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In This List
COMMENTS

European CLO Performance Index Report Q3 2019

COMMENTS

Quote Book: Gleaning Sector Trends For BSL CLO Market Participants

SUMMARY

Summary: FMSbonds Inc. (Series 2020-MIZ9039); Residual Certificates; Tender Option Certificates/Bonds

Take Notes: The Swedish Covered Bond Market

COMMENTS

Emerging Markets: A Tenuous And Varied Recovery Path


European CLO Performance Index Report Q3 2019

Eighteen new European CLO transactions priced in third-quarter 2019, adding a €7.43 billion of supply to the €14.72 billion from 35 transactions in first-half 2019. Total issuance to date stands at €29 billion across 70 CLO transactions, up from €27.3 billion from 66 transactions over the same period last year.

In this quarterly index publication, we take a look at some of the key metrics behind our ratings on the CLO notes. A month-to-month negative performance of these parameters could pressure the ratings on the notes.

New Managers Entered Market, Spreads Tightened In Third Quarter

Three new managers joined the CLO market in the third quarter, with Angelo Gordon & Co., MacKay Shields Europe Investment Management, and Capital Four CLO Management launching their debut European CLOs. While not a debut CLO 2.0 manager, NIBC also priced the first fully environmental, social, and governance (ESG)-compliant CLO with MUFG, which was the arranger's first CLO 2.0 transaction in Europe. The collateral manager will utilize and apply its own ESG industry category and scoring methodology to each collateral obligation it purchases in accordance with its ESG due diligence procedures and best practices. Its objective is to maintain a minimum ESG score on a weighted-average basis, although failure to reach or maintain this score will not result in a breach of the collateral manager's duties or obligations under the transaction documents.

'AAA' CLO spreads continued to tighten, reaching as low as 90 basis points, although signs indicate spreads could widen toward year-end. More challenging is the junior mezzanine tranches, for which spreads continue to widen, increasing the weighted average cost of capital. This in turn has led to the re-introduction of a feature more commonly seen in CLO 1.0 transactions: the turbo redemption. For a description of how it works, see the following link: https://www.spglobal.com/ratings/en/research-insights/videos/2019-12-11-clo-simplified-turbo-redemption

To 'B-' Or Not To 'B-'?

Fundamental concerns related to assets' credit quality and scarcity and challenging arbitrage continue to persist. We expect the 12-month trailing default rate for speculative-grade European corporate issuers to increase to 2.8% by June 2020, from 2.3% in June 2019. We note that the forecast is still below the long-term average default rate of 3.1% and that the economic environment continues to benefit from favorable funding conditions (see "The European Speculative-Grade Corporate Default Rate Is Expected To Reach 2.8% By June 2020," published Sept. 30, 2019). A recent area of particular concern has been the increasing shift of distribution toward lower ratings (see "To 'B-' Or Not To 'B-'? A CLO Scenario Analysis In Three Acts," published Nov. 26, 2019).

In Europe, the Middle East, and Africa, the proportion of speculative-grade issuers rated 'B-' has increased to almost 18% from 9% between last-quarter 2013 and third-quarter 2019, which has been largely due to new issuers being rated 'B-' rather than solely due to existing issuers' deteriorating credit quality. This change in rating distribution is also reflected in the concentration of 'B-' rated assets held in European CLOs, which has increased to 18% from 4% on average during the same period, which may reflect the different strategies held by collateral managers.

Chart 1

image

As the corporate rating actions table in the appendix section shows, in third-quarter 2019, we downgraded five issuers to the 'CCC' category, four from 'B-' and one from 'B'. Nevertheless, CLO exposure to 'CCC' rated assets remains low and significantly below the typical 7.5% limit in transaction documentation. Exposure over this limit is carried at a haircut for the purpose of the overcollateralization (O/C) test so that it breaches quicker and, in times of stress, diverts interest to deleverage the most-senior tranche.

Chart 2

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Measuring CLO Performance Using Key Metrics

CLO issuance has gained momentum over the past five years, and investors have become more familiar with CLO structures and the associated risks, as well as assessing and suitably measuring credit and cash flow risks.

Credit risk, which includes default risk and an increase in 'CCC' category-rated assets in the portfolio, among others, can be mitigated by better measures on the cash flow side, like increased available credit enhancement, weighted-average spread, and recoveries, for example.

