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CLO Spotlight: The Most Widely Referenced Corporate Obligors In Rated U.S. BSL CLOs: Third-Quarter 2019

S&P Global Ratings is publishing a list of the top 250 companies with loan issuances that are held by U.S. broadly syndicated collateralized loan obligations (BSL CLOs) in the third quarter of 2019. The companies are ranked on a dollar-weighted basis, based on the issuances held by U.S. BSL CLOs. The information is based on the trustee reports issued in third-quarter 2019.

SPWARF For The Top 250

The S&P Global Ratings weighted average rating factor, or SPWARF, is one of the six portfolio benchmarks (see the SPWARF section in the appendix for details). The SPWARF benchmark provides information on the credit quality of a given CLO portfolio, with lower-rated portfolios producing a higher SPWARF and vice versa. The new benchmark is intended to increase transparency and make it easier to compare the average ratings in CLO portfolios.

If we treat the top 250 obligors within U.S. BSL CLOs as a hypothetical portfolio of the most widely held issuers, the SPWARF for the loans issued by the top 250 obligors (weighted by their exposures within rated U.S. BSL CLOs) is 2451 as of the end of third-quarter 2019, up from 2332 as of the first-quarter 2018, indicating that there has been a slight negative shift in the rating distribution of the top 250 issuers.

Table 1

Top 250 BSL CLO SPWARF
SPWARF
Q1 2018 2332
Q2 2018 2381
Q3 2018 2360
Q4 2018 2387
Q1 2019 2378
Q2 2019 2403
Q3 2019 2451
BSL CLO--Broadly syndicated collateralized loan obligation. SPWARF--S&P Global Ratings weigthed average rating factor.

U.S. Speculative-Grade Downgrades To Nonperforming Ratings In Third-Quarter 2019

Table 2

Issuers With Loans Held In CLOs That Downgraded To a Nonperforming Rating In Q3 2019
Rating
Date Entity GIC Sector To From
7/1/2019

Monitronics International Inc.

Commercial Services and Supplies D SD
7/2/2019

Weatherford International Ltd.

Energy Equipment and Services D CC/Negative
7/3/2019

PES Holdings LLC

Oil, Gas and Consumable Fuels D B-/Stable
7/3/2019

IPC Corp.

Software CC/Watch Neg CCC+/Negative
7/23/2019

99 Cents Only Stores LLC

Multiline Retail SD/ CC/Negative
9/3/2019

Checkers Holdings Inc.

Hotels, Restaurants and Leisure SD/NM CCC+/Negative
9/10/2019

Deluxe Entertainment Services Group Inc.

Entertainment CC/Negative CCC-/Negative
9/17/2019

Sheridan Investment Partners II L.P.

Capital Markets D SD
9/17/2019

Sheridan Production Partners II-A LP

Capital Markets D SD
9/17/2019

Sheridan Production Partners II-M L.P.

Capital Markets D SD
9/23/2019

Medical Depot Holdings Inc.

Health Care Equipment and Supplies CC/Watch Neg CCC/Negative
9/27/2019

Premiere Global Services Inc.

Diversified Telecommunication Services SD CCC-/Negative
GIC--Global industry classification. SD--Selective default.

Rating Changes Among Obligors That Are Widely Held In BSL CLOs

In the third-quarter 2019, U.S. speculative-grade corporate obligor downgrades outpaced upgrades 107 to 46.

Table 3

Rating Actions Among The Top 250 Obligors In U.S. BSL CLOs (Q3 2019)
Rating
Action Date Company GIC Sector To From
7/3/2019

Travelport Finance (Luxembourg) S.A.R.L

Hotels, Restaurants and Leisure B/Stable B+/Watch Neg
7/11/2019

Coty Inc.

Personal Products B+/Stable BB-/Negative
7/12/2019

Amneal Pharmaceuticals LLC

Pharmaceuticals B/Stable BB-/Negative
7/15/2019

Mallinckrodt International Finance S.A.

Pharmaceuticals B+/Negative B+/Watch Neg
7/16/2019

FEH, Inc.

Capital Markets BB+/Negative BB+/Stable
7/22/2019

DaVita Inc.

Health Care Providers and Services BB/Negative BB/Stable
8/6/2019

McDermott International Inc.

Energy Equipment and Services B-/Negative B/Negative
8/8/2019

CommScope Inc.

Communications Equipment B+/Watch Neg B+/Stable
8/15/2019

CommScope Inc.

Communications Equipment B/Stable B+/Watch Neg
8/23/2019

Riverbed Technology Inc.

