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).
Obligor And Industry Diversification
Table 1 shows the various cohorts of U.S. BSL CLO exposures over recent quarters.
|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 (%)|
|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|
Table 2 shows the Global Industry Classification Standard (GICS) industry breakdown of U.S. BSL CLO exposures.
|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 (%)|
|Healthcare Providers and Services||6.11||3,002||98.79||56.19||16.67||0.82|
|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|
|Commercial Services and Supplies||3.25||2,691||98.98||63.13||16.13||1.43|
|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|
|Health Care Technology||1.92||2,887||99.96||63.08||0.00||0.00|
|Oil, Gas and Consumable Fuels||1.74||2,778||95.03||65.45||26.09||0.00|
|Diversified Consumer Services||1.64||2,885||99.36||60.49||7.58||4.77|
|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|
|Life Sciences Tools and Services||1.13||2,385||99.80||54.35||0.00||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|
|Metals and Mining||0.79||2,662||99.41||58.42||7.05||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|
|Food and Staples Retailing||0.54||2,276||99.19||63.66||5.69||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|
|Internet and Direct Marketing Retail||0.40||3,201||98.85||53.13||60.27||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|
|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|
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.
|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|
|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|
|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.|
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|
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.
This report does not constitute a rating action.
|Primary Credit Analysts:||Daniel Hu, FRM, New York + 1 (212) 438 2206;|
|Vijesh MV, Pune;|
|Secondary Contact:||Jimmy N Kobylinski, New York + 1 (212) 438 6314;|
|CLO Sector Lead:||Stephen A Anderberg, New York + (212) 438-8991;|
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