In this article, we display how these individual parameters have evolved over the last few months to broadly gauge the performance of European CLOs.

CLO Performance Remained Stable Across Key Metrics

Overall, CLO performance in third-quarter 2019 was similar to the previous three quarters. Most of the metrics we capture that may affect ratings on the notes showed stable performance.

Collateral portfolios of older vintage cohorts are becoming more concentrated as the assets wind down and they approach their final maturities, while newer vintages are benefiting from still being in their reinvestment phases, when collateral managers can actively mitigate default risk through active trading. We attribute these trends more to the stage in a transaction's life cycle than to significant changes in the portfolios at the collateral level.

Credit Metrics

European CLO 2.0 collateral ratings

While CLOs enjoy the senior secured status of leveraged loans in the portfolio, it is important to note that these loans are issued to speculative-grade companies.

Underlying collateral ratings contribute significantly to the ratings on transactions that have closed since January 2013. Below we show the rating distribution of the CLO collateral portfolio for the different vintages in European CLO 2.0 transactions over a one-year period (see charts 3 to 8). Note that we have considered transactions that have been reset or refinanced to be in the original vintage as when it was first issued. The CLO portfolio rating performance across all CLO vintages indicates stable performance.

Chart 3

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Chart 4

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Chart 5

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Chart 6

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Chart 7

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Chart 8

image

Exposure to 'CCC' rated assets continues to be well below the allowable limits

'CCC' category-rated assets are an important measure of European CLO performance because an increase in these assets can indicate that the collateral portfolio's credit quality is worsening. The level of 'CCC' assets can also reduce O/C test cushions because they may not be carried at their full par value.

The percentage of assets rated in the 'CCC' category ('CCC+', 'CCC', or 'CCC-') has shown mixed performance for the European CLO cohorts we track. These changes reflect rating migration in the underlying portfolios and may also depend on an individual transaction's pool composition, which is based on the CLO manager's strategy to manage the vehicle.

By vintage, the reported level of 'CCC' rated assets in European cash flow CLOs, as a percentage of total assets in August 2019, was:

  • 2013 vintage CLOs: 0.82% of total assets (down from 1.08% in May 2019);
  • 2014 vintage CLOs: 1.13% of total assets (down from 1.27% in May 2019);
  • 2015 vintage CLOs: 1.61% of total assets (down from 1.64% in May 2019);
  • 2016 vintage CLOs: 0.84% of total assets (down from 0.92% in May 2019);
  • 2017 vintage CLOs: 0.91% of total assets (up from 0.88% in May 2019); and
  • 2018 vintage CLOs: 0.99% of total assets (up from 0.85% in May 2019).

Chart 9

image

Individual CLOs exhibited some variances among European CLOs from the same vintages. These CLOs are more likely to breach their thresholds sooner than other types of CLOs. Having said that, in this low interest rate and benign default environment, having a 'CCC' rated asset may not necessarily be negative, because cost of debt and equity return can be better managed.

Exposure to defaulted assets remains limited

CLOs performed well through the financial crisis and beyond. Defaulted assets were one of the key indicators of CLO performance because a defaulted asset may result in a loss of principal to the CLO and a corresponding decline in credit enhancement.

From May 2019 to August 2019, the percentage of defaulted assets (i.e., assets from obligors rated 'CC', 'C', 'SD' [selective default], or 'D') slightly increased for the 2013, 2015, 2016, 2017, and 2018 vintages, and decreased for the 2014 cohort.

As of August 2019, the percentage of defaulted assets in each underlying collateral portfolio was:

  • 2013 vintage CLOs: 0.46% of total assets (up from 0.25% in May 2019);
  • 2014 vintage CLOs: 0.15% of total assets (down from 0.37% in May 2019);
  • 2015 vintage CLOs: 0.34% of total assets (up from 0.18% in May 2019);
  • 2016 vintage CLOs: 0.14% of total assets (up from 0.02% in May 2019);
  • 2017 vintage CLOs: 0.10% of total assets (up from 0.05% in May 2019); and
  • 2018 vintage CLOs: 0.07% of total assets (up from 0.04% in May 2019).

These calculations show the proportion of assets that are currently in default, over total assets (not including principal cash).

