The terms Px uses, defined for a smart non-specialist. No jargon left unexplained.
AAA trancheThe most senior, first-paid, last-to-lose slice of a CLO. It carries the highest rating and the lowest yield; the lower tranches beneath it absorb losses first.
amend-and-extendPushing out a loan's maturity (and tweaking terms) instead of repaying — buys time, but can mask whether a borrower is truly healthy.
bank disintermediationThe shift of borrowing away from banks toward non-bank lenders. When banks tighten lending standards or pull back, companies that still need financing turn to private-credit and direct-lending funds — so bank retrenchment is the structural engine of private-credit growth.
Bank Lending SurveyA quarterly ECB survey asking euro-area banks whether they are tightening or easing the standards and terms on the loans they make, and whether loan demand is rising or falling. It is a leading indicator of the credit cycle.
basis pointsHundredths of a percent. 100 basis points (bps) = 1%. Spreads and rate moves are usually quoted in bps.
BDCBusiness Development Company — a regulated, often publicly-traded vehicle that pools investors' money to make private-credit loans. A common way retail investors get exposure.
business development companyA regulated vehicle (often listed) that pools investor money to lend to private companies — retail's main on-ramp to private credit.
CCC bucketThe share of a CLO's underlying loans rated CCC (deeply speculative). CLOs cap this bucket; exceeding that cap can haircut the overcollateralization test. The figure comes from trustee reports, not N-PORT — Unknown to Px.
CISSComposite Indicator of Systemic Stress — the ECB's daily 0-to-1 gauge of strain across euro-area money, bond, equity, FX and financial-intermediary markets. Near 0 is calm; a rising CISS flags broad financial stress.
CLOCollateralized Loan Obligation — a vehicle that buys a pool of corporate loans and funds itself by issuing tranches of bonds with different risk levels.
CLO arbitrageThe gap between the interest a CLO earns on its loan pool and the lower interest it pays its tranches — the spread that, after costs, flows to the equity tranche.
CLO ETFAn exchange-traded fund that holds CLO tranches (often the AAA-rated ones) and trades on a stock exchange. It gives ordinary investors access to CLO debt without buying a tranche directly.
continuation vehicleA new fund set up to buy assets from an older fund the same manager runs — gives early investors an exit and keeps the assets in-house.
cost of borrowingThe ECB's composite indicator of the all-in interest rate euro-area companies actually pay on new bank loans — the bank rate a private-credit lender's pricing competes against.
covenantA promise written into a loan (e.g. keep debt below a limit). Breaking it ('a breach') can let lenders demand repayment or renegotiate.
covenant-liteA loan with few or weak maintenance covenants, so lenders get less early warning and less leverage when a borrower deteriorates.
cram-downA court forcing a restructuring plan onto dissenting creditors. It can override holdouts but reshuffles who recovers what.
credit standardsThe internal rules and conditions a bank applies when deciding whether and on what terms to lend. Tightening standards means fewer or pricier loans; in survey form it is reported as a net percentage of banks tightening minus those easing.
defaultA borrower's failure to meet a loan obligation (a missed payment or a breached term). It triggers lender rights and starts the recovery clock.
DIP financingDebtor-in-possession financing — new, top-priority money lent to a company already in bankruptcy so it can keep operating.
direct lendingThe most common form of private credit: a fund lends straight to a mid-sized company, usually at a floating rate, and holds the loan to maturity.
discount marginThe yield a floating-rate tranche is actually changing hands at in the market, expressed as a spread over the benchmark. It is a traded, dealer-quoted number — not disclosed in N-PORT, so Px shows it Unknown rather than guess from the stated coupon.
diversity scoreA rating-agency measure of how spread-out a CLO's collateral is across issuers and industries. It is a proprietary model output, not an N-PORT field, so Px shows it Unknown.
double-dipA structure giving a lender two overlapping claims on the same borrower group, boosting their recovery if things go wrong — at others' expense.
DPIDistributions to Paid-In — how much cash a fund has actually returned to investors relative to what they put in. Real money back, not paper marks.
drop-downAn LME that moves valuable collateral into a new subsidiary out of existing lenders' reach, then borrows fresh money against it.
equity trancheThe first-loss, last-paid slice of a CLO. It has no rating, takes the initial hit if loans default, and keeps whatever cash is left after every other tranche is paid.
evergreen fundAn open-ended private-credit fund with no fixed end date — you can usually get in continuously, but getting out can be gated.
fair-value hierarchyAn accounting scale (ASC 820) ranking how observable the inputs to a price are: Level 1 = quoted market price, Level 2 = observable inputs, Level 3 = model-based with unobservable inputs. It measures valuation transparency, not credit quality.
gateA limit a fund places on how much money investors can withdraw in a period — it protects the fund but can trap investors when they most want out.
IC testInterest coverage test — a CLO covenant checking that loan interest received covers the interest owed to tranches. Like the OC test, its headroom is in trustee reports, not N-PORT — Unknown to Px.
interval fundA semi-liquid fund that only lets investors redeem at set intervals (e.g. quarterly) and often caps how much can leave at once.
