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

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

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 Fourth-quarter 2021 (%) Third-quarter 2021 (%) Second-quarter 2021 (%) First-quarter 2021 (%) Fourth-quarter 2020 (%) Third-quarter 2020 (%) Second-quarter 2020 (%) First-quarter 2020 (%) Fourth-quarter 2019 (%)
Top 10 6.43 6.52 6.78 6.89 6.88 6.59 6.30 6.04 6.13
Top 50 19.19 19.21 19.73 19.96 20.41 20.28 20.03 19.62 19.90
Top 250 52.32 52.37 52.78 53.77 53.98 53.61 53.08 52.25 52.53
251-500 20.81 20.99 20.97 21.18 21.28 21.27 21.46 21.40 21.11
501-750 13.02 13.07 12.83 12.69 12.70 12.90 12.95 13.11 12.95
751-1,000 8.04 7.98 8.02 7.70 7.57 7.72 7.78 7.98 8.02
1,001-1,250 4.33 4.17 4.14 3.66 3.75 3.72 3.92 4.23 4.32
1,251-1,500 1.25 1.21 1.09 0.87 0.72 0.77 0.81 1.01 1.06
1,500+ 0.24 0.22 0.18 0.12 0.00 0.00 0.00 0.01 0.01
BSL CLO--Broadly syndicated loan 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 Fourth-Quarter 2021 U.S. BSL CLO Exposures
GIC industries U.S. BSL CLO exposures (%) SPWARF(i) WAP(i) WARR (%)(i) WAS (%)(i) Outlook negative (%) CreditWatch negative (%)
Software 10.68 3,233 99.36 57.91 3.85 6.65 2.07
Healthcare providers and services 6.56 2,943 98.39 55.51 3.83 14.45 0.77
Hotels, restaurants, and leisure 4.89 2,554 98.73 70.21 3.12 16.02 0.03
Media 4.76 2,471 95.88 69.63 3.16 13.39 0.00
IT services 4.67 2,939 98.57 60.33 3.61 10.48 0.00
Diversified telecommunication services 4.55 2,307 98.54 65.19 3.03 23.12 2.79
Capital markets 4.03 2,153 99.35 50.73 3.37 10.24 0.00
Machinery 3.62 2,859 99.39 55.44 3.56 13.37 0.78
Commercial services and supplies 3.54 2,642 99.05 64.23 3.50 10.62 1.09
Chemicals 3.42 2,559 99.36 64.19 3.41 0.42 0.38
Insurance 2.69 2,720 99.18 53.57 3.38 9.52 0.06
Specialty retail 2.68 2,412 98.87 59.33 3.62 8.06 0.00
Containers and packaging 2.36 2,785 99.05 56.91 3.47 12.96 0.00
Trading companies and distributors 2.24 2,662 99.08 54.76 3.19 11.78 0.00
Entertainment 2.11 2,922 97.20 62.70 3.01 35.56 0.00
Aerospace and defense 2.00 2,693 98.80 54.93 3.45 44.26 0.00
Health care technology 1.92 3,242 99.83 63.38 3.95 3.88 18.23
Professional services 1.91 2,848 99.06 57.87 3.76 3.32 0.00
Pharmaceuticals 1.76 2,351 98.92 66.64 3.22 30.87 0.00
Food products 1.65 2,589 99.21 63.05 3.16 7.48 0.00
Oil, gas, and consumable fuels 1.64 2,333 97.29 69.28 3.66 7.32 0.00
Building products 1.62 2,270 99.49 56.49 3.23 8.43 0.00
Life sciences tools and services 1.55 2,421 99.86 53.74 3.08 10.39 0.00
Auto components 1.54 2,951 98.96 54.84 3.62 5.99 0.00
Construction and engineering 1.47 2,957 98.91 52.15 4.00 26.67 0.00
Airlines 1.32 2,737 99.45 63.27 3.36 18.63 0.00
Diversified consumer services 1.19 3,222 99.01 56.07 3.74 1.33 0.00
Project finance: power 1.13 2,039 91.84 71.30 3.96 34.67 0.00
Road and rail 1.03 2,274 99.28 68.57 3.15 3.39 0.00
Electronic equipment, instruments, and components 1.00 2,863 99.17 53.40 3.71 0.00 0.00
Healthcare equipment and supplies 0.95 3,310 98.37 57.89 4.29 14.67 3.74
Interactive media and services 0.94 2,669 99.63 60.63 3.60 0.00 0.00
Household durables 0.84 2,530 98.26 63.50 3.57 10.20 0.00
Communications equipment 0.75 3,335 98.14 60.11 3.69 0.23 0.07
Electrical equipment 0.65 2,814 99.12 53.87 3.34 10.66 0.00
Personal products 0.63 3,360 94.34 61.09 3.97 30.47 0.00
Independent power and renewable electricity producers 0.63 1,841 98.25 88.20 2.93 0.00 0.00
Distributors 0.61 3,088 99.03 55.16 4.44 14.57 0.00
Electric utilities 0.56 1,519 99.08 76.54 3.13 39.93 0.00
Construction materials 0.55 2,326 99.03 45.82 2.98 0.00 0.00
Semiconductors and semiconductor equipment 0.53 1,930 96.60 55.14 2.59 13.55 0.00
Metals and mining 0.49 2,767 99.20 57.49 4.11 3.07 0.00
Internet and direct marketing retail 0.49 3,254 99.06 55.80 4.10 0.00 0.00
Leisure products 0.48 2,395 99.49 59.80 3.69 0.00 2.23
Food and staples retailing 0.48 2,174 99.32 71.98 3.57 5.61 0.00
Wireless telecommunication services 0.45 2,841 99.20 64.60 3.42 0.00 0.00
Real estate management and development 0.39 1,857 98.96 51.67 3.11 19.63 0.00
Textiles, apparel, and luxury goods 0.39 3,232 95.94 61.97 4.50 24.61 0.00
Mortgage real estate investment trusts (REITs) 0.39 1,856 99.33 3.20 0.00 0.00
Air freight and logistics 0.38 3,507 99.85 55.25 4.38 12.84 0.00
Biotechnology 0.33 2,508 99.20 62.80 3.05 59.36 0.00
Technology hardware, storage, and peripherals 0.31 3,128 98.59 57.37 3.75 0.00 0.00
Beverages 0.29 2,934 97.90 54.24 3.57 70.34 0.00
Transportation infrastructure 0.29 2,471 99.74 61.13 3.09 0.00 0.00
Household products 0.26 3,216 98.04 63.64 3.22 28.01 0.00
Automobiles 0.21 1,613 99.41 60.93 2.80 23.05 0.00
Gas utilities 0.19 2,860 99.71 60.00 3.75 0.00 0.00
Equity real estate investment trusts (REITs) 0.18 2,282 97.85 85.12 2.18 32.48 0.00
Paper and forest products 0.18 2,312 99.20 60.92 4.47 18.62 0.00
Energy equipment and services 0.16 3,854 92.99 68.16 4.91 42.39 0.00
Thrifts and mortgage finance 0.14 2,354 94.83 79.90 3.51 0.00 0.00
Project finance: oil and gas 0.14 2,490 96.85 66.16 3.66 0.00 24.51
Multiline retail 0.07 3,666 82.42 50.84 4.85 28.78 0.00
Water utilities 0.07 4,641 97.34 60.00 5.75 0.00 0.00
Consumer finance 0.02 3,066 99.81 95.00 4.28 0.00 0.00
Marine 0.01 4,641 84.00 70.00 6.00 100.00 0.00
Project finance: public finance and real estate 0.00 5,751 7.21 0.00 0.00
Industrial conglomerates 0.00 4,641 90.00 90.00 4.75 0.00 0.00
Project finance: telecommunications 0.00 5,751 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/100963170

