Ltd.	5.01	143.70	25.20	1.26	2700	932	Y
Palmer Square CLO 2014-1, Ltd.	4.70	239.07	20.51	1.13	2657	895	Y
Palmer Square CLO 2015-1 Ltd	4.72	248.68	20.42	1.12	2652	894	Y
Palmer Square CLO 2015-2 Ltd	4.75	238.82	20.30	1.13	2641	899	Y
Palmer Square CLO 2018-1, Ltd.	4.75	244.82	20.24	1.13	2603	881	Y
Palmer Square CLO 2018-2, Ltd.	4.78	249.49	20.65	1.13	2584	874	Y
Palmer Square CLO 2018-3, Ltd.	4.69	231.52	19.69	1.13	2668	877	Y
Palmer Square CLO 2019-1 Ltd.	4.84	245.45	19.26	1.13	2546	837	Y
Palmer Square CLO 2020-1 Ltd.	5.07	195.05	18.26	1.13	2421	810	Y
Palmer Square CLO 2020-2, Ltd.	5.01	216.78	17.89	1.15	2426	794	Y
Parallel 2019-1 Ltd.	4.95	216.27	22.30	1.16	2834	824	Y
Park Avenue Institutional Advisers CLO Ltd 2017-1	4.60	146.31	23.17	1.08	2740	816	Y
Park Avenue Institutional Advisers CLO Ltd 2018-1	4.66	138.87	22.99	1.08	2676	810	Y
Park Avenue Institutional Advisers CLO Ltd 2019-1	4.67	138.23	23.86	1.08	2711	783	Y
Park Avenue Institutional Advisers CLO Ltd 2019-2	4.66	134.96	23.61	1.08	2638	762	Y
Park Avenue Institutional Advisers CLO Ltd. 2016-1	4.60	138.49	23.82	1.06	2771	800	Y
Parliament Funding II Ltd.	4.97	41.30	14.49	1.00	3529	484	Y
Parliament Funding II Ltd.	4.97	41.30	14.49	1.00	3529	484	Y
Peaks CLO 1, Ltd.	4.48	128.51	19.87	1.02	3277	727	Y
Peaks CLO 3, Ltd.	4.57	140.55	19.98	1.01	3166	675	Y
PennantPark CLO I, Ltd.	3.52	47.54	18.89	1.00	3907	722	Y
Pikes Peak CLO 6	5.23	179.71	20.06	1.27	2488	832	Y
Pulsar Funding I, Ltd.	4.60	108.31	18.42	1.11	2958	823	Y
Race Point IX CLO, Limited	4.86	269.77	23.19	1.23	2843	804	Y
Race Point VIII CLO, Limited	4.85	270.73	23.51	1.25	2854	798	Y
Race Point X CLO, Limited	4.88	263.69	23.59	1.23	2879	814	Y
Regatta II Funding L.P.	4.77	231.30	22.05	1.16	2771	777	Y
Regatta XII Funding Ltd.	4.87	231.18	21.77	1.16	2743	747	Y
Regatta XVI Funding Ltd.	4.90	229.29	21.81	1.15	2740	755	Y
Romark WM-R Ltd.	4.68	231.20	23.73	1.11	2755	841	Y
RR 1 Ltd	4.56	134.19	21.93	1.27	2730	898	Y
RR 10 Ltd.	4.95	113.79	19.58	1.24	2796	695	Y
RR 2 LTD	4.49	124.78	21.97	1.27	2804	828	Y
RR 3 LTD	4.59	146.11	21.63	1.26	2873	855	Y
RR 4 LTD	4.61	148.55	22.06	1.25	2851	853	Y
RR 5 LTD	4.64	132.64	21.58	1.25	2863	800	Y
RR 6 Ltd	4.67	143.59	21.13	1.25	2843	793	Y
RR 7 Ltd.	4.78	135.40	21.39	1.20	2764	811	Y
