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U.S. BSL CLO Top Obligors And Industries Report: First-Quarter 2021

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U.S. BSL CLO Top Obligors And Industries Report: First-Quarter 2021

S&P Global Ratings has updated its quarterly lists of the top companies with loan issuances held by U.S. broadly syndicated collateralized loan obligations (BSL CLOs) and the industry categories these companies operate within, both ranked on a dollar-weighted basis. The information is based on the most recent trustee reports available to us as of the end of first-quarter 2021. This report combines and replaces our "The Most Widely Referenced Corporate Obligors In Rated U.S. BSL CLOs" and "Sector Averages Of Reinvesting U.S. BSL CLO Assets" quarterly reports.

Significance Of The Top 250 CLO Obligors

For the past several years, the top 250 obligors have represented about half of the assets under management across U.S. BSL CLO exposures rated by S&P Global Ratings. Historically, the top 250 obligors have had stronger credit quality, as measured by ratings, relative to the remaining U.S. BSL CLO obligors (the less widely held issuers) we rate.

If the top 250 obligors within U.S. BSL CLOs are treated as a hypothetical portfolio, we can calculate the S&P Global Ratings weighted average rating factor (SPWARF) to indicate the average credit quality of these obligors and compare this to cohorts of lesser-held CLO obligors (i.e., obligors ranked 251 through 500, 501 through 750, etc.). The data show that the top 250 obligors within the CLOs consistently have higher credit quality than the less widely held obligors over time (see chart).

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Obligor And Industry Diversification

Table 1 shows the various cohorts of U.S. BSL CLO exposures over recent quarters.

Table 1

U.S. BSL CLO Diversification
(%)
Obligors ranked Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020 Q4 2019 Q3 2019
Top 10 6.89 6.88 6.59 6.30 6.04 6.13 6.28
Top 50 19.96 20.41 20.28 20.03 19.62 19.90 20.22
top 250 53.77 53.98 53.61 53.08 52.25 52.53 52.66
Top 251-500 21.18 21.28 21.27 21.46 21.40 21.11 20.84
Top 501-750 12.69 12.70 12.90 12.95 13.11 12.95 12.87
Top 751-1,000 7.70 7.57 7.72 7.78 7.98 8.02 8.12
Top 1,001-1,250 3.66 3.75 3.72 3.92 4.23 4.32 4.43
Top 1,251-1,500 0.87 0.72 0.77 0.81 1.01 1.06 1.07
Top 1,500+ 0.12 0.00 0.00 0.00 0.01 0.01 0.01
BSL CLO--Broadly syndicated collateralized loan obligation.

Table 2 shows the Global Industry Classification Standard (GICS) industry breakdown of U.S. BSL CLO exposures.

