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The Most Widely Referenced Corporate Obligors In Rated U.S. BSL CLOs: Fourth-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 fourth 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 fourth-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 2,542 as of the end of fourth-quarter 2020, down from 2,617 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 fourth quarter.

Chart 1

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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 Fourth-quarter 2020 (%) Third-quarter 2020 (%) Second-quarter 2020 (%) First-quarter 2020 (%) Fourth-quarter 2019 (%) Third-quarter 2019 (%) Second-quarter 2019 (%)
Top 10 6.88 6.59 6.30 6.04 6.13 6.28 5.52
Top 50 20.41 20.28 20.03 19.62 19.90 20.22 18.54
Top 250 53.98 53.61 53.08 52.25 52.53 52.66 51.00
BSL CLO--Broadly syndicated collateralized loan obligation.

Table 3 shows the breakdown and SPWARF across the portfolio exposures of S&P Global Ratings' rated U.S. BSL CLOs.

Table 3

Top 250 Cohort Fourth-Quarter 2020 Breakdown
250 cohort % of AUM across S&P Global Ratings' rated U.S. BSL CLO portfolio exposures SPWARF as of end of fourth-quarter 2020
Top 250 53.98 2,542
251 to 500 21.28 2,963
501 to 750 12.70 3,220
751 to 1,000 7.57 3,366
1001 to 1,250 3.75 3,614
1,251 to 1,500 0.72 4,345
AUM--Assets under management. BSL CLO--Broadly syndicated collateralized loan obligation. SPWARF--S&P Global Ratings weighted average rating factor.

The Top 250 CLO Obligors

Table 4 shows the top 250 obligors for U.S. BSL CLO transactions in fourth-quarter 2020.