RR 8 Ltd.	5.04	126.74	21.35	1.16	2701	806	Y
RR 9 Ltd	5.11	122.71	20.41	1.25	2715	728	Y
SCFF 1 Ltd	5.15	136.79	18.76	1.21	2702	772	Y
Shackleton 2013-III CLO, Ltd.	4.66	189.57	26.91	1.20	2816	828	Y
Shackleton 2015-VIII CLO, Ltd.	4.05	153.33	25.72	1.19	2801	884
Shackleton 2016-IX CLO, Ltd.	4.54	192.02	26.07	1.18	2802	827	Y
Shackleton 2019-XV CLO Ltd.	4.79	187.40	25.89	1.17	2826	693	Y
Signal Peak CLO 1, Ltd.	4.41	214.19	22.61	1.15	2652	864	Y
Signal Peak CLO 2, LLC	4.42	220.18	22.20	1.14	2683	842	Y
Signal Peak CLO 3, Ltd.	4.50	226.30	22.14	1.14	2685	836	Y
Signal Peak CLO 4, Ltd.	4.49	234.16	21.39	1.15	2739	803	Y
Signal Peak CLO 5, Ltd.	4.51	231.39	22.55	1.15	2736	826	Y
Signal Peak CLO 6, Ltd.	4.56	219.43	21.81	1.14	2718	801	Y
Signal Peak CLO 7, Ltd.	4.71	183.43	21.45	1.11	2711	829	Y
Signal Peak CLO 8, Ltd.	4.80	214.77	20.99	1.12	2585	748	Y
Sixth Street CLO XVI Ltd.	5.29	178.40	15.04	1.22	2748	699
Sound Point CLO II, Ltd.	4.80	206.02	24.28	1.16	2645	946	Y
Sound Point CLO XXVI, Ltd.	5.11	223.81	27.18	1.20	2470	823	Y
Southwick Park CLO, Ltd.	4.86	194.82	19.39	1.20	2803	816	Y
SP-Static CLO 1, Ltd.	4.45	126.83	18.27	1.09	2553	719	Y
Staniford Street CLO, Ltd.	2.52	31.09	13.49	1.02	3373	1170
Steele Creek CLO 2019-2 Ltd.	4.87	189.11	25.25	1.11	2547	954	Y
Stewart Park CLO Ltd.	4.60	224.68	22.53	1.21	2630	907	Y
Stratus CLO 2020-2, Ltd.	4.97	139.64	17.90	1.21	2580	824	Y
Symphony CLO XV, Ltd.	4.65	202.64	24.58	1.15	2785	878	Y
Symphony CLO XVIII, Ltd.	4.65	180.93	22.22	1.13	2834	810	Y
SYMPHONY CLO XXI, LLC	4.86	184.41	19.35	1.13	2801	762	Y
Symphony CLO XXII, Ltd.	5.00	161.43	19.92	1.14	2863	696	Y
TCP Waterman CLO, LLC	3.75	61.57	8.10	1.16	4211	863	Y
TCP Whitney CLO, Ltd	3.95	62.15	9.69	1.16	4188	842	Y
TCW CLO 2017-1, Ltd	4.83	203.75	22.53	1.21	2741	913	Y
TCW CLO 2018-1, Ltd.	4.86	217.79	22.28	1.20	2765	869	Y
TCW CLO 2019-1 AMR, LTD.	4.38	190.23	25.23	1.18	2792	929	Y
TCW CLO 2019-2, Ltd.	5.04	210.89	22.76	1.18	2783	808	Y
TCW CLO 2020-1, Ltd.	4.83	138.58	21.24	1.18	2921	765	Y
Telos CLO 2013-4, Ltd.	4.73	111.03	23.30	1.11	2756	986	Y
Telos CLO 2014-5, Ltd.	4.32	101.05	23.59	1.11	2758	1070
Telos CLO 2014-6, Ltd.	3.78	54.55	16.89	1.08	3252	947
Thayer Park CLO, Ltd	4.48	183.06	22.88	1.19	2643	942	Y
TIAA Churchill Middle Market CLO I Ltd.	3.92	65.86	18.32	1.00	3963	672	Y