Software CCC+/Negative B-/Negative
8/26/2019

Harland Clarke Holdings Corp.

Commercial Services and Supplies CCC+/Negative B-/Stable
9/6/2019

1011778 B.C. Unlimited Liability Co.

Hotels, Restaurants and Leisure BB/Stable BB-/Positive
9/6/2019

Bright Bidco B.V.

Semiconductors and Semiconductor Equipment CCC+/Negative B/Negative
9/11/2019

Mallinckrodt plc

Pharmaceuticals CCC/Negative B+/Negative
9/12/2019

Spin Holdco Inc. d/b/a CSC ServiceWorks

Trading Companies and Distributors B-/Stable B/Stable
9/16/2019

Form Technologies LLC

Metals and Mining B-/Stable B/Stable
9/25/2019

IRB Holding Corp.

Hotels, Restaurants and Leisure B/Watch Pos B/Stable
BSL CLO--Broadly syndicated collateralized loan obligation. GIC--Global industry classification.

Diversification

Table 4 shows the portfolio diversification of the top 250 obligors over the past six quarters.

Table 4

U.S. BSL CLO Diversification
Obligors ranked Third-quarter 2019 (%) Second-quarter 2019 (%) First-quarter 2019 (%) Fourth-quarter 2018 (%) Third-quarter 2018 (%) Second-quarter 2018 (%)
Top 10 6.28 5.52 6.69 6.66 6.83 6.64
Top 50 20.22 18.54 20.99 21.01 20.54 20.34
Top 250 52.66 51.00 53.02 52.71 52.10 52.51

The Top 250 CLO Obligors

Table 5 shows the top 250 obligors for U.S. BSL CLO transactions in the third-quarter 2019. In third-quarter 2019, U.S. BSL CLOs saw an increase in exposure to ADT Inc. (commercial services and supplies) and Sedgwick L.P. (insurance); both companies are now part of the top 250 list.

Table 5

Top 250 Obligors Held In U.S. BSL CLOs (Q3 2019)
Rank Top 250 obligors GIC code
1

Altice Europe N.V.

Diversified Telecommunication Services
2

CenturyLink Inc.

Diversified Telecommunication Services
3

NEWAsurion Corp.

Insurance
4

TransDigm Inc.

Aerospace and Defense
5

American Airlines Group Inc.

Airlines
6

Brookfield Asset Management Inc.

Equity Real Estate Investment Trusts (REITs)
7

Altice USA, Inc.

Media
8

Berry Global Group Inc.

Containers and Packaging
9

Endeavor Operating Company LLC

Entertainment
10

Dell Technologies Inc

Electronic Equipment, Instruments and Components
11

Bausch Health Companies Inc.

Pharmaceuticals
12

Caesars Entertainment Corp.

Hotels, Restaurants and Leisure
13

SoftBank Group Corp.

Wireless Telecommunication Services
14

Calpine Corp.

Electric Utilities
15

Scientific Games Corp.

Hotels, Restaurants and Leisure
16

Univision Communications Inc.

Media
17

Envision Healthcare Holdings Inc.

Healthcare Providers and Services
18

Liberty Global PLC

Diversified Telecommunication Services
19

Micro Focus International PLC

Software
20

SS&C Technologies Holdings, Inc.

Software
21

Nouryon Cooperatief U.A.

Chemicals
22

Charter Communications Inc.

Media
23

Sinclair Broadcast Group Inc.

Media
24

Air Medical Holdings LLC

Healthcare Providers and Services
25

Refinitiv Parent ltd

Capital Markets
26

Vistra Energy Corp

Electric Utilities
27

Bass Pro Group LLC

Specialty Retail
28

Panther BF Aggregator 2 LP

Trading Companies and Distributors
29

Change Healthcare Holdings Inc.

Health Care Technology
30

Radiate Holdco LLC

Diversified Telecommunication Services
31

Endo International PLC

Pharmaceuticals
32

RPI Finance Trust dba Royalty Pharma

Pharmaceuticals
33

Brookfield WEC Holdings Inc.

Electrical Equipment
34

EG Group Ltd.

Specialty Retail
35

ADT Inc.

Commercial Services and Supplies
36

LifePoint Health, Inc.

Healthcare Providers and Services
37

Nexstar Media Group Inc.

Media
38

WideOpenWest Finance LLC

Media
39

Sedgwick L.P. (Cayman Islands)

Insurance
40

Finastra Ltd.

Software
41

Banff Parent Inc.

Software
42

Alight Solutions LLC

Commercial Services and Supplies
43

West Corp.

IT Services
44

Advantage Sales & Marketing Inc.