IRRInternal Rate of Return — the annualized percentage return on an investment, accounting for the timing of cash flows.
legal final maturityThe last date by which a tranche must legally be repaid — often 10 to 13 years out, and usually much later than when investors are actually paid back. It is not the call date, the reinvestment-period end, or the WAL.
LEILegal Entity Identifier — a 20-character global code identifying a legal entity such as a CLO issuer. Where a holding carries one, Px can link it to the free public GLEIF registry; where it does not, the issuer name is shown instead.
Level 3A fair-value mark built largely from a model and unobservable inputs rather than a quoted price. A higher Level-3 share means more of a fund's value is estimated than directly observed — a transparency read, not a verdict on credit.
liability management exerciseAn out-of-court move to restructure debt before bankruptcy — frequently rearranging who ranks senior, sometimes at other lenders' expense.
LMELiability Management Exercise — an out-of-court debt restructuring (uptier, drop-down, etc.). Often pits creditors against each other ('creditor-on-creditor violence').
mezzanine trancheA middle CLO slice (commonly BBB or BB) that ranks below AAA and above the equity. It pays more than senior tranches because it absorbs losses sooner.
MOICMultiple on Invested Capital — total value returned divided by money put in (e.g. 1.8x). A simple gross measure of how much a fund made.
N-PORTThe SEC form on which a fund discloses its holdings. For these ETFs the position-level detail is public only at quarter-end and arrives lagged — up to roughly 90 days — so every N-PORT figure is stamped with its as-of date and treated as quarterly, not live.
NAV facilityA loan taken by a fund against the value of its whole portfolio (its net asset value), rather than against a single company. Adds fund-level leverage.
net percentageHow diffusion-index surveys (like the ECB Bank Lending Survey) are reported: the share of respondents reporting an increase minus the share reporting a decrease. Positive means net tightening/rising; negative means net easing/falling. It is a direction-and-breadth gauge, not a price.
non-accrualWhen a lender stops booking interest on a loan because it no longer expects to be paid — a hard signal that a credit has gone bad.
OASOption-Adjusted Spread — a standard way to measure the yield premium of risky bonds over safe ones; a quick gauge of how nervous credit markets are.
OC testOvercollateralization test — a CLO covenant checking that the value of the loan pool comfortably exceeds what a tranche is owed. Failing it diverts cash to pay down senior tranches. The cushion lives in the trustee's monthly report, not N-PORT, so Px marks it Unknown.
OIDOriginal Issue Discount — a loan sold below face value, which lifts the lender's effective yield. A wider OID often signals lenders demanding more to lend.
par subordinationThe cushion of collateral and junior tranches sitting beneath a given CLO tranche, expressed as a percentage. More subordination means more losses must occur before that tranche is touched.
PIKPayment-in-kind — interest paid by adding to the loan balance instead of in cash. It eases a borrower's cash strain but lets debt compound silently.
PIK toggleA feature letting a borrower switch interest from cash to payment-in-kind. Flipping it on is often an early sign of cash stress.
priority waterfallThe order in which cash and recoveries are paid out — senior claims first, then down the stack. It decides who actually gets paid when money is tight.
private creditLoans made by funds (not banks) directly to companies. The fund holds the loan instead of selling it on, so returns and risks sit with the fund's investors.
recovery rateHow many cents on the dollar lenders get back after a default. Higher seniority and tighter covenants usually mean higher recoveries.
reinvestment periodThe early years of a CLO when the manager can buy and sell loans, recycling repaid principal into new collateral. Whether a deal is still reinvesting is a deal-document fact, not in N-PORT.
restricted securityA security that cannot be freely resold to the public without registration or an exemption (e.g. a privately-placed CLO tranche). N-PORT flags whether a holding is restricted, but not the specific legal exemption it relies on.
SOFRSecured Overnight Financing Rate — the US benchmark most private-credit loans float over. When SOFR moves, borrowers' rates and lenders' yields move with it.
spreadThe extra rate a borrower pays on top of the benchmark (e.g. SOFR + 5.5%). It's the lender's compensation for credit risk.
trancheA slice of a structured deal with its own risk and payout rank. Senior tranches get paid first and lose last; junior tranches earn more but absorb losses first.
unitrancheA single loan that blends what would normally be senior and junior debt into one tranche at one blended rate — simpler and faster for the borrower, common in private credit.
uptierAn LME where some lenders agree to make their debt senior to other lenders' debt — pushing the left-out lenders down the priority waterfall.
WALWeighted Average Life — the average time until a bond's principal is expected back, weighted by how much is repaid when. It needs an amortization or call model, so Px does not compute one; it shows only the stated legal-final maturity that N-PORT discloses.
WARFWeighted Average Rating Factor — a single number summarizing the average credit rating of a CLO's underlying loans. It is a rating-agency model output, not an N-PORT field, so Px shows it Unknown.