TIAA Churchill Middle Market CLO II Ltd.	4.13	60.72	17.71	1.00	3972	657	Y
TIAA CLO I Ltd.	4.73	168.60	25.76	1.15	2740	864	Y
TIAA CLO II Ltd.	4.49	165.72	26.88	1.18	2819	850	Y
TIAA CLO IV Ltd.	4.77	168.99	26.18	1.18	2744	857	Y
TICP CLO VII, LTD.	4.75	236.12	18.14	1.18	2895	815	Y
TICP CLO XIV, Ltd.	4.92	187.10	16.41	1.15	2957	715	Y
TICP CLO XV, Ltd.	5.02	195.29	14.15	1.20	2863	678	Y
Tralee CLO II, Ltd.	4.60	161.97	22.73	1.08	2742	960	Y
Tralee CLO IV, Ltd.	4.69	166.95	23.88	1.09	2682	923	Y
Tralee CLO V, Ltd.	3.97	149.12	23.76	1.09	2682	928
Tralee CLO VI, Ltd.	4.93	152.07	24.01	1.08	2590	853	Y
Trestles CLO III, Ltd.	5.18	167.40	23.19	1.14	2791	706	Y
Trimaran CAVU 2019-1 Ltd.	4.90	205.16	24.68	1.11	2578	796	Y
Trimaran CAVU 2019-2 Ltd.	4.94	205.30	24.89	1.13	2503	797	Y
Trinitas CLO II, Ltd.	3.41	45.09	16.98	1.15	2743	1052
Trinitas CLO IV, Ltd.	4.64	173.28	18.90	1.07	2818	845	Y
Trinitas CLO V, Ltd.	4.36	163.94	19.46	1.07	2741	832
Tryon Park CLO, Ltd.	4.62	195.80	20.37	1.18	2706	871	Y
VCO CLO 2018-1, LLC	4.53	39.49	2.12	1.20	3705	384
Venture 33 CLO, Limited	4.96	345.74	30.01	1.17	2637	955	Y
Venture XII CLO, Ltd	3.81	288.35	26.68	1.18	2941	946
Venture XIV CLO Limited	4.58	205.53	26.90	1.16	2762	940	Y
Venture XX CLO, Limited	4.04	319.95	26.55	1.17	2813	985
Venture XXI CLO, Limited	4.06	335.20	27.72	1.18	2738	1013
Voya CLO 2012-4, Ltd.	4.72	321.89	23.21	1.14	2761	863
Voya CLO 2013-1, Ltd.	4.71	313.62	24.31	1.16	2722	916	Y
Voya CLO 2013-2 Ltd.	4.71	295.43	24.19	1.15	2722	891	Y
Voya CLO 2013-3, Ltd	4.70	282.38	22.11	1.14	2732	869	Y
Voya CLO 2014-1, Ltd.	4.73	317.14	23.66	1.15	2746	887	Y
Voya CLO 2014-4, Ltd.	4.73	299.54	22.73	1.15	2781	836	Y
Voya CLO 2015-3, Ltd.	4.68	311.08	24.17	1.15	2724	885	Y
Voya CLO 2016-1Ltd	4.73	313.29	23.92	1.15	2688	895	Y
Voya CLO 2016-3, Ltd.	4.72	321.99	23.55	1.15	2686	891	Y
Voya CLO 2017-2, Ltd	4.68	332.61	23.38	1.15	2670	906	Y
Voya CLO 2017-3 Ltd.	4.67	318.87	23.07	1.17	2718	881	Y
VOYA CLO 2017-4, LTD.	4.68	311.09	24.02	1.15	2768	864	Y
Voya CLO 2018-1, Ltd.	4.70	317.07	23.62	1.15	2755	893	Y
Voya CLO 2018-2, Ltd.	4.69	314.47	22.45	1.14	2772	901	Y
Voya CLO 2018-3, Ltd.	4.77	318.52	22.66	1.13	2753	901	Y
Voya CLO 2018-4, Ltd.	4.78	289.43	21.62	1.11	2761	871	Y