Table 2

GIC Industry Breakdown Of U.S. BSL CLO Exposures (First-Quarter 2021)
(%)
GICS industries U.S. BSL CLO exposures SPWARF(i) WAP(i) WARR(i) Negative outlook CreditWatch Negative
Software 9.60 3139 99.31 58.96 13.34 0.00
Health care providers and services 6.30 3092 98.21 57.03 22.50 0.00
Media 5.29 2632 96.34 69.84 35.00 0.00
Diversified telecommunication services 5.08 2309 98.88 65.22 24.61 2.57
Hotels, restaurants, and leisure 5.04 2955 97.72 68.21 69.28 0.67
IT services 4.62 3241 97.15 59.73 26.87 1.40
Capital markets 3.59 2094 98.79 52.49 16.47 1.59
Chemicals 3.49 2548 98.93 63.21 26.66 0.00
Insurance 3.46 2589 99.23 52.97 7.48 0.00
Commercial services and supplies 3.24 2805 98.33 62.76 26.69 1.71
Machinery 3.12 3032 98.88 57.31 11.84 0.70
Specialty retail 2.67 2764 97.43 60.74 13.52 0.00
Trading companies and distributors 2.45 2662 98.46 56.94 25.01 0.70
Entertainment 2.33 3212 96.69 60.81 54.51 0.00
Containers and packaging 2.21 2649 98.81 58.19 17.93 0.00
Aerospace and defense 1.97 2677 98.04 53.98 61.57 0.00
Health care technology 1.95 2846 99.76 62.88 1.08 0.00
Professional services 1.87 2881 98.53 58.61 16.71 0.00
Food products 1.81 2412 99.18 62.40 2.01 0.11
Oil, gas, and consumable fuels 1.78 2927 92.35 64.53 45.63 0.00
Pharmaceuticals 1.69 2617 98.99 70.92 27.48 0.00
Diversified consumer services 1.58 3148 98.91 62.36 27.39 4.79
Building products 1.50 2125 99.40 54.39 29.58 0.00
Airlines 1.40 2636 97.89 65.06 97.70 0.00
Project finance: power 1.30 1972 93.88 70.40 33.13 2.90
Auto components 1.27 3156 98.79 57.41 15.05 4.00
Electronic equipment, instruments, and components 1.27 2557 98.98 61.55 16.95 0.02
Life sciences tools and services 1.19 2386 99.57 55.70 0.00 0.00
Construction and engineering 1.12 3020 99.01 52.01 43.20 0.00
Interactive media and services 0.98 2922 99.59 61.76 7.78 0.00
Health care equipment and supplies 0.90 3475 97.75 57.14 28.39 6.46
Metals and mining 0.80 2642 98.71 60.27 10.62 0.00
Personal products 0.80 3566 93.73 58.17 44.00 0.00
Real estate management and development 0.79 2091 97.84 66.24 32.43 0.00
Road and rail 0.79 2839 99.05 62.40 12.48 0.00
Communications equipment 0.78 3186 96.50 61.41 16.18 0.00
Household durables 0.77 2825 98.34 61.87 22.82 0.00
Electrical equipment 0.68 2685 98.43 54.42 6.24 0.00
Independent power and renewable electricity producers 0.67 1870 99.04 89.93 0.00 7.10
Food and staples retailing 0.64 2384 98.77 62.17 6.32 0.00
Technology hardware, storage, and peripherals 0.62 2774 98.13 62.56 11.72 32.55
Distributors 0.55 3224 99.20 56.61 44.48 0.00
Construction materials 0.54 1850 98.88 53.30 0.00 0.00
Electric utilities 0.50 1422 99.49 80.04 48.82 46.61
Wireless telecommunication services 0.42 2671 98.74 67.63 35.45 0.00
Leisure products 0.42 2522 99.44 61.40 19.92 10.51
Semiconductors and semiconductor equipment 0.42 2536 94.62 66.12 31.67 6.18
Biotechnology 0.41 2383 99.31 61.47 22.81 0.00
Internet and direct marketing retail 0.39 3510 95.98 53.43 72.54 0.00
Mortgage real estate investment trusts (REITs) 0.38 1841 99.21 - 100.00 0.00
Air freight and logistics 0.34 2430 99.24 70.73 0.40 0.00
Textiles, apparel, and luxury goods 0.33 3660 90.69 55.42 61.94 0.00
Gas utilities 0.26 2860 99.69 70.00 0.00 0.00
Household products 0.25 3104 97.87 64.16 22.89 0.00
Energy equipment and services 0.20 4415 82.81 66.46 32.12 0.00
Equity real estate investment trusts (REITs) 0.19 1964 96.54 82.46 100.00 0.00
Thrifts and mortgage finance 0.18 3116 93.07 66.45 15.20 0.00
Automobiles 0.17 1389 99.42 58.24 0.75 0.00
Project finance: oil and gas 0.14 1643 98.70 77.12 27.82 0.00
Transportation infrastructure 0.14 2211 99.92 91.72 0.00 0.00
Paper and forest products 0.11 2234 98.64 72.86 11.07 0.00
Water utilities 0.09 3610 94.63 60.00 100.00 0.00
Beverages 0.08 4211 97.32 53.16 64.36 0.00
Multiline retail 0.07 3974 70.36 46.91 50.48 0.00
Marine 0.01 4738 62.66 70.00 85.12 0.00
Consumer finance 0.01 3969 - - 0.00 0.00
(i)See Appendix. BSL CLO--Broadly syndicated collateralized loan obligation. SPWARF--S&P Global Ratings weighted average rating factor. WAP--Weighted average price. WARR--Weighted average recovery rate.

