S&P Global Ratings is publishing a list of the top 250 companies with loan issuances that are held by U.S. broadly syndicated collateralized loan obligations (BSL CLOs) in the third quarter of 2020. The companies are ranked on a dollar-weighted basis, based on the issuances held by U.S. BSL CLOs. The information is based on the trustee reports issued in third-quarter 2020.
SPWARF for the Top 250.
The S&P Global Ratings weighted average rating factor (SPWARF) is one of the six portfolio benchmarks. The SPWARF benchmark provides information on the credit quality of a given CLO portfolio, with lower rated portfolios producing a higher SPWARF and vice versa (see table 5). The new benchmark is intended to increase transparency and make it easier to compare the average ratings in CLO portfolios.
If the top 250 obligors within U.S. BSL CLOs are treated as a hypothetical portfolio of the most widely held issuers, the SPWARF for the loans issued by the top 250 obligors (weighted by their exposures within rated U.S. BSL CLOs) is 2617 as of the end of third-quarter 2020, down from 2683 as of the prior quarter, indicating that there has been a positive shift in the rating distribution within the top 250 issuers as of the third quarter.
Chart 1
Diversification
Table 2 shows the portfolio diversification of the top 250 obligors over the past few quarters.
Table 2
U.S. BSL CLO Diversification | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Obligors ranked | Third-quarter 2020 (%) | Second-quarter 2020 (%) | First-quarter 2020 (%) | Fourth-quarter 2019 (%) | Third-quarter 2019 (%) | Second-quarter 2019 (%) | First-quarter 2019 (%) | |||||||||
Top 10 | 6.59 | 6.30 | 6.04 | 6.13 | 6.28 | 5.52 | 6.69 | |||||||||
Top 50 | 20.28 | 20.03 | 19.62 | 19.90 | 20.22 | 18.54 | 20.99 | |||||||||
Top 250 | 53.61 | 53.08 | 52.25 | 52.53 | 52.66 | 51.00 | 53.02 | |||||||||
BSL CLO--Broadly syndicated loan collateralized loan obligation. |
Table 3 shows the breakdown and SPWARF across the portfolio exposures of S&P Global Rating's rated U.S. BSL CLOs.
Table 3
Top 250 Cohort Third-Quarter 2020 Breakdown | ||||||
---|---|---|---|---|---|---|
250 cohort | % of AUM across S&P Global Ratings' rated U.S. BSL CLO portfolio exposures | SPWARF as of end of third-quarter 2020 | ||||
top 250 | 53.61 | 2617 | ||||
251 to 500 | 21.27 | 2965 | ||||
501 to 750 | 12.90 | 3235 | ||||
751 to 1000 | 7.72 | 3440 | ||||
1001 to 1250 | 3.72 | 3882 | ||||
1251 to 1500 | 0.77 | 4305 | ||||
AUM--Assets under management. BSL CLO--Broadly syndicated loan collateralized loan obligation. |
The Top 250 CLO Obligors
Table 4 shows the top 250 obligors for U.S. BSL CLO transactions in third-quarter 2020.