Voya CLO 2019-1, Ltd.	4.71	314.27	23.62	1.13	2800	868	Y
Voya CLO 2019-2, Ltd.	4.82	288.85	21.82	1.12	2680	871	Y
Voya CLO 2019-3 Ltd	4.91	272.47	21.96	1.14	2647	855	Y
Voya CLO 2019-4, Ltd.	4.98	271.53	22.06	1.12	2590	860	Y
Voya CLO 2020-1, Ltd.	5.10	250.86	21.69	1.15	2575	813	Y
Voya CLO 2020-2 Ltd.	4.85	229.01	19.70	1.15	2581	738	Y
Webster Park CLO, Ltd.	4.54	203.84	21.81	1.17	2684	935	Y
Wellfleet CLO 2020-2, Ltd.	5.00	190.92	19.95	1.14	2549	814	Y
West CLO 2013-1 Ltd.	2.65	15.64	9.57	1.14	3443	598
Westchester CLO Ltd	0.62	2.09	2.09	1.00	5616	254
Whitebox CLO I Ltd.	5.23	178.06	30.60	1.13	2523	796	Y
WhiteHorse VII, Ltd.	2.42	2.19	2.19	1.00	4324	540
WhiteHorse XII Ltd.	4.49	156.89	25.27	1.12	2763	932	Y
Wind River 2012-1 CLO Ltd.	3.25	59.18	19.50	1.15	3164	918
Wind River 2013-1 CLO Ltd.	4.43	151.94	17.17	1.14	3095	811	Y
Wind River 2013-2 CLO Ltd.	4.72	183.86	19.59	1.17	2903	827	Y
Wind River 2014-3 CLO Ltd.	4.77	152.13	20.84	1.18	2846	720	Y
Wind River 2018-1 CLO Ltd.	4.69	191.22	22.09	1.21	2801	822	Y
Wind River 2018-2 CLO Ltd.	4.67	213.51	21.34	1.19	2869	810	Y
Wind River 2018-3 CLO Ltd.	4.82	191.28	21.56	1.15	2849	715	Y
Wind River 2019-1 CLO Ltd.	4.91	186.64	19.02	1.15	2827	750	Y
Wind River 2019-2 CLO Ltd.	5.10	185.36	15.98	1.12	2844	677	Y
Wind River 2019-3 CLO Ltd.	4.84	199.00	22.11	1.13	2770	782	Y
Woodmont 2017-1 Trust	3.77	84.17	19.78	1.00	3917	593	Y
Woodmont 2017-2 Trust	3.58	79.42	15.19	1.00	3956	626	Y
Woodmont 2017-3 LP	3.43	66.87	17.73	1.05	3992	772	Y
Woodmont 2018-4 Trust	3.23	75.80	16.41	1.00	3907	604	Y
Woodmont 2018-5 Trust	3.45	65.90	17.36	1.00	4140	768	Y
Woodmont 2019-6 LP	3.37	52.31	14.77	1.02	4092	740	Y
York CLO-4 Ltd.	4.59	202.57	29.25	1.18	2743	967	Y
York CLO-7 Ltd.	4.83	192.34	27.65	1.17	2799	857	Y
Z Capital Credit Partners CLO 2015-1 Ltd.	3.29	67.25	23.33	1.17	2961	967
Zais CLO 1, Limited	3.93	130.88	26.35	1.12	3089	1024
ZAIS CLO 15, Limited	4.79	146.32	24.02	1.16	2746	858	Y
ZAIS CLO 15, Limited	4.79	146.32	24.02	1.16	2746	858	Y
ZAIS CLO 16, Limited	4.77	140.05	21.38	1.14	2658	827	Y
ZAIS CLO 8, LIMITED	4.52	177.10	24.39	1.12	2909	913	Y
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.

European CLO metrics

Table 3 shows the fourth-quarter 2020 portfolio metrics for the S&P Global Ratings-rated European CLOs.

