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

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U.S. BSL CLO Top Obligors And Industries Report: Second-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 second-quarter 2021.

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 Second-quarter 2021 (%) First-quarter 2021 (%) Fourth-quarter 2020 (%) Third-quarter 2020 (%) Second-quarter 2020 (%) First-quarter 2020 (%) Fourth-quarter 2019 (%) Third-quarter 2019 (%)
Top 10 6.78 6.89 6.88 6.59 6.30 6.04 6.13 6.28
Top 50 19.73 19.96 20.41 20.28 20.03 19.62 19.90 20.22
top 250 52.78 53.77 53.98 53.61 53.08 52.25 52.53 52.66
251 to 500 20.97 21.18 21.28 21.27 21.46 21.40 21.11 20.84
501 to 750 12.83 12.69 12.70 12.90 12.95 13.11 12.95 12.87
751 to 1000 8.02 7.70 7.57 7.72 7.78 7.98 8.02 8.12
1,001 to 1,250 4.14 3.66 3.75 3.72 3.92 4.23 4.32 4.43
1,251 to 1,500 1.09 0.87 0.72 0.77 0.81 1.01 1.06 1.07
1,500+ 0.18 0.12 0.00 0.00 0.00 0.01 0.01 0.01

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

Table 2

GIC Industry Breakdown Of US BSL CLO Exposures (Q2 2021)
GIC Industries US BSL CLO exposures (%) SPWARF(i) WAP(i) WARR (%)(i) Outlook negative (%) CreditWatch negative (%)
Software 9.81 3,175 99.53 58.30 11.77 0.37
Healthcare Providers and Services 6.11 3,002 98.79 56.19 16.67 0.82
IT Services 5.29 3,179 97.99 58.64 15.94 0.00
Media 5.09 2,423 96.46 69.18 23.27 0.00
Hotels, Restaurants and Leisure 4.95 2,820 98.57 69.00 48.08 1.01
Diversified Telecommunication Services 4.72 2,320 98.81 65.72 25.29 2.51
Capital Markets 4.32 2,068 99.20 52.69 20.57 1.11
Chemicals 3.63 2,523 99.40 64.24 5.35 0.88
Commercial Services and Supplies 3.25 2,691 98.98 63.13 16.13 1.43
Machinery 3.16 2,961 99.30 56.25 16.20 0.18
Insurance 2.66 2,782 99.36 52.84 10.41 0.00
Specialty Retail 2.38 2,747 98.42 59.18 11.97 0.00
Entertainment 2.21 2,942 97.95 61.45 62.96 0.00
Containers and Packaging 2.17 2,764 99.19 58.03 14.48 0.00
Aerospace and Defense 2.12 2,679 98.91 54.43 55.17 0.00
Trading Companies and Distributors 2.03 2,644 99.00 59.72 20.68 0.68
Professional Services 1.97 2,947 98.95 57.11 14.74 0.00
Health Care Technology 1.92 2,887 99.96 63.08 0.00 0.00
Pharmaceuticals 1.88 2,355 98.79 69.37 35.53 0.00
Oil, Gas and Consumable Fuels 1.74 2,778 95.03 65.45 26.09 0.00
Food Products 1.72 2,538 99.28 63.16 3.07 0.00
Diversified Consumer Services 1.64 2,885 99.36 60.49 7.58 4.77
Building Products 1.51 2,306 99.60 53.92 5.56 0.00
Airlines 1.47 2,758 100.31 62.33 94.26 0.00
Electronic Equipment, Instruments and Components 1.30 2,426 99.46 59.68 4.58 0.00
Project finance: Power 1.28 2,162 91.75 70.36 44.37 0.00
Construction and Engineering 1.25 2,946 99.61 54.19 38.04 0.00
Auto Components 1.24 2,845 99.33 57.11 9.13 0.00
Life Sciences Tools and Services 1.13 2,385 99.80 54.35 0.00 0.00
Electrical Equipment 1.03 2,886 98.90 52.14 3.11 0.00
Healthcare Equipment and Supplies 0.99 3,396 98.97 57.22 21.52 3.02
Interactive Media and Services 0.83 2,845 99.70 63.70 8.92 0.00
Household Durables 0.80 2,716 98.69 60.59 9.08 0.00
Metals and Mining 0.79 2,662 99.41 58.42 7.05 0.00
Personal Products 0.78 3,380 95.28 59.52 34.92 0.00
Communications Equipment 0.78 3,358 97.16 61.10 12.38 0.00
Road and Rail 0.74 3,193 99.46 60.59 5.36 0.00
Independent Power and Renewable Electricity Producers 0.67 1,862 98.27 89.89 0.00 7.62
Real Estate Management and Development 0.62 2,055 99.02 71.36 20.97 0.00
Electric Utilities 0.58 1,489 98.96 77.32 40.91 0.15
Construction Materials 0.55 1,868 98.88 48.60 0.00 0.00
Food and Staples Retailing 0.54 2,276 99.19 63.66 5.69 0.00
Distributors 0.51 3,183 99.59 55.75 36.38 0.00
Technology Hardware, Storage and Peripherals 0.46 2,673 98.48 64.15 0.77 0.00
Wireless Telecommunication Services 0.44 2,852 99.19 65.50 33.46 0.00
Air Freight and Logistics 0.41 2,664 99.48 68.65 0.25 0.00
Textiles, Apparel and Luxury Goods 0.40 3,350 94.64 60.91 32.06 0.00
Leisure Products 0.40 2,633 99.71 59.80 28.04 0.00
Internet and Direct Marketing Retail 0.40 3,201 98.85 53.13 60.27 0.00
Biotechnology 0.38 2,279 99.53 60.92 23.27 0.00
Mortgage Real Estate Investment Trusts (REITs) 0.38 1,847 99.55 0.00 0.00
Semiconductors and Semiconductor Equipment 0.33 2,352 95.57 61.42 25.47 6.74
Beverages 0.27 2,961 99.44 60.30 10.75 0.00
Automobiles 0.26 1,790 99.54 58.12 17.42 0.00
Transportation Infrastructure 0.25 2,527 99.72 74.95 0.00 46.87
Household Products 0.24 3,111 98.67 64.03 22.34 0.00
Gas Utilities 0.23 2,860 99.59 70.00 0.00 0.00
Equity Real Estate Investment Trusts (REITs) 0.19 2,376 96.65 82.54 66.93 0.00
Energy Equipment and Services 0.16 4,311 90.81 63.87 45.18 0.00
Thrifts and Mortgage Finance 0.15 2,893 94.37 68.96 0.00 0.00
Paper and Forest Products 0.15 2,576 98.74 59.01 12.15 0.00
Project finance: Oil and gas 0.15 2,571 92.78 66.13 0.00 25.49
Water Utilities 0.09 4,641 95.86 60.00 0.00 0.00
Multiline Retail 0.08 3,627 84.30 49.93 30.33 0.00
Consumer Finance 0.01 4,188 0.00 0.00
Marine 0.01 4,641 74.00 70.00 100.00 0.00
Industrial Conglomerates 0.00 3,483 88.00 65.00 33.99 0.00
(i)See appendix.