Table 4

Top 250 Obligors Held In U.S. BSL CLOs (Fourth-Quarter 2020)
Rank Top 250 obligors held in U.S. BSL CLOs (fourth-quarter 2020) GICS Code
1 Liberty Global PLC Diversified telecommunication services
2 Altice Europe N.V. Diversified telecommunication services
3 NEWAsurion Corp. Insurance
4 TransDigm Inc. Aerospace and defense
5 CenturyLink Inc. Diversified telecommunication services
6 Altice USA Inc. Media
7 Sinclair Broadcast Group Inc. Media
8 Brookfield Asset Management Inc. Capital markets
9 Endeavor Operating Co. LLC Entertainment
10 Volt Parent L.P. Independent power and renewable electricity producers
11 American Airlines Group Inc. Airlines
12 Berry Global Group Inc. Containers and packaging
13 Caesars Entertainment Inc. Hotels, restaurants, and leisure
14 Univision Communications Inc. Media
15 Nouryon Cooperatief U.A. Chemicals
16 Scientific Games Corp. Hotels, restaurants, and leisure
17 Bausch Health Cos. Inc. Pharmaceuticals
18 Dell Technologies Inc Electronic equipment, instruments, and components
19 Clarios Global L.P. Trading companies and distributors
20 Front Range Bidco Inc. Diversified telecommunication services
21 Sedgwick L.P. Insurance
22 Charter Communications Inc. Media
23 Inspire Brands Inc. Hotels, restaurants, and leisure
24 Brookfield WEC Holdings Inc. Electrical equipment
25 Bass Pro Group LLC Specialty retail
26 Pactiv Evergreen Inc Metals and mining
27 Endo International PLC Pharmaceuticals
28 Micro Focus International PLC Software
29 EG Group Ltd. Specialty retail
30 Ultimate Software Group Inc. (The) Software
31 Change Healthcare Holdings Inc. Health care technology
32 LifePoint Health Inc. Health care providers and services
33 Micro Holding Corp. Software
34 United Airlines Holdings Inc. Airlines
35 Envision Healthcare Holdings Inc. Health care providers and services
36 SS&C Technologies Holdings Inc. Software
37 Froneri International Ltd. Food products
38 Acrisure Holdings Inc. Insurance
39 athenahealth Intermediate Holdings LLC Health care technology
40 Radiate Holdco LLC Diversified telecommunication services
41 Ingersoll Rand Inc. Building products
42 Vodafone Group PLC Diversified telecommunication services
43 CommScope Holding Co Inc. Communications equipment
44 Delta Air Lines Inc. Airlines
45 Restaurant Brands International Inc. Hotels, restaurants, and leisure
46 WideOpenWest Finance LLC Media
47 Formula One Entertainment
48 McAfee Corp. Software
49 Air Medical Holdings LLC Health care providers and services
50 Red Ventures Holdco L.P. Media
51 Nexstar Media Group Inc. Media
52 Verscend Holding II Corp. Health care technology
53 Cushman & Wakefield Real estate management and development
54 Amneal Pharmaceuticals Inc. Pharmaceuticals
55 HUB International Ltd. Insurance
56 Flex Acquisition Holdings Inc. Containers and packaging
57 Alight Solutions LLC Commercial services and supplies
58 Intrado Corp. IT services
59 Liberty Latin America Ltd. Diversified telecommunication services
60 Vistra Corp. Electric utilities
61 Blackstone CQP Holdco L.P. Gas utilities
62 Brand Industrial Services Inc. Construction and engineering
63 Cornerstone Building Brands Inc. Building products
64 ADT Inc. Commercial services and supplies
65 Greeneden U.S. Holdings II LLC Software
66 PG&E Corp. Electric utilities
67 Vertiv Holdings LLC Machinery
68 Phoenix Guarantor Inc. Health care providers and services
69 Camelot UK Holdco Ltd. Interactive media and services
70 Alterra Mountain Co. Hotels, restaurants, and leisure
71 Rackspace Technology Global Inc. IT services
72 Gentiva Health Services Inc. Health care providers and services
73 Elanco Animal Health Inc. Pharmaceuticals
74 Alliant Holdings L.P. Insurance
75 AssuredPartners Inc. Insurance
76 Wand NewCo 3 Inc. Diversified consumer services
77 Quikrete Holdings Inc. Construction materials
78 Mitchell Topco Holdings Inc. Software
79 Staples Inc. Specialty retail
80 Refinitiv Parent Ltd. Capital markets
81 Balboa Intermediate Holdings LLC Software
82 DaVita Inc. Health care providers and services
83 Uber Technologies Inc. Road and rail
84 Harbor Freight Tools USA Inc. Specialty retail
85 Vertex HoldCo Inc. Electronic equipment, instruments, and components
86 HSI Holdings I Inc. Software
87 Husky III Holding Ltd. Machinery
88 Team Health Holdings Inc. Health care providers and services