Table 3

Fourth-Quarter 2020 Metrics For European CLOs Rated By S&P Global Ratings
Transaction	WAL	ODM	IDM	RDM	SPWARF	DRD	Reinvesting
Accunia European CLO II B.V.	4.82	89.25	20.97	1.20	2861	661	Y
Accunia European CLO IV DAC	4.98	81.74	19.68	1.26	2772	657	Y
Adagio VI CLO DAC	4.85	109.47	20.30	1.25	2855	548	Y
AlbaCore EURO CLO I DAC	5.37	76.02	18.63	1.37	2739	662	Y
ALME Loan Funding V DAC	4.77	108.07	17.77	1.15	2792	658	Y
Anchorage Capital Europe CLO 3 DAC	5.17	91.26	20.69	1.37	2948	630	Y
Aqueduct European CLO 1-2017 DAC	4.59	121.83	20.31	1.33	2820	625	Y
Aqueduct European CLO 2-2017 DAC	4.74	118.59	20.84	1.36	2779	629	Y
Aqueduct European CLO 5 - 2020 DAC	5.14	103.08	19.27	1.41	2714	631	Y
Arbour CLO VII DAC	5.11	143.12	20.72	1.23	2816	655	Y
Arbour CLO VIII DAC	5.24	132.21	20.02	1.22	2799	648	Y
Ares European CLO IX DAC	4.56	109.15	21.54	1.16	2853	594	Y
Ares European CLO VI DAC	4.53	116.89	24.11	1.29	2909	643	Y
Ares European CLO VII DAC	4.59	123.94	22.34	1.26	2790	607	Y
Ares European CLO VIII DAC	4.53	115.37	20.99	1.24	2859	565	Y
Ares European CLO XIII DAC	4.87	102.40	22.58	1.23	2903	545	Y
Ares European CLO XIV DAC	5.07	95.45	20.37	1.38	2838	487	Y
Armada Euro CLO I DAC	4.95	105.13	21.73	1.39	2794	722	Y
Armada Euro CLO IV DAC	5.34	91.22	22.09	1.38	2801	730	Y
Aurium CLO I DAC	4.93	114.87	21.52	1.25	2767	651	Y
Aurium CLO II DAC	4.84	103.24	21.22	1.28	2763	705
Aurium CLO III DAC	4.88	113.99	21.03	1.25	2752	679	Y
Aurium CLO IV DAC	4.97	110.62	21.02	1.25	2732	675	Y
Aurium CLO VI DAC	5.21	79.37	19.89	1.26	2729	580	Y
Avoca CLO XI DAC	4.55	138.18	18.97	1.29	2885	586	Y
Avoca CLO XIV Ltd.	4.60	137.16	18.84	1.31	2908	573	Y
Avoca CLO XVII DAC	4.57	142.08	19.06	1.25	2925	618	Y
Avoca CLO XVIII DAC	4.65	136.52	19.03	1.31	2867	581	Y
Avoca CLO XXI DAC	4.94	129.04	19.26	1.28	2914	625	Y
Avoca CLO XXIV DAC	4.93	118.06	18.16	1.25	2766	543	Y
Avondale Park CLO DAC	5.06	111.74	17.37	1.20	2634	714	Y
Bain Capital Euro CLO 2017-1 DAC	4.91	132.99	21.35	1.36	2939	705	Y
Bain Capital Euro CLO 2019-1 DAC	5.06	141.53	21.36	1.32	2834	602	Y
Barings Euro CLO 2018-1 DAC	4.61	124.02	21.28	1.41	3075	874	Y
BBAM European CLO I DAC	5.29	80.35	18.22	1.23	2754	504	Y
Bilbao CLO III DAC	5.44	73.09	20.71	1.23	2774	647	Y
Black Diamond CLO 2015-1 DAC	4.10	109.01	17.52	1.64	2949	732
Black Diamond CLO 2017-2 DAC	4.57	138.40	19.80	1.68	2993	671	Y
Black Diamond CLO 2019-1 DAC	4.76	139.74	20.53	1.72	2960	602	Y
BlackRock Euro CLO IX DAC	4.91	131.84	22.37	1.38	2911	711	Y
BlackRock European CLO I DAC	4.74	144.92	21.68	1.40	2881	727	Y
BlackRock European CLO II DAC	4.75	135.97	23.29	1.41	2847	725	Y
BlackRock European CLO III DAC	4.55	134.83	21.86	1.42	2941	718	Y