Media
45

Virence Intermediate Holdings LLC

Health Care Technology
46

Formula One

Entertainment
47

Restaurant Brands International Inc.

Hotels, Restaurants and Leisure
48

Liberty Latin America Ltd

Diversified Telecommunication Services
49

Pharmaceutical Product Development LLC

Life Sciences Tools and Services
50

Rackspace Hosting, Inc.

IT Services
51

Flex Acquisition Holdings, Inc.

Containers and Packaging
52

Micro Holding Corp.

Media
53

Verscend Holding II Corp.

Health Care Technology
54

Cushman & Wakefield

Real Estate Management and Development
55

Albertsons Companies Inc.

Food and Staples Retailing
56

CommScope Holding Co Inc.

Communications Equipment
57

Team Health Holdings, Inc.

Healthcare Providers and Services
58

Reynolds Group Holdings Ltd.

Metals and Mining
59

McAfee, LLC

Software
60

Amneal Pharmaceuticals Inc.

Pharmaceuticals
61

Brand Industrial Services, Inc.

Construction and Engineering
62

Vodafone Group PLC

Diversified Telecommunication Services
63

Cornerstone Building Brands Inc

Building Products
64

Acrisure Holdings, Inc.

Insurance
65

Red Ventures Holdco, LP

Media
66

GFL Environmental Inc.

Commercial Services and Supplies
67

Avaya Holdings Corp.

Software
68

The Stars Group Inc.

Hotels, Restaurants and Leisure
69

Inspire Brands Inc.

Hotels, Restaurants and Leisure
70

Avolon Holdings Ltd.

Trading Companies and Distributors
71

Consolidated Communications Holdings Inc.

Diversified Telecommunication Services
72

Tronox Ltd.

Chemicals
73

Blackstone CQP Holdco LP

Gas Utilities
74

Quikrete Holdings, Inc.

Construction and Engineering
75

GTT Communications, Inc.

IT Services
76

McDermott International Inc.

Energy Equipment and Services
77

Allied Universal Topco LLC

Commercial Services and Supplies
78

The Michaels Companies Inc.

Specialty Retail
79

Ortho-Clinical Diagnostics Bermuda Co. Ltd.

Healthcare Equipment and Supplies
80

Gentiva Health Services Inc.

Healthcare Providers and Services
81

Cineworld Group PLC

Entertainment
82

Staples Inc.

Specialty Retail
83

Husky Injection Molding Systems Ltd.

Machinery
84

Vertex HoldCo Inc.

Electronic Equipment, Instruments and Components
85

Alliant Holdings, L.P.

Insurance
86

Uber Technologies, Inc.

Road and Rail
87

Station Casinos LLC

Hotels, Restaurants and Leisure
88

Paysafe Group Holdings II Ltd.

Technology Hardware, Storage and Peripherals
89

GrafTech International Ltd.

Electrical Equipment
90

Granite Acquisition Inc.

Electric Utilities
91

Ineos Group Holdings S.A.

Chemicals
92

Messer Industries GmbH

Chemicals
93

Western Digital Corp.

Technology Hardware, Storage and Peripherals
94

Ancestry.com Holdings LLC

Interactive Media and Services
95

Phoenix Guarantor Inc.

Healthcare Providers and Services
96

Alterra Mountain Co.

Hotels, Restaurants and Leisure
97

PetSmart Inc.

Specialty Retail
98

Grifols S.A.

Biotechnology
99

Travelport Worldwide Ltd.

IT Services
100

SeaWorld Parks & Entertainment Inc.

Hotels, Restaurants and Leisure
101

Telesat Holdings Inc.

Diversified Telecommunication Services
102

Wand NewCo 3, Inc.

Diversified Consumer Services
103

Golden Nugget Inc.

Hotels, Restaurants and Leisure
104

SolarWinds Holdings Inc.

Technology Hardware, Storage and Peripherals
105

Tribune Media Company

Media
106

HSI Holdings I, Inc.

Software
107

LTI Holdings Inc.

Auto Components
108

AssuredPartners, Inc.

Insurance
109

Traverse Midstream Partners LLC

Construction and Engineering
110

Vertiv Holdings, LLC

Machinery
111

Endurance International Group Inc.

IT Services
112

Riverbed Parent, Inc.

Software
113

Maxar Technologies Inc.

Aerospace and Defense
114

ION Trading Technologies Ltd.

Software
115

Surgery Partners, Inc.

Healthcare Providers and Services
116

Jane Street Group, LLC

Capital Markets
117

Duff & Phelps Holdings Corp.

Capital Markets
118

Rocket Software Inc.