Table 4
Top 250 Obligors Held In U.S. BSL CLOs (Third-Quarter 2020) | ||
---|---|---|
Rank | Top 250 obligors held in U.S. BSL CLOs (third-quarter 2020) | GIC Code |
1 | Altice Europe N.V. | Diversified Telecommunication Services |
2 | NEWAsurion Corp. | Insurance |
3 | Liberty Global PLC | Diversified Telecommunication Services |
4 | TransDigm Inc. | Aerospace and Defense |
5 | CenturyLink Inc. | Diversified Telecommunication Services |
6 | Altice USA, Inc. | Media |
7 | Brookfield Asset Management Inc. | Capital Markets |
8 | Sinclair Broadcast Group Inc. | Media |
9 | Endeavor Operating Company LLC | Entertainment |
10 | American Airlines Group Inc. | Airlines |
11 | Berry Global Group Inc. | Containers and Packaging |
12 | Volt Parent, LP | Independent Power and Renewable Electricity Producers |
13 | Caesars Entertainment, Inc. | Hotels, Restaurants and Leisure |
14 | Nouryon Cooperatief U.A. | Chemicals |
15 | Dell Technologies Inc | Electronic Equipment, Instruments and Components |
16 | Univision Communications Inc. | Media |
17 | Scientific Games Corp. | Hotels, Restaurants and Leisure |
18 | Bausch Health Companies Inc. | Pharmaceuticals |
19 | Clarios Global LP | Trading Companies and Distributors |
20 | Sedgwick L.P. | Insurance |
21 | Charter Communications Inc. | Media |
22 | Air Medical Holdings LLC | Healthcare Providers and Services |
23 | Front Range Bidco, Inc. | Diversified Telecommunication Services |
24 | Radiate Holdco, LLC | Diversified Telecommunication Services |
25 | Change Healthcare Holdings, Inc. | Health Care Technology |
26 | Brookfield WEC Holdings Inc. | Electrical Equipment |
27 | Bass Pro Group LLC | Specialty Retail |
28 | United Airlines Holdings, Inc | Airlines |
29 | Endo International PLC | Pharmaceuticals |
30 | EG Group Ltd. | Specialty Retail |
31 | SS&C Technologies Holdings, Inc. | Software |
32 | LifePoint Health, Inc. | Healthcare Providers and Services |
33 | Envision Healthcare Holdings Inc. | Healthcare Providers and Services |
34 | Micro Focus International PLC | Software |
35 | Ultimate Software Group, Inc. (The) | Software |
36 | athenahealth Intermediate Holdings, LLC | Health Care Technology |
37 | Reynolds Group Holdings Ltd. | Metals and Mining |
38 | Acrisure Holdings, Inc. | Insurance |
39 | Nexstar Media Group Inc. | Media |
40 | Micro Holding Corp. | Software |
41 | McAfee, LLC | Software |
42 | Froneri International Ltd. | Food Products |
43 | Formula One | Entertainment |
44 | WideOpenWest Finance LLC | Media |
45 | Verscend Holding II Corp. | Health Care Technology |
46 | CommScope Holding Co Inc. | Communications Equipment |
47 | Ingersoll Rand Inc. | Building Products |
48 | Flex Acquisition Holdings, Inc. | Containers and Packaging |
49 | Vodafone Group PLC | Diversified Telecommunication Services |
50 | Amneal Pharmaceuticals Inc. | Pharmaceuticals |
51 | Cushman & Wakefield | Real Estate Management and Development |
52 | Alight Solutions LLC | Commercial Services and Supplies |
53 | Intrado Corp. | IT Services |
54 | Restaurant Brands International Inc. | Hotels, Restaurants and Leisure |
55 | Vistra Corp. | Electric Utilities |
56 | Inspire Brands Inc. | Hotels, Restaurants and Leisure |
57 | Liberty Latin America Ltd. | Diversified Telecommunication Services |
58 | Blackstone CQP Holdco LP | Gas Utilities |
59 | Red Ventures Holdco, LP | Media |
60 | Avaya Holdings Corp. | Software |
61 | Cornerstone Building Brands Inc | Building Products |
62 | Rackspace Technology Global, Inc. | IT Services |
63 | HUB International Ltd. | Insurance |
64 | Cineworld Group PLC | Entertainment |
65 | Brand Industrial Services, Inc. | Construction and Engineering |
66 | ADT Inc. | Commercial Services and Supplies |
67 | Gentiva Health Services Inc. | Healthcare Providers and Services |
68 | PG&E Corp. | Electric Utilities |