Chart 10

image

S&P Global Ratings' weighted-average rating factor (SPWARF) declined

Although CLOs are generally restricted to eligibility criteria that govern what assets can be part of their portfolios and set their limitations, it is challenging to size a portfolio's default risk during the typical four-year reinvestment period in which the collateral manager is allowed to actively trade assets. These trading activities could change the asset portfolio's composition significantly, thus increasing its risk profile and possibly the required par subordination.

The SPWARF provides an indication of the portfolio's overall credit quality. It is each asset's five-year default rate assumed in our corporate collateralized debt obligation (CDO) criteria, weighted by each asset's par balance, and multiplied by 10,000 (see the "Related Criteria" and "Related Research" sections).

In third-quarter 2019, the overall SPWARF reduced from 2,626 to 2,610.

Chart 11

image

Weighted-average life (WAL) decreased

The WAL is the number of years between the current date and the maturity date of assets in the CLO portfolio.

At 5.1, the WAL is decreasing quarter on quarter.

Chart 12

image

Scenario default rates (SDRs) improved

Together with the SPWARF and WAL, we use four other benchmarks (the three diversity measures and the default rate dispersion [DRD]) to produce the approximate 'AAA' SDR (i.e., the expected default levels for the portfolio under the 'AAA' stress scenarios).

While the SPWARF only looks at the credit rating on the assets, SDRs (or the expected target default rate) look into all six components when measuring the overall risk profile of a CLO portfolio (SPWARF + DRD + WAL + the three diversity measures).

On average, the current portfolio credit risk ('AAA' SDRs) has improved in comparison with second-quarter 2019, decreasing to 61.05% from 63.85%.

Chart 13

image

Cash Flow Metrics

Credit enhancement has remained steady

Our analysis of CDO transactions, as in our other structured finance ratings, focuses on how much credit enhancement is needed for a given level of credit risk to achieve a specific rating. Typically, credit enhancement is provided by a combination of overcollateralization/subordination and cash collateral. In this case, credit enhancement is the percentage of total performing assets plus cash, minus the tranche balance (including senior and pari passu note balance), divided by total performing assets, plus cash plus recovery on defaulted assets. The credit enhancement levels across the capital structure remained stable over 2018 and 2019.

Table 1

Credit Enhancement By Rating Level
AAA
Vintage Q4 2018 yearly average Q1 2019 yearly average Q2 2019 yearly average Q3 2019 yearly average
2016 40.75 40.63 40.57 41.17
2017 41.02 41.29 41.11 41.26
2018 41.54 41.55 41.59 41.86
AA
Vintage Q4 2018 yearly average Q1 2019 yearly average Q2 2019 yearly average Q3 2019 yearly average
2016 27.84 27.70 27.62 28.16
2017 28.10 28.36 28.15 28.22
2018 27.96 27.97 28.01 28.16
A
Vintage Q4 2018 yearly average Q1 2019 yearly average Q2 2019 yearly average Q3 2019 yearly average
2016 21.83 21.68 21.79 21.93
2017 21.45 21.70 21.48 21.39
2018 21.12 21.13 21.17 21.44
BBB
Vintage Q4 2018 yearly average Q1 2019 yearly average Q2 2019 yearly average Q3 2019 yearly average
2016 16.88 16.72 16.77 17.03
2017 16.33 16.57 16.34 16.30
2018 15.94 15.94 15.98 16.23
BB
Vintage Q4 2018 yearly average Q1 2019 yearly average Q2 2019 yearly average Q3 2019 yearly average
2016 10.74 10.57 10.72 11.06
2017 10.50 10.74 10.49 10.46
2018 10.33 10.33 10.37 10.58
B
Vintage Q4 2018 yearly average Q1 2019 yearly average Q2 2019 yearly average Q3 2019 yearly average
2016 7.85 7.66 7.84 8.31
2017 7.56 7.80 7.55 7.48
2018 7.49 7.49 7.53 7.70
Weighted-average spread followed recent quarterly trends

Spreads vary based on a variety of factors, including the levels of relative liquidity for leveraged loans or the actual and perceived level of credit risk in the leveraged loan market, among others.

