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U.S. BSL CLO Top Obligors And Industries Report: Third-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 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).

Chart 1

image

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 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 (%)
Top 10 6.52 6.78 6.89 6.88 6.59 6.30 6.04 6.13 6.28
Top 50 19.21 19.73 19.96 20.41 20.28 20.03 19.62 19.90 20.22
Top 250 52.37 52.78 53.77 53.98 53.61 53.08 52.25 52.53 52.66
251-500 20.99 20.97 21.18 21.28 21.27 21.46 21.40 21.11 20.84
501-750 13.07 12.83 12.69 12.70 12.90 12.95 13.11 12.95 12.87
751-1,000 7.98 8.02 7.70 7.57 7.72 7.78 7.98 8.02 8.12
1,001-1,250 4.17 4.14 3.66 3.75 3.72 3.92 4.23 4.32 4.43
1,251-1,500 1.21 1.09 0.87 0.72 0.77 0.81 1.01 1.06 1.07
1,500+ 0.22 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 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 (%)
Software 10.32 3,187 99.59 57.98 3.86 9.37 0.82
Healthcare providers and services 6.19 3,013 98.88 55.55 3.87 15.18 1.18
IT services 4.97 3,072 98.42 60.27 3.59 13.64 0.00
Hotels, restaurants, and leisure 4.91 2,714 98.71 69.72 3.15 26.41 0.01
Media 4.88 2,497 96.56 69.30 3.15 17.43 0.00
Diversified telecommunication services 4.73 2,337 98.79 65.09 3.04 24.24 2.59
Capital markets 4.12 2,106 99.39 50.59 3.33 11.65 0.00
Commercial services and supplies 3.52 2,648 99.20 64.00 3.50 15.34 1.15
Chemicals 3.47 2,533 99.56 64.23 3.42 3.10 2.60
Machinery 3.42 2,957 99.52 55.42 3.57 15.06 0.00
Specialty retail 2.71 2,435 98.72 59.73 3.67 8.77 0.00
Insurance 2.65 2,829 99.43 52.94 3.42 9.32 0.12
Containers and packaging 2.36 2,738 99.40 57.34 3.39 8.57 0.00
Entertainment 2.14 2,922 97.64 62.31 3.00 40.35 0.00
Trading companies and distributors 2.09 2,742 99.00 54.27 3.27 21.65 0.00
Professional services 2.04 2,843 99.24 56.51 3.75 3.74 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
Pharmaceuticals 1.87 2,467 99.11 66.46 3.29 29.68 0.00
Oil, gas, and consumable fuels 1.67 2,636 96.25 68.91 3.69 10.26 0.00
Food products 1.62 2,629 99.35 62.63 3.15 5.73 0.00
Building products 1.57 2,239 99.51 56.30 3.21 8.90 0.00
Auto components 1.57 2,871 99.40 55.43 3.61 7.09 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
Airlines 1.36 2,729 100.31 64.21 3.36 18.55 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
Communications equipment 0.77 3,341 97.67 60.06 3.73 11.24 0.00
Household durables 0.73 2,746 98.53 63.69 3.75 9.13 0.00
Electrical equipment 0.68 2,801 99.25 53.85 3.45 9.43 0.00
Real estate management and development 0.66 1,678 99.13 65.46 2.82 15.27 0.00
Personal products 0.66 3,397 95.51 60.30 3.96 22.10 0.00
Independent power and renewable electricity producers 0.64 1,844 98.61 90.04 2.95 0.00 0.00
Construction materials 0.57 1,845 99.14 47.19 2.96 0.00 0.00
Electric utilities 0.56 1,622 98.91 76.62 3.10 39.66 0.00
Distributors 0.55 3,133 99.56 55.97 4.43 35.27 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
Leisure products 0.44 2,382 99.56 61.48 3.66 12.59 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
Transportation infrastructure 0.35 2,569 99.89 60.56 3.29 0.00 0.00
Biotechnology 0.33 2,635 99.31 62.53 3.00 58.41 0.00
Beverages 0.29 2,925 99.20 60.17 3.57 9.89 0.00
Semiconductors and semiconductor equipment 0.29 2,386 94.39 59.65 2.72 25.52 0.00
Household products 0.25 3,306 98.55 64.30 3.28 14.96 0.00
Automobiles 0.22 1,609 99.64 57.74 3.06 23.45 0.00
Equity real estate investment trusts (REITs) 0.19 2,328 97.94 82.75 2.16 65.49 0.00
Gas utilities 0.19 2,860 99.67 60.00 3.75 0.00 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
Water utilities 0.08 4,641 97.56 60.00 5.75 0.00 0.00
Multiline retail 0.07 3,784 82.52 48.41 4.90 31.85 0.00
Consumer finance 0.02 3,338 99.88 4.37 0.00 0.00
Marine 0.01 4,641 74.00 70.00 6.00 100.00 0.00
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
Industrial conglomerates 0.00 4,641 90.00 4.75 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

Table 3

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
17 Ineos Ltd. Chemicals
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
27 UKG Inc. Software
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.

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.

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.

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
Research Contributor:Vijesh MV, CRISIL Global Analytical Center, an S&P affiliate, Mumbai

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