89 Avolon Holdings Ltd. Trading companies and distributors
90 Dun & Bradstreet Holdings Inc. Professional services
91 Select Medical Holdings Corp. Health care providers and services
92 Vertical Topco III GmbH Machinery
93 Tronox Ltd. Chemicals
94 SolarWinds Holdings Inc. Technology hardware, storage, and peripherals
95 Allied Universal Topco LLC Commercial services and supplies
96 Messer Industries GmbH Chemicals
97 Dynasty Acquisition Co. Inc. Aerospace and defense
98 Golden Nugget Inc. Hotels, restaurants, and leisure
99 Banff Parent Inc. Software
100 Ortho-Clinical Diagnostics Bermuda Co. Ltd. Health care equipment and supplies
101 Cineworld Group PLC Entertainment
102 Paysafe Group Holdings II Ltd. IT services
103 Citadel Securities L.P. Capital markets
104 PPD Inc. Life sciences tools and services
105 Belron Group S.A. Diversified consumer services
106 Terrier Media Holdings Inc. Media
107 USI Inc. Insurance
108 iHeartMedia Inc. Media
109 Authentic Brands Group LLC Media
110 Edelman Financial Engines Center LLC (The) Capital markets
111 Aristocrat Leisure Ltd. Household durables
112 Howden Group Holdings Ltd. Insurance
113 GTT Communications Inc. IT services
114 Buckeye Partners L.P. Oil, gas, and consumable fuels
115 Granite Acquisition Inc. Electric utilities
116 Ineos Group Holdings S.A. Chemicals
117 ION Trading Technologies Ltd. Software
118 Jane Street Group LLC Capital markets
119 US Foods Inc. Food and staples retailing
120 White Cap Supply Holdings LLC Distributors
121 Finastra Ltd. Software
122 NFP Corp. Insurance
123 Avaya Holdings Corp. Software
124 Amentum Holdings LLC Construction and engineering
125 FEH Inc. Capital markets
126 VICI Properties Inc. Real estate management and development
127 SeaWorld Parks & Entertainment Inc. Hotels, restaurants, and leisure
128 Milano Holding Corp. IT services
129 Lightstone HoldCo LLC Project finance: power
130 Michaels Cos. Inc. (The) Specialty retail
131 Station Casinos LLC Hotels, restaurants, and leisure
132 Gates Global LLC Machinery
133 U.S. Anesthesia Partners Holdings Inc. Health care providers and services
134 Delek US Holdings Inc. Oil, gas, and consumable fuels
135 Pugnacious Endeavors Inc. Internet and direct marketing retail
136 SK Blue Holdings L.P. Chemicals
137 Oryx Midstream Holdings LLC Oil, gas, and consumable fuels
138 AmWINS Group Inc. Insurance
139 WestJet Airlines Ltd. Airlines
140 Solera Parent Holding LLC Software
141 Project Boost Purchaser LLC Software
142 Telesat Holdings Inc. Diversified telecommunication services
143 Reynolds Consumer Products Inc. Containers and packaging
144 Epicor Holdings Corp. Software
145 GFL Environmental Inc. Commercial services and supplies
146 Wilsonart LLC Building products
147 VFH Parent LLC Capital markets
148 Rocket Software Inc. Software
149 Seahawk Holdings Ltd. Software
150 GrafTech International Ltd. Electrical equipment
151 Whatabrands LLC Hotels, restaurants, and leisure
152 H-Food Holdings LLC Food products
153 West Street Holdings III Ltd. Life sciences tools and services
154 Solenis UK International Ltd. Chemicals
155 MultiPlan Corp. Health care providers and services
156 Tenneco Inc. Auto components
157 Connect Bidco Ltd. Wireless telecommunication services
158 Grifols S.A. Biotechnology
159 BCP Renaissance Parent L.L.C. Capital markets
160 Alphabet Holding Co. Inc. Personal products
161 Aramark Commercial services and supplies
162 Duff & Phelps Holdings Corp. Professional services
163 BroadStreet Partners Inc. Insurance
164 CAA Holdings LLC Entertainment
165 Ryan Specialty Group LLC Insurance
166 Ithacalux Srl IT services
167 J&F Investimentos S.A. Food products
168 Playtika Holding Corp. Entertainment
169 Project Alpha Intermediate Holding Inc. Software
170 Meredith Corp. Media
171 Hudson River Trading LLC Software
172 LS Group OpCo Acquisition LLC Specialty retail
173 Motion Midco Ltd. Hotels, restaurants, and leisure
174 Auris Luxembourg II Srl Health care equipment and supplies
175 Sunshine Luxembourg VII Srl Personal products
176 Iridium Communications Inc. Diversified telecommunication services
177 MTN Infrastructure TopCo Inc. Diversified telecommunication services
178 NASCAR Holdings LLC Entertainment
179 ProAmpac PG Intermediate LLC Containers and packaging