Over the past two to three years, leveraged loans have refinanced at a lower cost, leading to increased difficulty in managing the weighted-average spread test in CLOs and in maintaining the weighted-average cost of debt and a healthy return to equity. Consequently, weighted-average spreads are monitored closely in CLOs. If this measure decreases significantly, the risk of a negative rating action on the notes would increase.

On average, the weighted-average spread has remained stable over the past three quarters, which has helped CLO managers manage their weighted-average spread tests.

Chart 14

image

Senior O/C ratios showed some improvement

The senior O/C ratio test is a par value test to protect senior noteholders. Declines in the senior O/C ratio test results can indicate decreasing credit quality of the CLO. The O/C ratio is the difference between the O/C test calculated for a particular tranche and the trigger associated with it. Breach of these triggers will mean that senior notes are repaid (until the tests are met again), or if the transaction is in its reinvestment period, the proceeds due on junior notes are either invested in substitute collateral or used to repay the notes.

The senior O/C ratio test cushions improved from May 2019 to August 2019 for all the cohorts (see chart 15).

The senior O/C ratio test cushions (based on reported information) as of August 2019 were:

  • 2013 vintage CLOs: 9.25% (up from 8.53% in May 2019);
  • 2014 vintage CLOs: 10.70% (up from 9.69% in May 2019);
  • 2015 vintage CLOs: 9.13% (up from 8.89% in May 2019);
  • 2016 vintage CLOs: 9.87% (up from 9.76% in May 2019);
  • 2017 vintage CLOs: 9.61% (up from 9.53% in May 2019); and
  • 2018 vintage CLOs: 9.57% (up from 9.03% in May 2019).

Chart 15

image

Subordinated O/C ratios picked up slightly

The subordinated O/C ratio test is the par value test for the junior notes in the CLO. Failure to satisfy this test will typically cause interest and principal to be redirected to pay down the most-senior class of notes until the test is satisfied.

From May 2019 to August 2019, the subordinated O/C ratios showed slightly improved performance for all of the CLO 2.0 vintages we track (see chart 16).

As of August 2019, the subordinated O/C ratio test cushions (based on reported information) were:

  • 2013 vintage CLOs: 3.85% (up from 3.47% in May 2019);
  • 2014 vintage CLOs: 3.80% (up from 3.65% in May 2019);
  • 2015 vintage CLOs: 3.86% (up from 3.76% in May 2019);
  • 2016 vintage CLOs: 4.65% (up from 4.39% in May 2019);
  • 2017 vintage CLOs: 4.28% (unchanged from 4.28% in May 2019); and
  • 2018 vintage CLOs: 4.40% (up from 4.30% in May 2019).

Chart 16

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Notes

Our European CLO Performance Index Report provides aggregate performance statistics across most of our rated European cash flow CLO transactions backed primarily by corporate loans. We provide this information to help market participants track the overall performance of European cash flow CLO transactions and to benchmark the performance of the transactions they follow against the performance of cohorts of similar transactions.

Our report highlights what we view as a number of key risk areas for the transactions, and which we use as part of our analysis of the credit quality of securitized portfolios and of the transactions' payment structure and cash flow mechanics. These include rating migration within the underlying collateral portfolios, as well as other information relevant to the sector.

We divide the performance information in the CLO indexes into cohorts, each containing data for most of the European CLO transactions we rated and issued in a specific vintage year. We collect the performance information from transaction-level performance data in our CDO surveillance databases.

Information prior to the most recent 12 months is available on CDO Interface, S&P Global Ratings' web-based portal for CDO performance information, at www.cdointerface.com. To generate, view, and download data from the CDO indexes, log onto CDO Interface, and then select the "Indexes" tab.

