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 third-quarter 2021. Click the following link to download the full ranked list of U.S. BSL CLO exposures: https://disclosure.spglobal.com/ratings/en/regulatory/article/-/view/sourceId/100596919
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||Third-quarter 2021 (%)||Second-quarter 2021 (%)||First-quarter 2021 (%)||Fourth-quarter 2020 (%)||Third-quarter 2020 (%)||Second-quarter 2020 (%)||First-quarter 2020 (%)||Fourth-quarter 2019 (%)||Third-quarter 2019 (%)|
Table 2 shows the Global Industry Classification Standard (GICS) industry breakdown of U.S. BSL CLO exposures.
|GIC Industry Breakdown Of Third-Quarter 2021 U.S. BSL CLO Exposures|
|GIC Industries||U.S. BSL CLO exposures (%)||SPWARF(i)||WAP(i)||WARR (%)(i)||WAS (%)(i)||Negative outlook (%)||CreditWatch negative (%)|
|Healthcare providers and services||6.19||3,013||98.88||55.55||3.87||15.18||1.18|
|Hotels, restaurants, and leisure||4.91||2,714||98.71||69.72||3.15||26.41||0.01|
|Diversified telecommunication services||4.73||2,337||98.79||65.09||3.04||24.24||2.59|
|Commercial services and supplies||3.52||2,648||99.20||64.00||3.50||15.34||1.15|
|Containers and packaging||2.36||2,738||99.40||57.34||3.39||8.57||0.00|
|Trading companies and distributors||2.09||2,742||99.00||54.27||3.27||21.65||0.00|
|Aerospace and defense||2.00||2,676||99.03||54.27||3.44||49.13||0.00|
|Health care technology||1.94||2,967||99.99||62.81||3.90||3.75||4.02|
|Oil, gas, and consumable fuels||1.67||2,636||96.25||68.91||3.69||10.26||0.00|
|Life sciences tools and services||1.55||2,123||99.97||50.79||3.03||7.88||0.00|
|Construction and engineering||1.39||2,979||99.66||52.10||4.06||29.36||0.00|
|Project finance: power||1.18||2,107||93.79||71.01||3.97||34.26||0.00|
|Diversified consumer services||1.18||3,202||99.32||56.67||3.72||1.62||0.00|
|Road and rail||1.15||2,495||99.50||68.05||3.27||3.24||0.00|
|Electronic equipment, instruments, and components||1.13||2,667||99.48||53.70||3.60||1.50||0.00|
|Healthcare equipment and supplies||0.96||3,368||98.96||57.58||4.23||21.84||2.97|
|Interactive media and services||0.84||2,857||99.85||61.10||3.52||4.32||0.00|
|Real estate management and development||0.66||1,678||99.13||65.46||2.82||15.27||0.00|
|Independent power and renewable electricity producers||0.64||1,844||98.61||90.04||2.95||0.00||0.00|
|Food and staples retailing||0.51||2,278||99.31||63.80||3.54||5.43||0.00|
|Metals and mining||0.49||2,905||99.56||57.77||4.09||9.81||0.00|
|Wireless telecommunication services||0.42||2,817||99.32||65.95||3.30||0.00||0.00|
|Textiles, apparel, and luxury goods||0.40||3,272||95.78||61.04||4.54||29.87||0.00|
|Mortgage real estate investment trusts (REITs)||0.39||1,858||99.46||3.27||0.00||0.00|
|Internet and direct marketing retail||0.38||3,202||98.95||53.34||3.93||0.00||0.00|
|Air freight and logistics||0.38||3,138||99.81||55.43||4.27||19.42||0.00|
|Technology hardware, storage, and peripherals||0.37||2,908||98.68||60.19||3.59||0.00||0.00|
|Semiconductors and semiconductor equipment||0.29||2,386||94.39||59.65||2.72||25.52||0.00|
|Equity real estate investment trusts (REITs)||0.19||2,328||97.94||82.75||2.16||65.49||0.00|
|Paper and forest products||0.16||2,599||98.79||59.25||4.40||20.94||0.00|
|Energy equipment and services||0.16||3,874||93.01||67.68||4.93||41.86||0.00|
|Thrifts and mortgage finance||0.14||2,981||94.87||69.36||3.76||0.00||0.00|
|Project finance: oil and gas||0.14||2,489||96.13||66.21||3.65||0.00||24.19|
|Project finance: public finance and real estate||0.00||5,751||7.17||0.00||0.00|
|Project finance: Telecommunications||0.00||5,751||0.00||0.00|
|Project finance: natural resources and mining||0.00||5,751||9.00||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. WAS--Weighted average spread.|
The Top 50 CLO Obligors
Table 3 shows the top 50 obligors for U.S. BSL CLO transactions. Again, click the following link to download the full ranked list of U.S. BSL CLO exposures: https://disclosure.spglobal.com/ratings/en/regulatory/article/-/view/sourceId/100596919
|Top 50 Obligors Held In U.S. BSL CLOs (Third-Quarter 2021)|
|Rank||Top 250 obligors held in U.S. BSL CLOs||GICS code|
|1||Liberty Global PLC||Diversified telecommunication services|