180 Traverse Midstream Partners LLC Construction and engineering
181 Filtration Group Corp. Machinery
182 Blackstone Mortgage Trust Inc. Mortgage real estate investment trusts (REITs)
183 Navicure Inc. Health care technology
184 Charter NEX US Inc. Containers and packaging
185 IG Investments Holdings LLC IT services
186 DCert Buyer Inc. IT services
187 Flexera Software LLC Software
188 Gray Television Inc. Media
189 CHG Healthcare Services Inc. Health care providers and services
190 Lucid Energy Group II LLC Oil, gas, and consumable fuels
191 XPO Logistics Inc. Air freight and logistics
192 AI Aqua Srl Machinery
193 Realogy Group LLC Real estate management and development
194 Edgewater Generation LLC Project finance: Power
195 Sabre Corp. Software
196 Blackhawk Network Holdings Inc. IT services
197 Penn National Gaming Inc. Hotels, restaurants, and leisure
198 Pro Mach Group Inc. Machinery
199 Sotera Health Topco Inc. Life sciences tools and services
200 Surf Intermediate I Ltd. Software
201 Agiliti Inc. Health care providers and services
202 Endurance International Group Inc. IT services
203 Maxar Technologies Inc. Aerospace and defense
204 Castle Intermediate Holding V Ltd. Software
205 Go Daddy Operating Co. LLC IT services
206 PQ Corp. Chemicals
207 USS Ultimate Holdings Inc. Commercial services and supplies
208 Toro Private Holdings I Ltd. IT services
209 Sophia Holding Finance L.P. Software
210 Mavis Tire Express Services Corp. Specialty retail
211 Radiology Partners Holdings LLC Health care providers and services
212 AppLovin Corp. Software
213 Ivanti Software Inc. Software
214 SRS Distribution Inc. Trading companies and distributors
215 SBA Communications Corp. Wireless Telecommunication Services
216 Spin Holdco Inc. d/b/a CSC ServiceWorks Trading companies and distributors
217 LTI Holdings Inc. Auto components
218 Romulus Intermediate Holdings 2 Inc. Health care providers and services
219 Achilles HoldCo LLC Insurance
220 Advisor Group Holdings Inc. Capital markets
221 Outdoor Home Services Holdings LLC Commercial services and supplies
222 BCP Raptor HoldCo Oil, gas, and consumable fuels
223 Univar Solutions Inc. Trading companies and distributors
224 AlixPartners LLP Professional services
225 Navistar International Corp. Machinery
226 LogMeIn Inc. Software
227 Clear Channel Outdoor Holdings Inc. Media
228 Macquarie Infrastructure Corp. Transportation Infrastructure
229 Civitas Solutions Inc. Health care providers and services
230 Azalea TopCo Inc. Capital markets
231 CityCenter Holdings LLC Real estate management and development
232 Explorer Holdings Inc. Health care technology
233 AqGen Ascensus Inc. Capital markets
234 Air Methods Corp. Health care providers and services
235 VS Holding I Inc. Software
236 Consolidated Communications Holdings Inc. Diversified telecommunication services
237 Allnex (Luxembourg) & Cy SCA Chemicals
238 PCI Gaming Authority Hotels, restaurants, and leisure
239 ExamWorks Group Inc. Health care providers and services
240 AI Convoy (Luxembourg) Srl Aerospace and defense
241 Dealer Tire LLC Distributors
242 Syniverse Holdings Inc. IT services
243 Alera Group Intermediate Holdings Inc. Insurance
244 TKC Holdings Inc. Food and staples retailing
245 Guidehouse LLP Professional services
246 Web.com IT services
247 Zelis Healthcare Corp. IT services
248 Nexus Buyer LLC Capital markets
249 Eastern Power LLC Project finance: power
250 KUEHG Corp. Diversified consumer services
BSL CLO--Broadly syndicated collateralized loan obligation. GICS--Global Industry Classification Standard.

Appendix: SPWARF

The SPWARF of a CLO portfolio provides an indication of the portfolio's overall credit rating distribution weighted by each asset's par balance. The rating factor for each of the portfolio assets is determined by S&P Global Ratings' 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 Ratings' 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 1,234
BB- 1,565
B+ 1,982
B 2,860
B- 3,610
CCC+ 4,641
CCC 5,293
CCC- 5,751
CC 10,000
SD 10,000
D 10,000

Related Research

  • Credit Trends: The Expansion Of The 'B-' Segment Is Feeding Growing Vulnerabilities, Sept. 25, 2019

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 + (212) 438-8991;
stephen.anderberg@spglobal.com

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