69 | Refinitiv Parent ltd | Capital Markets |
70 | The Michaels Companies Inc. | Specialty Retail |
71 | AssuredPartners, Inc. | Insurance |
72 | Wand NewCo 3, Inc. | Diversified Consumer Services |
73 | Quikrete Holdings, Inc. | Construction Materials |
74 | Staples Inc. | Specialty Retail |
75 | Alliant Holdings, L.P. | Insurance |
76 | Vertex HoldCo Inc. | Electronic Equipment, Instruments and Components |
77 | Consolidated Communications Holdings Inc. | Diversified Telecommunication Services |
78 | Elanco Animal Health Incorporated | Pharmaceuticals |
79 | Vertiv Holdings, LLC | Machinery |
80 | DaVita Inc. | Healthcare Providers and Services |
81 | Alterra Mountain Co. | Hotels, Restaurants and Leisure |
82 | Uber Technologies, Inc. | Road and Rail |
83 | PPD, Inc. | Life Sciences Tools and Services |
84 | Team Health Holdings, Inc. | Healthcare Providers and Services |
85 | Husky III Holding Limited | Machinery |
86 | Mitchell Topco Holdings, Inc. | Software |
87 | Allied Universal Topco LLC | Commercial Services and Supplies |
88 | Tronox Ltd. | Chemicals |
89 | Golden Nugget Inc. | Hotels, Restaurants and Leisure |
90 | Balboa Intermediate Holdings LLC | Software |
91 | Messer Industries GmbH | Chemicals |
92 | Paysafe Group Holdings II Ltd. | IT Services |
93 | Dynasty Acquisition Co., Inc. | Aerospace and Defense |
94 | Vertical Topco III GmbH | Machinery |
95 | Select Medical Holdings Corp. | Healthcare Providers and Services |
96 | Ortho-Clinical Diagnostics Bermuda Co. Ltd. | Healthcare Equipment and Supplies |
97 | SolarWinds Holdings Inc. | Technology Hardware, Storage and Peripherals |
98 | GTT Communications, Inc. | IT Services |
99 | Belron Group S.A. | Diversified Consumer Services |
100 | Dun & Bradstreet Holdings, Inc. | Professional Services |
101 | USI, Inc. | Insurance |
102 | Authentic Brands Group LLC | Media |
103 | Buckeye Partners L.P. | Oil, Gas and Consumable Fuels |
104 | Avolon Holdings Ltd. | Trading Companies and Distributors |
105 | Banff Parent Inc. | Software |
106 | Finastra Ltd. | Software |
107 | Granite Acquisition Inc. | Electric Utilities |
108 | Phoenix Guarantor Inc. | Healthcare Providers and Services |
109 | Edelman Financial Engines Center, LLC (The) | Capital Markets |
110 | Deutsche Telekom AG | Wireless Telecommunication Services |
111 | Reynolds Consumer Products Inc. | Containers and Packaging |
112 | Jane Street Group, LLC | Capital Markets |
113 | iHeartMedia Inc. | Media |
114 | Aristocrat Leisure Ltd. | Household Durables |
115 | Ancestry.com Holdings LLC | Interactive Media and Services |
116 | ION Trading Technologies Ltd. | Software |
117 | Terrier Media Holdings, Inc. | Media |
118 | Ineos Group Holdings S.A. | Chemicals |
119 | HSI Holdings I, Inc. | Software |
120 | United Natural Foods, Inc. | Food and Staples Retailing |
121 | SeaWorld Parks & Entertainment Inc. | Hotels, Restaurants and Leisure |
122 | Polaris Intermediate Corp. (d/b/a Multiplan) | Healthcare Providers and Services |
123 | GrafTech International Ltd. | Electrical Equipment |
124 | GFL Environmental Inc. | Commercial Services and Supplies |
125 | VICI Properties Inc. | Real Estate Management and Development |
126 | Harbor Freight Tools USA Inc. | Specialty Retail |
127 | Lightstone HoldCo LLC | Project finance: Power |
128 | U.S. Anesthesia Partners Holdings Inc | Healthcare Providers and Services |
129 | Station Casinos LLC | Hotels, Restaurants and Leisure |
130 | Rocket Software Inc. | Software |
131 | Gates Global LLC | Machinery |
132 | NFP CORP. | Insurance |
133 | FEH, Inc. | Capital Markets |
134 | SK Blue Holdings LP | Chemicals |
135 | Delek US Holdings, Inc. | Oil, Gas and Consumable Fuels |
136 | Solera Parent Holding LLC | Software |
137 | Wilsonart LLC | Building Products |
138 | Oryx Midstream Holdings LLC | Oil, Gas and Consumable Fuels |