The Top 50 CLO Obligors

Table 3 shows the top 50 obligors for U.S. BSL CLO transactions. Click this link to download the full ranked list of U.S. BSL CLO exposures.

Table 3

Top 50 Obligors Held In U.S. BSL CLOs (First-Quarter 2021)
Rank Obligor 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

Endeavor Operating Co. LLC

Entertainment
9

Brookfield Asset Management Inc.

Capital markets
10

American Airlines Group Inc.

Airlines
11

Caesars Entertainment Inc.

Hotels, restaurants, and leisure
12

Nouryon Cooperatief U.A.

Chemicals
13

Univision Communications Inc.

Media
14

Inspire Brands Inc.

Hotels, restaurants, and leisure
15

Volt Parent L.P.

Independent power and renewable electricity producers
16

Clarios Global L.P.

Trading companies and distributors
17

Bausch Health Cos. Inc.

Pharmaceuticals
18

Scientific Games Corp.

Hotels, restaurants, and leisure
19

Sedgwick L.P.

IT services
20

Ineos Ltd.

Chemicals
21

athenahealth Intermediate Holdings LLC

Health care technology
22

Front Range Bidco Inc.

Diversified telecommunication services
23

UKG Inc.

Software
24

Brookfield WEC Holdings Inc.

Electrical equipment
25

Charter Communications Inc.

Media
26

Great Outdoors Group LLC

Specialty retail
27

Acrisure Holdings Inc.

Insurance
28

Endo International PLC

Pharmaceuticals
29

Micro Holding Corp.

Software
30

EG Group Ltd.

Specialty retail
31

Micro Focus International PLC

Software
32

Froneri International Ltd.

Food products
33

Peraton Corp.

Aerospace and defense
34

Radiate Holdco LLC

Diversified telecommunication services
35

Verscend Holding II Corp.

Health care technology
36

Change Healthcare Holdings Inc.

Health care technology
37

LifePoint Health Inc.

Health care providers and services
38

Vodafone Group PLC

Diversified telecommunication services
39

Air Medical Holdings LLC

Health care providers and services
40

Envision Healthcare Holdings Inc.

Health care providers and services
41

Ingersoll Rand Inc.

Building products
42

Restaurant Brands International Inc.

Hotels, restaurants, and leisure
43

CommScope Holding Co Inc.

Communications equipment
44

United Airlines Holdings Inc

Airlines
45

Berry Global Group Inc.

Containers and packaging
46

Phoenix Guarantor Inc.

Health care providers and services
47

Delta Air Lines Inc.

Airlines
48

Citadel Securities L.P.

Capital markets
49

WideOpenWest Finance LLC

Media
50

SS&C Technologies Holdings Inc.

Software
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 portfolio asset is determined by S&P Global Rating's credit rating (or implied rating) and the rating factors shown in the table below. The SPWARF is the sum of the product of each collateral obligation's par balance and the S&P Global Ratings rating factor (given the derived S&P Global Ratings credit ratings, including the nonperforming 'CC', 'SD' [selective default], and 'D' ratings), divided by the aggregate principal balance 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.

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
Weighted average recovery rate (WARR)

For a subset of U.S. BSL CLO exposures with an S&P Global Ratings recovery rating, the WARR is the sum product of each asset's recovery rate (the number within parenthesis to the right of the recovery rating) and the asset's par exposure as a percentage of the sum of the par of the subset of assets. For more details on S&P Global Ratings' recovery ratings, see "Recovery Rating Criteria For Speculative-Grade Corporate Issuers," published Dec. 7, 2016.

Weighted average price (WAP)

For a subset of U.S. BSL CLO exposures with loan prices, the WAP is the sum product of each asset's price at the end of the quarter and the asset's par exposure as a percentage of the sum of the par of the subset of assets.

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

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