BlackRock European CLO IV DAC	4.84	144.84	21.46	1.39	2871	714	Y
BlueMountain EUR CLO 2016-1 DAC	4.94	159.55	21.15	1.42	2892	635	Y
BlueMountain Fuji EUR CLO II DAC	4.66	138.53	21.88	1.44	2879	629	Y
BlueMountain Fuji EUR CLO V DAC	5.12	145.37	20.24	1.40	2935	602	Y
Cairn CLO V DAC	4.61	98.50	21.08	1.27	2834	658	Y
Cairn CLO VIII DAC	4.65	99.69	18.91	1.34	2958	640	Y
Cairn CLO XI DAC	5.03	120.36	19.93	1.26	3042	622	Y
Cairn CLO XII DAC	5.25	106.07	18.80	1.31	2801	504	Y
Capital Four CLO I DAC	5.04	97.19	23.75	1.16	2900	554	Y
Carlyle Euro CLO 2017-1 DAC	4.63	127.48	20.65	1.42	3116	711	Y
Carlyle Euro CLO 2017-2 DAC	4.69	132.83	20.05	1.33	3073	666	Y
Carlyle Euro CLO 2017-3 DAC	4.66	120.48	22.34	1.26	3143	644	Y
Carlyle Euro CLO 2018-1 DAC	4.72	131.02	21.98	1.35	3066	675	Y
Carlyle Euro CLO 2019-2 DAC	4.94	104.20	19.83	1.37	3295	665	Y
Carlyle Euro CLO 2020-1 DAC	5.09	106.95	17.90	1.29	3045	604	Y
Carlyle Global Market Strategies Euro CLO 2013-1 DAC	4.70	125.59	21.61	1.36	3102	669	Y
Carlyle Global Market Strategies Euro CLO 2015-1 DAC	4.57	118.71	21.89	1.49	3329	663	Y
Carlyle Global Market Strategies Euro CLO 2015-3 DAC	4.66	151.57	20.85	1.38	3127	694	Y
Carlyle Global Market Strategies Euro CLO 2016-2 DAC	4.72	123.77	19.70	1.35	3144	650	Y
Clarinda Park CLO DAC	4.72	146.32	19.19	1.30	2778	732
Clontarf Park CLO DAC	4.55	131.70	20.57	1.29	2817	716	Y
Contego CLO IV DAC	4.66	102.24	22.34	1.26	2848	675	Y
Contego CLO VII DAC	4.72	107.88	20.04	1.23	2849	583	Y
Contego CLO VIII DAC	4.98	107.48	19.33	1.23	2894	543	Y
CVC Cordatus Loan Fund IX DAC	4.50	90.67	19.27	1.20	2781	815	Y
CVC Cordatus Loan Fund V DAC	4.69	100.18	17.94	1.19	2767	727	Y
CVC Cordatus Loan Fund VIII DAC	4.57	92.57	21.27	1.21	2685	810	Y
CVC Cordatus Loan Fund X DAC	4.65	97.33	17.78	1.20	2774	678	Y
CVC Cordatus Loan Fund XVI DAC	4.91	102.64	20.57	1.20	2822	669	Y
CVC Cordatus Loan Fund XVII DAC	4.97	80.04	19.70	1.20	2849	572	Y
Dryden 27 R Euro CLO 2017 DAC	4.67	100.68	19.82	1.28	3021	691	Y
Dryden 29 Euro CLO 2013 DAC	4.97	99.07	19.06	1.30	3003	739	Y
Dryden 35 Euro CLO 2014 DAC	4.78	88.92	19.65	1.39	3036	747	Y
Dryden 39 Euro CLO 2015 DAC	4.97	109.19	19.19	1.32	3014	729	Y
Dryden 44 Euro CLO 2015 DAC	4.83	98.97	18.85	1.30	3033	732
Dryden 46 Euro CLO 2016 DAC	4.92	100.52	18.90	1.31	3000	709	Y
Dryden 48 Euro CLO 2016 DAC	4.89	95.61	20.51	1.31	3031	745	Y
Dryden 51 Euro CLO 2017 DAC	4.73	100.89	19.53	1.32	3042	713	Y
Dryden 52 Euro CLO 2017 DAC	4.71	93.36	19.50	1.35	2981	697	Y
Dryden 56 Euro CLO 2017 DAC	4.94	105.20	18.78	1.30	3014	736	Y
Dryden 63 GBP CLO 2018 DAC	4.54	58.70	19.53	1.14	2891	762	Y