The Top 50 CLO Obligors

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

Table 3

Top 50 Obligors Held In U.S. BSL CLOs (Q2 2021)
Rank Top 250 obligors held in U.S. BSL CLOs GICS code
1 Liberty Global PLC Diversified Telecommunication Services
2 Altice Europe N.V. Diversified Telecommunication Services
3 NEWAsurion Corp. IT Services
4 Lumen Technologies Inc. Diversified Telecommunication Services
5 Altice USA, Inc. Media
6 TransDigm Inc. Aerospace and Defense
7 American Airlines Group Inc. Airlines
8 Endeavor Operating Co. LLC Entertainment
9 Sinclair Broadcast Group Inc. Media
10 Brookfield Asset Management Inc. Capital Markets
11 Univision Communications Inc. Media
12 Nouryon Cooperatief U.A. Chemicals
13 Peraton Corp. Aerospace and Defense
14 Caesars Entertainment, Inc. Hotels, Restaurants and Leisure
15 Volt Parent, LP Independent Power and Renewable Electricity Producers
16 United Airlines Holdings Inc. Airlines
17 Inspire Brands Inc. Hotels, Restaurants and Leisure
18 Ineos Ltd. Chemicals
19 Sedgwick L.P. IT Services
20 Clarios Global LP Electrical Equipment
21 Scientific Games Corp. Hotels, Restaurants and Leisure
22 Bausch Health Cos. Inc. Pharmaceuticals
23 athenahealth Intermediate Holdings, LLC Health Care Technology
24 Front Range Bidco, Inc. Diversified Telecommunication Services
25 UKG Inc. Software
26 Acrisure Holdings, Inc. Insurance
27 Brookfield WEC Holdings Inc. Electrical Equipment
28 Micro Holding Corp. Software
29 EG Group Ltd. Specialty Retail
30 Micro Focus International PLC Software
31 Charter Communications Inc. Media
32 Restaurant Brands International Inc. Hotels, Restaurants and Leisure
33 Froneri International Ltd. Food Products
34 LifePoint Health, Inc. Healthcare Providers and Services
35 Vodafone Group PLC Diversified Telecommunication Services
36 Verscend Holding II Corp. Health Care Technology
37 Great Outdoors Group, LLC Specialty Retail
38 Air Medical Holdings LLC Healthcare Providers and Services
39 CommScope Holding Co Inc. Communications Equipment
40 Radiate Holdco, LLC Diversified Telecommunication Services
41 Citadel Securities LP Capital Markets
42 Phoenix Guarantor Inc. Healthcare Providers and Services
43 Alliant Holdings, L.P. Insurance
44 Ingersoll Rand Inc. Building Products
45 Envision Healthcare Holdings Inc. Healthcare Providers and Services
46 Allied Universal Topco LLC Commercial Services and Supplies
47 Red Ventures Holdco, LP Media
48 Belron Group S.A. Diversified Consumer Services
49 WideOpenWest Finance LLC Media
50 SS&C Technologies Holdings, Inc. Software
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.

Table 4

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
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 Analysts:Daniel Hu, FRM, New York + 1 (212) 438 2206;
daniel.hu@spglobal.com
Vijesh MV, Pune;
Vijesh.MV@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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