Software
119

Lightstone HoldCo LLC

Project finance: Power
120

Financial Engines Edelman Center, LLC (The)

Capital Markets
121

United Natural Foods, Inc.

Food and Staples Retailing
122

Harland Clarke Holdings Corp.

Commercial Services and Supplies
123

McGraw-Hill Education, Inc.

Media
124

Life Time Inc.

Hotels, Restaurants and Leisure
125

Harbor Freight Tools USA Inc.

Specialty Retail
126

SK Blue Holdings LP

Chemicals
127

Petco Holdings Inc.

Specialty Retail
128

Epicor Holdings Corp.

Software
129

Mitchell Topco Holdings, Inc.

Software
130

Veritas Holdings Ltd.

Software
131

Mallinckrodt plc

Pharmaceuticals
132

AVSC Holding Corp.

Media
133

SCR-Sibelco NV

Energy Equipment and Services
134

Syniverse Holdings Inc.

IT Services
135

BCP Renaissance Parent L.L.C.

Capital Markets
136

Dynasty Acquisition Co., Inc.

Aerospace and Defense
137

Solera Parent Holding LLC

Software
138

DaVita Inc.

Healthcare Providers and Services
139

ProAmpac PG Intermediate LLC

Trading Companies and Distributors
140

Gates Global LLC

Machinery
141

U.S. Anesthesia Partners Holdings Inc

Healthcare Providers and Services
142

Aristocrat Leisure Ltd.

Hotels, Restaurants and Leisure
143

AMC Entertainment Holdings Inc.

Entertainment
144

The Dun & Bradstreet Corp.

Professional Services
145

Concentra Inc.

Healthcare Providers and Services
146

The Ultimate Software Group, Inc.

Software
147

XPO Logistics, Inc.

Air Freight and Logistics
148

Greeneden U.S. Holdings II, LLC

Software
149

Forterra, Inc.

Building Products
150

KUEHG Corp.

Diversified Consumer Services
151

Alphabet Holding Company Inc.

Personal Products
152

Solenis International, LLC

Chemicals
153

BCP Raptor HoldCo

Oil, Gas and Consumable Fuels
154

HUB International Ltd.

Insurance
155

West Street Holdings III Ltd.

Life Sciences Tools and Services
156

American Builders & Contractors Supply Co. Inc.

Trading Companies and Distributors
157

Seahawk Holdings Limited

Software
158

Serta Simmons Bedding LLC

Household Durables
159

Project Viking Holdings Inc.

Software
160

BJ's Wholesale Club Holdings Inc.

Food and Staples Retailing
161

Balboa Intermediate Holdings LLC

Software
162

Lower Cadence Holdings, LLC

Oil, Gas and Consumable Fuels
163

United Airlines Holdings, Inc

Airlines
164

Hyperion Insurance Group Ltd.

Insurance
165

Univar Solutions Inc.

Trading Companies and Distributors
166

Wilsonart LLC

Building Products
167

Gray Television Inc.

Media
168

Mohegan Tribal Gaming Authority

Hotels, Restaurants and Leisure
169

DCert Buyer, Inc.

Software
170

Auris Luxembourg II S.a.r.l.

Healthcare Equipment and Supplies
171

ClubCorp Holdings, Inc.

Hotels, Restaurants and Leisure
172

Radiology Partners Holdings, LLC

Healthcare Providers and Services
173

VFH Parent LLC

Capital Markets
174

VICI Properties Inc.

Real Estate Management and Development
175

Penn National Gaming Inc.

Hotels, Restaurants and Leisure
176

Spin Holdco Inc. d/b/a CSC ServiceWorks

Trading Companies and Distributors
177

Murray Energy Corp.

Oil, Gas and Consumable Fuels
178

Lucid Energy Group II Borrower, LLC

Oil, Gas and Consumable Fuels
179

Bright Bidco B.V.

Semiconductors and Semiconductor Equipment
180

Authentic Brands Group LLC

Media
181

Warner Music Group Corp.

Entertainment
182

Air Methods Corporation

Healthcare Providers and Services
183

USI, Inc.

Insurance
184

Tenneco Inc.

Auto Components
185

MGM Resorts International

Hotels, Restaurants and Leisure
186

Sabre Corp.

Software
187

Select Medical Holdings Corp.

Healthcare Providers and Services
188

Polaris Intermediate Corp. (d/b/a Multiplan)

Healthcare Providers and Services
189

TKC Holdings, Inc.

Distributors
190

CHG Healthcare Services Inc.

Healthcare Providers and Services
191

Flexential Intermediate Corporation

IT Services
192

SBA Communications Corp.