139 | WestJet Airlines Ltd. | Airlines |
140 | Telesat Holdings Inc. | Diversified Telecommunication Services |
141 | Advantage Solutions Inc. | Media |
142 | Endurance International Group Inc. | IT Services |
143 | Citadel Securities LP | Capital Markets |
144 | US Foods Inc. | Food and Staples Retailing |
145 | Connect Bidco Ltd. | Wireless Telecommunication Services |
146 | ProAmpac PG Intermediate LLC | Containers and Packaging |
147 | Epicor Holdings Corp. | Software |
148 | Toro Private Holdings I, Ltd | IT Services |
149 | Grifols S.A. | Biotechnology |
150 | Solenis UK International Limited | Chemicals |
151 | Sunshine Luxembourg VII S.a r.l. | Personal Products |
152 | Hyperion Insurance Group Ltd. | Insurance |
153 | VFH Parent LLC | Capital Markets |
154 | Pugnacious Endeavors Inc | Internet and Direct Marketing Retail |
155 | Alphabet Holding Company Inc. | Personal Products |
156 | Whatabrands LLC | Hotels, Restaurants and Leisure |
157 | Project Boost Purchaser LLC | Software |
158 | Seahawk Holdings Limited | Software |
159 | BCP Renaissance Parent L.L.C. | Capital Markets |
160 | AmWINS Group, Inc. | Insurance |
161 | Sotera Health Topco Inc | Life Sciences Tools and Services |
162 | West Street Holdings III Ltd. | Life Sciences Tools and Services |
163 | CAA Holdings LLC | Entertainment |
164 | BroadStreet Partners, Inc. | Insurance |
165 | Project Alpha Intermediate Holding, Inc. | Software |
166 | McGraw-Hill Education, Inc. | Media |
167 | Playtika Holding Corp. | Hotels, Restaurants and Leisure |
168 | Traverse Midstream Partners LLC | Construction and Engineering |
169 | Motion Midco Ltd | Hotels, Restaurants and Leisure |
170 | Tenneco Inc. | Auto Components |
171 | Lucid Energy Group II, LLC | Oil, Gas and Consumable Fuels |
172 | Penn National Gaming Inc. | Hotels, Restaurants and Leisure |
173 | H-Food Holdings LLC | Food Products |
174 | Ithacalux S.α r.l. | IT Services |
175 | Iridium Communications Inc. | Diversified Telecommunication Services |
176 | Greeneden U.S. Holdings II, LLC | Software |
177 | Meredith Corp. | Media |
178 | PetSmart Inc. | Specialty Retail |
179 | MTN Infrastructure TopCo Inc. | Diversified Telecommunication Services |
180 | Auris Luxembourg II S.a.r.l. | Healthcare Equipment and Supplies |
181 | XPO Logistics, Inc. | Air Freight and Logistics |
182 | IG Investments Holdings LLC | IT Services |
183 | Radiology Partners Holdings, LLC | Healthcare Providers and Services |
184 | Flexera Software LLC | Software |
185 | Blackhawk Network Holdings, Inc. | IT Services |
186 | CHG Healthcare Services Inc. | Healthcare Providers and Services |
187 | Duff & Phelps Holdings Corp. | Professional Services |
188 | USS Ultimate Holdings Inc. | Commercial Services and Supplies |
189 | NASCAR Holdings, LLC | Entertainment |
190 | Edgewater Generation, LLC | Project finance: Power |
191 | Realogy Group LLC | Real Estate Management and Development |
192 | Surf Intermediate I Ltd | Software |
193 | Sabre Corp. | Software |
194 | Univar Solutions Inc. | Trading Companies and Distributors |
195 | DCert Buyer, Inc. | IT Services |
196 | Pro Mach Group Inc. | Machinery |
197 | Delta Air Lines Inc. | Airlines |
198 | BCP Raptor HoldCo | Oil, Gas and Consumable Fuels |
199 | Spin Holdco Inc. d/b/a CSC ServiceWorks | Trading Companies and Distributors |
200 | KUEHG Corp. | Diversified Consumer Services |
201 | Blackstone Mortgage Trust Inc. | Mortgage Real Estate Investment Trusts (REITs) |
202 | AI Aqua Sαrl | Machinery |
203 | Navistar International Corp. | Machinery |
204 | J&F Investimentos S.A. | Food Products |
205 | AqGen Ascensus Inc | Capital Markets |
206 | SRS Distribution Inc. | Trading Companies and Distributors |
207 | Hudson River Trading LLC | Software |
208 | Gray Television Inc. | Media |
209 | Flutter Entertainment PLC | Hotels, Restaurants and Leisure |
