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The Most Widely Referenced Corporate Obligors In Rated U.S. BSL CLOs: Third-Quarter 2020

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

image

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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