Appendix

Appendix 1

Third-Quarter 2019 EMEA CLO Corporate Rating Actions
Rating
Action date Issuer GIC sector To From No. of European CLOs with exposure Reason
July 2, 2019 TRAVELPORT FINANCE (LUXEMBOURG) S.A.R.L Hotels, restaurants, and leisure B/Stable/-- B+/Watch Neg/-- 4 Ratings assigned to parent company, Toro Private Holidings, post-acquisition.
July 5, 2019 VUE INTERNATIONAL BIDCO PLC Entertainment B-/Stable/-- B-/Negative/-- 35 Refinancing completed.
July 12, 2019 COTY INC. Personal products B+/Stable/-- BB-/Negative/-- 46 Turnaround plan post-difficulty in reviving consumer beauty business.
July 19, 2019 PARFUMS HOLDING COMPANY, INC. Personal products B/Stable/-- B/Negative/-- 1 Expected growth in topline and EBITDA and reduction in debt to EBIDTA by end of the year.
July 24, 2019 EI GROUP PLC Hotels, restaurants, and leisure B/Watch Neg/-- B/Stable/-- 1 Announced acquisition by competitor Stonegate Pub Co. Ltd.
July 24, 2019 STONEGATE PUB CO. LTD. Hotels, restaurants, and leisure B-/Watch Dev/-- B-/Stable/-- 1 Announced acquisition of Ei Group PLC.
July 26, 2019 LSC COMMUNICATIONS, INC. Commercial services and supplies CCC+/Negative/-- B/Watch Dev/-- 1 Merger called off.
July 26, 2019 INTERXION HOLDING N.V. IT services BB/Stable/-- BB-/Stable/-- 2 Equity issuance and increased property ownership.
July 31, 2019 ASTON MARTIN HOLDINGS (UK) LTD. Automobiles B-/Negative/-- B/Negative/-- 1 Weaker volumes and profitability.
Aug. 2, 2019 UNITYMEDIA HESSEN GMBH & CO. KG Media BBB/Stable/-- BB-/Watch Pos/-- 40 Acquisition closed by Vodafone.
Aug. 5, 2019 AENOVA HOLDING GMBH Pharmaceuticals CCC+/Negative/-- B-/Negative/-- 49 Approaching debt maturities.
Aug. 6, 2019 WIND TRE S.P.A. Diversified telecommunication services BB-/Watch Pos/-- BB-/Stable/-- 55 Debt refinancing plans via CK Hutchison Group Telecom.
Aug. 8, 2019 OPTION CARE HEALTH INC. (BIOSCRIP INC.) Health care providers and services B-/Stable/-- CCC+/Watch Pos/-- 2 Successfully completed merger of BioScrip and HC Group Holdings III.
Aug. 9, 2019 JAGUAR LAND ROVER AUTOMOTIVE PLC Automobiles B+/Negative/-- B+/Watch Neg/-- 1 High cash burn and geopolitical risk.
Aug. 9, 2019 DIEBOLD NIXDORF INC. Technology hardware, storage, and peripherals B-/Stable/-- B-/Negative/-- 39 Successful debt deal and extension of debt maturities due in 2020.
Aug. 14, 2019 LECTA S.A. Paper and forest products CCC/Negative/C B-/Negative/B 10 Vulnerable liquidity position and concerns about French subsidies.
Aug. 27, 2019 ENTERTAINMENT ONE LTD. Entertainment B+/Watch Pos/-- B+/Stable/-- 1 Announced acquisition by Hasbro.
Aug. 29, 2019 MURRAY ENERGY CORP. Oil, gas, and consumable fuels CCC/Negative/-- CCC+/Negative/-- 3 Deteriorating liquidity.
Aug. 29, 2019 CITGO PETROLEUM CORP. Oil, gas, and consumable fuels B-/Stable/-- B-/Watch Dev/-- 2 Ratings expected to remain constrained on account of credit quality of parent company PDVSA Petroleo S.A.
Sept. 10, 2019 LECTA S.A. Paper and forest products CCC-/Negative/C CCC/Negative/C 9 Initiation of debt restructuring talks.
Sept. 13, 2019 HORIZON HOLDINGS I (VERALLIA) Containers and packaging B+/Watch Pos/-- B+/Stable/-- 31 Announced IPO and refinancing of senior secured debt.
Sept. 13, 2019 VERALLIA PACKAGING S.A.S. Containers and packaging B+/Watch Pos/-- B+/Stable/-- 57 Announced IPO and refinancing of senior secured debt by parent Horizon Holdings I.
Sept. 16, 2019 OPENLINK INTERNATIONAL HOLDINGS, INC. Software B-/Watch Pos/-- B-/Stable/-- 24 Merger announcement.
Sept. 16, 2019 PRO.GEST SPA Paper and forest products BB-/Watch Neg/-- BB/Stable/-- 2 Weak operating performance.
Sept. 25, 2019 ASTON MARTIN HOLDINGS (UK) LTD. Automobiles CCC+/Negative/-- B-/Negative/-- 1 High leverage.
Sept. 26, 2019 FAERCH BIDCO APS Containers and packaging B-/Stable/-- B/Negative/-- 19 Underperformance on EBITDA and debt expectations.
Sept. 27, 2019 ALMAVIVA S.P.A. IT services B/Stable/-- B+/Negative/-- 1 Weaker domestic CRM operations.
Sept. 27, 2019 FLINT HOLDCO S.A R.L. Commercial services and supplies CCC+/Negative/-- B-/Stable/-- 43 Refinancing risk.
Sept. 27, 2019 GRUPO ANTOLIN IRAUSA SA Auto components B/Negative/-- B+/Stable/-- 8 Continued underperformance.
Sept. 27, 2019 KETER GROUP B.V. Household durables CCC+/Stable B-/Stable 40 High debt leverage and operating challenges.
Sept. 27, 2019 SAFARI VERWALTUNGS GMBH Hotels, restaurants, and leisure B-/Stable/-- B/Negative/-- 12 Long-term regulatory risks.
Sept. 30, 2019 LECTA S.A. Paper and forest products CC/Watch Neg/C CCC-/Negative/C 8 Proposed debt restructuring.
GIC--Global Industry Classification. SD--Selective default. NR--Not rated.