|2||NEWAsurion Corp.||IT services|
|3||Altice Europe N.V.||Diversified telecommunication 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 Group Holdings, Inc.||Entertainment|
|9||Sinclair Broadcast Group Inc.||Media|
|10||Brookfield Asset Management Inc.||Capital markets|
|11||Peraton Corp.||Aerospace and defense|
|12||Univision Communications Inc.||Media|
|13||Volt Parent, LP||Independent power and renewable electricity producers|
|14||Caesars Entertainment Inc.||Hotels, restaurants, and leisure|
|15||United Airlines Holdings Inc.||Airlines|
|16||Inspire Brands Inc.||Hotels, restaurants, and leisure|
|18||athenahealth InterMediate Holdings, LLC||Health care technology|
|19||Sedgwick L.P.||IT services|
|20||ICON PLC||Life sciences tools and services|
|21||Acrisure Holdings, Inc.||Insurance|
|22||Front Range Bidco, Inc.||Diversified telecommunication services|
|23||Clarios Global LP||Auto components|
|24||Nouryon Cooperatief U.A.||Chemicals|
|25||Scientific Games Corp.||Hotels, restaurants, and leisure|
|26||Brookfield WEC Holdings Inc.||Electrical equipment|
|28||Micro Holding Corp.||Software|
|29||EG Group Ltd.||Specialty retail|
|30||Verscend Holding II Corp.||Health care technology|
|31||Micro Focus International PLC||Software|
|32||Bausch Health Cos. Inc.||Pharmaceuticals|
|33||Great Outdoors Group LLC||Specialty retail|
|34||Quikrete Holdings, Inc.||Construction materials|
|35||Phoenix Guarantor Inc.||Healthcare providers and services|
|36||Air Medical Holdings LLC||Healthcare providers and services|
|37||CommScope Holding Co Inc.||Communications equipment|
|38||Citadel Securities LP||Capital markets|
|39||West Street Holdings III Ltd.||Life sciences tools and services|
|40||Froneri International Ltd.||Food products|
|41||Restaurant Brands International Inc.||Hotels, restaurants, and leisure|
|42||Vodafone Group PLC||Diversified telecommunication services|
|43||Alliant Holdings, L.P.||Insurance|
|44||Allied Universal Topco LLC||Commercial services and supplies|
|45||LifePoint Health, Inc.||Healthcare providers and services|
|46||Radiate Holdco, LLC||Diversified telecommunication services|
|47||Red Ventures Holdco, LP||Media|
|48||Gainwell Holding Corp.||IT services|
|49||Charter Communications Inc.||Media|
|50||Ingersoll Rand Inc.||Building products|
|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.
Weighted average spread (WAS)
For a subset of floating-rate assets, the WAS is the sum product of each asset's nominal spread above the base rate 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 Analyst:||Daniel Hu, FRM, New York + 1 (212) 438 2206;|
|Secondary Contact:||Jimmy N Kobylinski, New York + 1 (212) 438 6314;|
|CLO Sector Lead:||Stephen A Anderberg, New York + (212) 438-8991;|
|Research Contributor:||Vijesh MV, CRISIL Global Analytical Center, an S&P affiliate, Mumbai|
No content (including ratings, credit-related analyses and data, valuations, model, software or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.
Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment and experience of the user, its management, employees, advisors and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.
To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw or suspend such acknowledgment at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.
S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain non-public information received in connection with each analytical process.
S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, www.standardandpoors.com (free of charge), and www.ratingsdirect.com and www.globalcreditportal.com (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at www.standardandpoors.com/usratingsfees.
Any Passwords/user IDs issued by S&P to users are single user-dedicated and may ONLY be used by the individual to whom they have been assigned. No sharing of passwords/user IDs and no simultaneous access via the same password/user ID is permitted. To reprint, translate, or use the data or information other than as provided herein, contact S&P Global Ratings, Client Services, 55 Water Street, New York, NY 10041; (1) 212-438-7280 or by e-mail to: firstname.lastname@example.org.