210 | Maxar Technologies Inc. | Aerospace and Defense |
211 | Aramark | Commercial Services and Supplies |
212 | Media Holdco, LP | Media |
213 | Clear Channel Outdoor Holdings Inc. | Media |
214 | PQ Corp. | Chemicals |
215 | ExamWorks Group Inc. | Healthcare Providers and Services |
216 | Ryan Specialty Group, LLC | Insurance |
217 | Romulus Intermediate Holdings 2 Inc. | Healthcare Providers and Services |
218 | Explorer Holdings Inc | Health Care Technology |
219 | Sophia Holding Finance L.P. | Software |
220 | Eastern Power, LLC | Project finance: Power |
221 | SBA Communications Corp. | Wireless Telecommunication Services |
222 | TKC Holdings, Inc. | Distributors |
223 | Petco Holdings Inc. | Specialty Retail |
224 | Castle Intermediate Holding V Limited | Software |
225 | Advisor Group Holdings, Inc. | Capital Markets |
226 | Syniverse Holdings Inc. | IT Services |
227 | LTI Holdings Inc. | Auto Components |
228 | SCR-Sibelco NV | Energy Equipment and Services |
229 | AppLovin Corporation | Software |
230 | Air Methods Corporation | Healthcare Providers and Services |
231 | PCI Gaming Authority | Hotels, Restaurants and Leisure |
232 | Global Tel*Link Corp. | Communications Equipment |
233 | Milano Holding Corp. | IT Services |
234 | Macquarie Infrastructure Corporation | Transportation Infrastructure |
235 | Allnex (Luxembourg) & Cy SCA | Chemicals |
236 | VS Holding I Inc. | Software |
237 | Garda World Security Corp | Commercial Services and Supplies |
238 | Cengage Learning Holdings II Inc. | Diversified Consumer Services |
239 | Web.com | IT Services |
240 | AVSC Holding Corp. | Media |
241 | Western Digital Corp. | Technology Hardware, Storage and Peripherals |
242 | Knowlton Development HoldCo, Inc | Personal Products |
243 | BJ's Wholesale Club Holdings Inc. | Food and Staples Retailing |
244 | AI Convoy (Luxembourg) S.a.r.l. | Aerospace and Defense |
245 | WP CPP Holdings LLC | Aerospace and Defense |
246 | Charter NEX US Inc. | Containers and Packaging |
247 | Idemia France SAS | Technology Hardware, Storage and Peripherals |
248 | Vericast Corp. | Media |
249 | Filtration Group Corp. | Machinery |
250 | Mohegan Tribal Gaming Authority | Hotels, Restaurants and Leisure |
Appendix: SPWARF
The SPWARF of a CLO portfolio provides an indication of the portfolio's overall credit rating distribution weighted by each assets par balance. The rating factor for each of the portfolio assets is determined by S&P Global Rating's credit rating (or implied rating) and the rating factor table. The SPWARF is the sum of the product of each collateral obligation's par balance and S&P Global Ratings' rating factor (given derived S&P Global Ratings' rating), divided by the aggregate principal balance of all of the collateral obligations included in the calculation for the portfolio. The S&P Global Ratings' rating factor of an individual asset is the five-year default rate given its S&P Global Rating's credit rating and the default table in the Corporate CDO criteria, multiplied by 10,000.
Table 5
S&P Global Ratings' Rating Factor Scale | |
---|---|
Rating | S&P Global Ratings' rating factor |
AAA | 14 |
AA+ | 27 |
AA | 46 |
AA- | 64 |
A+ | 99 |
A | 146 |
A- | 200 |
BBB+ | 271 |
BBB | 361 |
BBB- | 540 |
BB+ | 785 |
BB | 1234 |
BB- | 1565 |
B+ | 1982 |
B | 2860 |
B- | 3610 |
CCC+ | 4641 |
CCC | 5293 |
CCC- | 5751 |
CC | 10000 |
SD | 10000 |
D | 10000 |
Related Research
This report does not constitute a rating action.
Primary Credit Analyst: | Daniel Hu, FRM, New York (1) 212-438-2206; daniel.hu@spglobal.com |
Secondary Contact: | Jimmy N Kobylinski, New York (1) 212-438-6314; jimmy.kobylinski@spglobal.com |
CLO Sector Lead: | Stephen A Anderberg, New York (1) 212-438-8991; stephen.anderberg@spglobal.com |
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