Appendix 2

'B-' Rated Assets In European CLO Deals As Of Dec. 9, 2019
Issuer Issuer credit rating Principal funded balance amount (€) Rank order
Issuer 1 B- 292,066,304 1
Issuer 2 B- 271,047,877 2
Issuer 3 B- 262,874,125 3
Issuer 4 B- 251,583,765 4
DIAMOND (BC) B.V. B- 250,453,572 5
Issuer 6 B- 218,037,709 6
Issuer 7 B- 185,668,860 7
FINASTRA LTD. B- 183,275,844 8
CAB B- 173,062,794 9
SWISSPORT INTERNATIONAL LTD. B- 165,699,598 10
SOLERA HOLDINGS INC. B- 160,834,811 11
Issuer 12 B- 151,193,493 12
KLOECKNER PENTAPLAST OF AMERICA INC. B- 150,513,574 13
INFORMATICA LLC B- 145,599,299 14
Issuer 15 B- 142,503,809 15
INTERNATIONAL PARK HOLDINGS B.V. B- 134,830,061 16
PIOLIN BIDCO S.A.U. B- 132,118,058 17
VUE INTERNATIONAL BIDCO PLC B- 116,767,203 18
IGT HOLDING IV AB B- 116,138,407 19
HURTIGRUTEN GROUP AS B- 111,311,555 20
L1R HB FINANCE LTD B- 103,552,015 21
Issuer 22 B- 92,950,000 22
Issuer 23 B- 92,543,610 23
DIEBOLD NIXDORF INC. B- 89,281,890 24
Issuer 25 B- 84,267,799 25
ARUBA INVESTMENTS INC. B- 83,735,898 26
ASP UNIFRAX HOLDINGS, INC. B- 77,325,403 27
Issuer 28 B- 76,882,532 28
EXCELITAS TECHNOLOGIES CORP. B- 73,782,757 29
GAMMA INFRASTRUCTURE III BV B- 72,418,253 30
Issuer 31 B- 71,578,981 31
Issuer 32 B- 69,259,000 32
LERNEN BIDCO LTD. B- 67,698,782 33
Issuer 34 B- 66,792,444 34
Issuer 35 B- 62,689,223 35
HAYA FINANCE 2017 S.A. B- 62,495,000 36
SAPHILUX S.A.R.L. B- 61,330,000 37
FAERCH BIDCO APS B- 60,182,366 38
Issuer 39 B- 58,133,875 39
SISAHO INTERNATIONAL B- 57,320,000 40
Issuer 41 B- 57,063,226 41
GETTY IMAGES INC. B- 56,431,932 42
Issuer 43 B- 52,051,084 43
BCPE MAX DUTCH BIDCO BV B- 51,654,337 44
CAPRI ACQUISITIONS BIDCO LIMITED B- 49,635,373 45
TRIDENT TPI HOLDINGS, INC. B- 46,368,060 46
Issuer 47 B- 44,110,000 47
Issuer 48 B- 43,685,000 48
Issuer 49 B- 41,265,613 49
Issuer 50 B- 41,150,000 50
Issuer 51 B- 40,184,403 51
Issuer 52 B- 37,850,000 52
MONITCHEM HOLDCO 2 S.A. B- 34,328,000 53
Issuer 54 B- 32,264,009 54
ANTIGUA BIDCO LTD B- 31,338,462 55
SWISSPORT FINANCING S.A R.L. B- 28,957,000 56
BURGER KING FRANCE SAS B- 27,729,000 57
Issuer 58 B- 25,000,000 58
Issuer 59 B- 24,941,829 59
Issuer 60 B- 24,850,000 60
Issuer 61 B- 23,375,000 61
Issuer 62 B- 22,823,294 62
Issuer 63 B- 22,768,923 63
Issuer 64 B- 21,639,090 64
CARLSON TRAVEL INC. B- 21,131,000 65
ADVANZ PHARMA CORP B- 18,386,976 66
VERITAS BERMUDA LTD. B- 17,087,000 67
COMET BIDCO LIMITED B- 14,759,319 68
Issuer 69 B- 12,250,000 69
Issuer 70 B- 12,000,884 70
Issuer 71 B- 11,782,000 71
Issuer 72 B- 6,727,420 72
Issuer 73 B- 6,089,475 73
HGIM CORP. B- 5,823,897 74
STONEGATE PUB CO. LTD. B- 5,219,550 75
Issuer 76 B- 4,641,200 76
Issuer 77 B- 4,500,000 77
ADVANTAGE SALES & MARKETING INC. B- 4,472,252 78
HOLLEY PURCHASER, INC. B- 4,071,259 79
AIR METHODS CORPORATION B- 3,679,959 80
Issuer 81 B- 3,270,000 81
WASH MULTIFAMILY ACQUISITION INC. B- 3,173,097 82
SGL CARBON SE B- 3,102,000 83
OPTION CARE HEALTH INC. B- 2,882,581 84
BRAND INDUSTRIAL SERVICES, INC. B- 2,450,772 85
CITGO PETROLEUM CORP. B- 2,448,909 86
MOHEGAN TRIBAL GAMING AUTHORITY B- 2,020,016 87
Issuer 88 B- 1,612,137 88
Issuer 89 B- 1,475,055 89
Issuer 90 B- 1,277,465 90
INNOVATIVE WATER CARE GLOBAL CORPORATION B- 816,303 91
MINOTAUR ACQUISITION, INC. B- 668,981 92
Issuer 93 B- 412,435 93
PLUTO ACQUISITION I, INC. B- 411,404 94
TGP HOLDINGS III LLC B- 263,290 95