Dryden 73 Euro CLO 2018 DAC	5.15	87.22	16.62	1.31	2945	794	Y
Dryden 74 Euro CLO 2018 B.V.	5.27	95.05	17.78	1.29	2934	677	Y
Dunedin Park CLO DAC	4.97	148.78	19.60	1.25	2822	687	Y
Elm Park CLO DAC	4.42	135.65	20.07	1.28	2795	729
Euro-Galaxy III CLO DAC	4.65	129.55	23.45	1.40	2857	683	Y
Euro-Galaxy IV CLO DAC	4.67	126.20	23.95	1.41	2846	742	Y
Euro-Galaxy V CLO DAC	4.64	134.40	23.05	1.39	2865	687
Fair Oaks Loan Funding II DAC	5.27	83.94	19.24	1.45	2789	521	Y
Fair Oaks Loan Funding III DAC	5.16	107.03	19.26	1.47	2681	581
GLG Euro CLO III DAC	4.42	116.48	23.16	1.19	2979	716	Y
GLG Euro CLO IV DAC	4.64	114.61	22.93	1.18	2999	742	Y
GoldenTree Loan Management EUR CLO 3 DAC	4.99	99.45	22.26	1.31	2896	645	Y
Halcyon Loan Advisors European Funding 2014 DAC	4.07	102.03	18.84	1.27	3016	749	Y
Halcyon Loan Advisors European Funding 2017-1 DAC	4.23	109.72	20.71	1.30	3034	810	Y
Halcyon Loan Advisors European Funding 2017-2 DAC	4.48	112.10	18.53	1.25	2986	717	Y
Harvest CLO VII DAC	4.42	97.43	17.99	1.45	2952	656	Y
Harvest CLO VIII DAC	4.69	119.71	19.50	1.28	2977	610	Y
Harvest CLO X DAC	3.54	66.29	17.88	1.26	2980	765
Harvest CLO XI DAC	4.54	103.13	18.73	1.36	2829	650	Y
Harvest CLO XVII DAC	4.83	125.97	18.11	1.30	2862	600	Y
Harvest CLO XVIII DAC	4.61	118.42	18.32	1.24	2922	630	Y
Harvest CLO XXII DAC	5.01	105.50	18.09	1.25	2911	492	Y
Harvest CLO XXIII DAC	5.23	106.76	21.09	1.25	2811	530	Y
Harvest CLO XXIV DAC	5.24	84.30	17.86	1.27	2903	425	Y
Hayfin Emerald CLO IV DAC	5.51	89.35	21.43	1.27	2853	747	Y
Henley CLO II DAC	5.12	62.73	18.05	1.17	3008	501	Y
Holland Park CLO DAC	4.62	132.60	17.86	1.30	2773	741	Y
Invesco Euro CLO III DAC	5.09	88.72	22.09	1.33	2870	668	Y
Invesco Euro CLO IV DAC	5.27	90.07	20.60	1.35	2808	677	Y
Jubilee CLO 2013-X DAC	4.29	108.61	20.13	1.15	2937	723	Y
Jubilee CLO 2014-XI DAC	4.42	104.87	18.93	1.12	2891	692	Y
Jubilee CLO 2015-XVI DAC	4.22	103.52	18.88	1.20	2968	726
Jubilee CLO 2017-XIX DAC	4.41	111.74	20.57	1.13	2910	650	Y
Jubilee CLO 2019-XXII DAC	4.73	110.13	20.12	1.16	2879	617	Y
Jubilee CLO 2019-XXIII DAC	4.86	99.62	19.66	1.19	2952	565	Y
Lingfield 2014 I PLC	2.33	52.74	17.77	1.00	1296	764
MacKay Shields Euro CLO 1 DAC	5.21	102.67	20.68	1.19	2889	625	Y
MacKay Shields Euro CLO-2 DAC	5.36	87.93	20.11	1.25	2813	582	Y
Madison Park Euro Funding IX DAC	4.47	129.41	22.62	1.22	3013	700	Y
Madison Park Euro Funding VIII DAC	4.52	135.28	22.33	1.23	3031	720	Y
Madison Park Euro Funding X DAC	4.62	134.70	23.28	1.24	3080	762	Y
Madison Park Euro Funding XV DAC	5.09	122.16	20.01	1.23	3008	632	Y
MAN GLG Euro CLO VI DAC	4.97	125.42	23.36	1.18	2926	659	Y
Montmartre Euro CLO 2020-2 DAC	4.96	93.61	15.93	1.41	2707	568	Y