Table 3

Top 50 Obligors Held In U.S. BSL CLOs (Fourth-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 Peraton Corp. Aerospace and defense
11 Medline Borrower L.P. Healthcare providers and services
12 Univision Communications Inc. Media
13 Volt Parent, LP Independent power and renewable electricity producers
14 Ineos Ltd. Chemicals
15 Caesars Entertainment Inc. Hotels, restaurants, and leisure
16 Brookfield Asset Management Inc. Capital markets
17 United Airlines Holdings Inc. Airlines
18 Inspire Brands Inc. Hotels, restaurants, and leisure
19 Acrisure Holdings Inc. Insurance
20 athenahealth Intermediate Holdings, LLC Health care technology
21 Sedgwick L.P. IT services
22 Front Range Bidco, Inc. Diversified telecommunication services
23 UKG Inc. Software
24 ICON PLC Life sciences tools and services
25 Alliant Holdings, L.P. Insurance
26 Nouryon Cooperatief U.A. Chemicals
27 Brookfield WEC Holdings Inc. Electrical equipment
28 Scientific Games Corp. Hotels, restaurants, and leisure
29 Clarios Global L.P. Auto components
30 Micro Holding Corp. Software
31 EG Group Ltd. Specialty retail
32 Bausch Health Cos. Inc. Pharmaceuticals
33 Verscend Holding II Corp. Health care technology
34 Balboa Intermediate Holdings LLC Software
35 Micro Focus International PLC Software
36 Radiate Holdco LLC Diversified telecommunication services
37 Air Medical Holdings LLC Healthcare providers and services
38 Phoenix Guarantor Inc. Healthcare providers and services
39 Quikrete Holdings Inc. Construction materials
40 Great Outdoors Group LLC Specialty retail
41 Phoenix Parentco, Inc. Life sciences tools and services
42 CommScope Holding Co Inc. Communications equipment
43 Citadel Securities L.P. Capital markets
44 Allied Universal Topco LLC Commercial services and supplies
45 Froneri International Ltd. Food products
46 Restaurant Brands International Inc. Hotels, restaurants, and leisure
47 Vodafone Group PLC Diversified telecommunication services
48 LifePoint Health Inc. Healthcare providers and services
49 Red Ventures Holdco L.P. Media
50 AssuredPartners Inc. Insurance

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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