Related Criteria

  • Global Methodology And Assumptions For CLOs And Corporate CDOs, June 21, 2019

Related Research

  • Presale: North Westerly CLO VI B.V., Nov. 19, 2019
  • CLO Spotlight: Third-Quarter CDO Monitor Benchmarks Reveal Relative Credit Quality And Diversity Of CLO Portfolios, Oct. 11, 2019
  • The European Speculative-Grade Corporate Default Rate Is Expected To Reach 2.8% By June 2020, Sept. 30, 2019
  • Credit FAQ: Understanding S&P Global Ratings' Updated CLO And Corporate CDO Criteria, June 26, 2019
  • S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version, June 21, 2019
  • 2018 Annual Global Leveraged Loan CLO Default And Rating Transition Study, June 19, 2019
  • A Cycle Turn Will Test European CLO 2.0 Defaults, June 7, 2019
  • European CLOs: Lack Of Loan Supply Is Causing Further Portfolio Overlap, May 30, 2019
  • Glossary Of Cash Flow CLO Performance Index Fields, Jan. 30, 2009

The author would also like to thank Ian Chandler, Harshala Koyande, and Rohit Vishwakarma for their help with this report.

This report does not constitute a rating action.

Primary Credit Analyst:Rebecca Mun, London (44) 20-7176-3613;
rebecca.mun@spglobal.com
Secondary Contact:Emanuele Tamburrano, London (44) 20-7176-3825;
emanuele.tamburrano@spglobal.com
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