North Westerly VI ESG CLO DAC	5.05	109.68	16.94	1.27	2691	653	Y
Northwoods Capital 19 Euro DAC	5.39	96.50	22.30	1.28	2885	668	Y
Northwoods Capital 21 Euro DAC	5.61	73.06	22.73	1.28	2909	591	Y
OCP Euro CLO 2017-1 DAC	4.86	96.16	20.69	1.40	2647	730	Y
OCP Euro CLO 2017-2 DAC	4.81	98.20	21.14	1.40	2661	716	Y
OCP Euro CLO 2020-4 DAC	5.41	73.73	18.00	1.34	2651	689	Y
OZLME II DAC	4.73	128.19	22.42	1.37	3010	707	Y
OZLME III DAC	4.80	126.15	22.33	1.33	3004	714	Y
Palmer Square European Loan Funding 2020-1 DAC	5.10	98.85	18.89	1.70	2435	777	Y
Penta CLO 7 DAC	5.21	122.29	21.39	1.28	2890	567	Y
Providus CLO I DAC	5.09	104.06	16.07	1.46	2795	712	Y
Providus CLO IV DAC	5.36	83.62	12.99	1.43	2760	664	Y
Purple Finance CLO 1 DAC	4.60	90.24	20.73	1.18	2775	706	Y
Purple Finance CLO 2 DAC	5.06	88.49	18.56	1.26	2774	618	Y
RRE 1 Loan Management DAC	4.88	114.68	18.42	1.19	2806	668	Y
RRE 2 Loan Management DAC	4.89	113.46	18.53	1.17	2823	652	Y
RRE 3 Loan Management DAC	4.99	107.84	19.34	1.17	2851	629	Y
RRE 4 Loan Management DAC	5.06	107.83	19.41	1.21	2843	611	Y
Sculptor European CLO I DAC	4.67	133.17	22.97	1.38	2997	721	Y
Seapoint Park CLO DAC	5.13	142.32	19.55	1.27	2797	690	Y
Sound Point Euro CLO III Funding DAC	5.46	110.72	19.95	1.35	2719	640	Y
St. Paul's CLO II DAC	4.73	116.67	21.31	1.26	2980	762	Y
St. Paul's CLO XII DAC	5.31	94.84	17.39	1.45	2823	537	Y
Strawinsky I PLC	1.51	1.54	1.54	1.54	5648	160
Tikehau CLO III DAC	4.53	112.27	21.38	1.36	2892	662	Y
Tikehau CLO V DAC	4.96	114.24	22.30	1.29	2864	625	Y
Toro European CLO 5 DAC	4.80	124.59	20.51	1.19	2871	615	Y
Toro European CLO 6 DAC	4.82	111.41	19.20	1.16	2950	655	Y
Vendome Funding DAC	4.96	91.36	15.54	1.38	2739	556	Y
Vesey Park CLO DAC	5.18	133.91	19.98	1.25	2788	670	Y
Voya Euro CLO I DAC	4.80	129.82	20.96	1.44	2926	711	Y
Voya Euro CLO III DAC	5.34	122.97	19.24	1.36	2803	625	Y
Zinnia Finance DAC	5.10	91.48	17.76	1.20	2789	610	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

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
CLO Sector Lead:	Stephen A Anderberg, New York + (212) 438-8991; stephen.anderberg@spglobal.com
Analytical Manager, U.S.:	Jimmy N Kobylinski, New York + 1 (212) 438 6314; jimmy.kobylinski@spglobal.com
	Emanuele Tamburrano, London + 44 20 7176 3825; emanuele.tamburrano@spglobal.com

No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.

Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: research_request@spglobal.com.

Sector
Structured Finance Structured Credit (incl. CLO)
Tags
Americas

Create a free account to unlock the article.

Gain access to exclusive research, events and more.

Already have an account? Sign in