Wireless Telecommunication Services
193

IG Investments Holdings LLC

IT Services
194

Acadia Healthcare Co. Inc.

Healthcare Providers and Services
195

TransUnion

Professional Services
196

IGS Holding LP

Software
197

Cengage Learning Holdings II Inc.

Diversified Consumer Services
198

WP CPP Holdings LLC

Aerospace and Defense
199

RP Crown Parent LLC

Software
200

Ithacalux S.à r.l.

Software
201

Project Alpha Intermediate Holding, Inc.

Software
202

Sophia Holding Finance L.P.

Software
203

Equinox Holdings Inc.

Hotels, Restaurants and Leisure
204

Idemia France SAS

Software
205

Aerial Parent Corp.

IT Services
206

FEH, Inc.

Capital Markets
207

USS Ultimate Holdings Inc.

Commercial Services and Supplies
208

Global Tel*Link Corp.

Communications Equipment
209

Ascena Retail Group Inc.

Specialty Retail
210

Realogy Group LLC

Real Estate Management and Development
211

Revlon Inc.

Personal Products
212

Allnex (Luxembourg) & Cy SCA

Chemicals
213

ExamWorks Group Inc.

Healthcare Providers and Services
214

DTI Holdco, Inc

Professional Services
215

CityCenter Holdings LLC

Real Estate Management and Development
216

LBM Borrower, LLC

Trading Companies and Distributors
217

Form Technologies LLC

Metals and Mining
218

SRS Distribution Inc.

Trading Companies and Distributors
219

Edgewater Generation, LLC

Project finance: Power
220

Eastern Power, LLC

Project finance: Power
221

Coty Inc.

Personal Products
222

Sotera Health Topco Inc

Life Sciences Tools and Services
223

NEP/NCP Holdco Inc.

Entertainment
224

J&F Investimentos S.A.

Food Products
225

Fortress Investment Group LLC

Capital Markets
226

Inovalon Holdings, Inc.

Health Care Technology
227

Macquarie Infrastructure Corporation

Transportation Infrastructure
228

Blackhawk Network Holdings, Inc.

IT Services
229

U.S. Silica Co.

Construction Materials
230

Hadrian Merger Sub Inc.

Healthcare Providers and Services
231 CITCO III Ltd. Capital Markets
232

Cogeco Inc.

Media
233

Learfield Communications, LLC

Media
234

AerCap Holdings N.V.

Trading Companies and Distributors
235

Belron Group S.A.

Diversified Consumer Services
236

KBR Inc.

IT Services
237

Explorer Holdings Inc

Life Sciences Tools and Services
238

H-Food Holdings LLC

Food Products
239

NFP CORP.

Insurance
240

Dole Food Co. Inc.

Food Products
241

Medforth Global Healthcare Education Group LP

Diversified Consumer Services
242

HCA Healthcare Inc.

Healthcare Providers and Services
243

Media Holdco, LP

Media
244

Seminole Tribe of Florida

Commercial Services and Supplies
245

ATI Holdings Acquisition, Inc.

Healthcare Providers and Services
246

Varsity Brands Holding Co Inc.

Entertainment
247

Flexera Software LLC

Software
248

TI Fluid Systems plc

Auto Components
249

US Foods Inc.

Food and Staples Retailing
250

Petroleos de Venezuela S.A.

Oil, Gas and Consumable Fuels
BSL CLO--Broadly syndicated collateralized loan obligation. GIC--Global industry classification.

Appendix: SPWARF

The SPWARF of a CLO portfolio provides an indication of the portfolio's overall credit rating distribution weighted by each assets par balance. The rating factor for each of the portfolio assets is determined by S&P Global Ratings' credit rating (or implied rating) and the rating factor table. The SPWARF is the sum of the product of each collateral obligation's (with a rating from S&P Global Ratings of 'CCC-' or higher) par balance and S&P Global Ratings' rating factor, divided by the aggregate principal balance of all 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 our corporate CDO criteria, multiplied by 10,000.

Table 6

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 1234
BB- 1565
B+ 1982
B 2860
B- 3610
CCC+ 4641
CCC 5293
CCC- 5751
CC 10000
SD 10000
D 10000

Related Research

  • Distress Persists For The U.S. Telecom Sector, March 4, 2019
  • Speculative-Grade Default Rates Over The Last Decade: U.S. CLO Portfolios Versus The Market, Feb. 21, 2017

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
Structured Finance Sector Lead:Stephen A Anderberg, New York (1) 212-438-8991;
stephen.anderberg@spglobal.com

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