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 first quarter of 2020. 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 first-quarter 2020.
SPWARF For The Top 250
The S&P Global Ratings weighted average rating factor (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 2612 as of the end of first-quarter 2020, up from 2509 as of the prior quarter, indicating that there has been a negative shift in the rating distribution within the top 250 issuers (see chart 1).
Chart 1
Diversification
Table 1 shows the portfolio diversification of the top 250 obligors over the past six quarters.
Table 1
U.S. BSL CLO Diversification | ||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Obligors ranked | Q1:2020 (%) | Q4:2019 (%) | Q3:2019 (%) | Q2:2019 (%) | Q1:2019 (%) | Q4:2018 (%) | Q3:2018 (%) | Q2:2018 (%) | ||||||||||
Top 10 | 6.04 | 6.13 | 6.28 | 5.52 | 6.69 | 6.66 | 6.83 | 6.64 | ||||||||||
Top 50 | 19.62 | 19.90 | 20.22 | 18.54 | 20.99 | 21.01 | 20.54 | 20.34 | ||||||||||
Top 250 | 52.25 | 52.53 | 52.66 | 51.00 | 53.02 | 52.71 | 52.10 | 52.51 | ||||||||||
BSL CLO--Broadly syndicated collateralized loan obligation. |
The Top 250 CLO Obligors
Table 2 shows the top 250 obligors for U.S. BSL CLO transactions in first-quarter 2020.
Table 2
Top 250 Obligors Held In U.S. BSL CLOs (First-Quarter 2020) | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|
Rank | Top 250 obligors | GIC code | ||||||||
1 | Altice Europe N.V. | Diversified Telecommunication Services | ||||||||
2 | NEWAsurion Corp. | Insurance | ||||||||
3 | TransDigm Inc. | Aerospace and Defense | ||||||||
4 | CenturyLink Inc. | Diversified Telecommunication Services | ||||||||
5 | Altice USA Inc. | Media | ||||||||
6 | American Airlines Group Inc. | Airlines | ||||||||
7 | Brookfield Asset Management Inc. | Capital Markets | ||||||||
8 | Endeavor Operating Company LLC | Entertainment | ||||||||
9 | Liberty Global PLC | Diversified Telecommunication Services | ||||||||
10 | Berry Global Group Inc. | Containers and Packaging | ||||||||
11 | Sinclair Broadcast Group Inc. | Media | ||||||||
12 | Calpine Corp. | Independent Power and Renewable Electricity Producers | ||||||||
13 | Bausch Health Companies Inc. | Pharmaceuticals | ||||||||
14 | SoftBank Group Corp. | Wireless Telecommunication Services | ||||||||
15 | Scientific Games Corp. | Hotels, Restaurants, and Leisure | ||||||||
16 | Dell Technologies Inc | Electronic Equipment, Instruments, and Components | ||||||||
17 | Caesars Entertainment Corp. | Hotels, Restaurants, and Leisure | ||||||||
18 | Envision Healthcare Holdings Inc. | Healthcare Providers and Services | ||||||||
19 | Univision Communications Inc. | Media | ||||||||
20 | Micro Focus International PLC | Software | ||||||||
21 | Air Medical Holdings LLC | Healthcare Providers and Services | ||||||||
22 | Nouryon Cooperatief U.A. | Chemicals | ||||||||
23 | Clarios Global LP | Trading Companies and Distributors | ||||||||
24 | Cineworld Group PLC | Entertainment | ||||||||
25 | Charter Communications Inc. | Media | ||||||||
26 | Sedgwick L.P. | Insurance | ||||||||
27 | Change Healthcare Holdings Inc. | Health Care Technology | ||||||||
28 | SS&C Technologies Holdings Inc. | Software | ||||||||
29 | Bass Pro Group LLC | Specialty Retail | ||||||||
30 | Radiate Holdco, LLC | Diversified Telecommunication Services | ||||||||
31 | Endo International PLC | Pharmaceuticals | ||||||||
32 | EG Group Ltd. | Specialty Retail | ||||||||
33 | Brookfield WEC Holdings Inc. | Electrical Equipment | ||||||||
34 | Refinitiv Parent ltd | Capital Markets | ||||||||
35 | Nexstar Media Group Inc. | Media | ||||||||
36 | Virence Intermediate Holdings LLC | Health Care Technology | ||||||||
37 | Alight Solutions LLC | Commercial Services and Supplies | ||||||||
38 | LifePoint Health Inc. | Healthcare Providers and Services | ||||||||
39 | Finastra Ltd. | Software | ||||||||
40 | Formula One | Entertainment | ||||||||
41 | WideOpenWest Finance LLC | Media | ||||||||
42 | CommScope Holding Co Inc. | Communications Equipment | ||||||||
43 | Verscend Holding II Corp. | Health Care Technology | ||||||||
44 | McAfee, LLC | Software | ||||||||
45 | Acrisure Holdings Inc. | Insurance | ||||||||
46 | Banff Parent Inc. | Software | ||||||||
47 | Intrado Corp. | IT Services | ||||||||
48 | Flex Acquisition Holdings Inc. | Containers and Packaging | ||||||||
49 | Cushman & Wakefield | Real Estate Management and Development | ||||||||
50 | Micro Holding Corp. | Software | ||||||||
51 | Reynolds Group Holdings Ltd. | Metals and Mining | ||||||||
52 | Rackspace Hosting Inc. | IT Services | ||||||||
53 | Red Ventures Holdco LP | Media | ||||||||
54 | Vistra Energy Corp | Electric Utilities | ||||||||
55 | PPD Inc. | Life Sciences Tools and Services | ||||||||
56 | Blackstone CQP Holdco LP | Gas Utilities | ||||||||
57 | Amneal Pharmaceuticals Inc. | Pharmaceuticals | ||||||||
58 | Brand Industrial Services Inc. | Construction and Engineering | ||||||||
59 | HUB International Ltd. | Insurance | ||||||||
60 | ADT Inc. | Commercial Services and Supplies | ||||||||
61 | Inspire Brands Inc. | Hotels, Restaurants, and Leisure | ||||||||
62 | Cornerstone Building Brands Inc | Building Products | ||||||||
63 | RPI Intermediate Finance Trust | Pharmaceuticals | ||||||||
64 | Team Health Holdings Inc. | Healthcare Providers and Services | ||||||||
65 | Avaya Holdings Corp. | Software | ||||||||
66 | Advantage Solutions Inc. | Media | ||||||||
67 | Liberty Latin America Ltd | Diversified Telecommunication Services | ||||||||
68 | Vodafone Group PLC | Diversified Telecommunication Services | ||||||||
69 | Gentiva Health Services Inc. | Healthcare Providers and Services | ||||||||
70 | Allied Universal Topco LLC | Commercial Services and Supplies | ||||||||
71 | Uber Technologies Inc. | Road and Rail | ||||||||
72 | GTT Communications Inc. | IT Services | ||||||||
73 | Vertex HoldCo Inc. | Electronic Equipment, Instruments, and Components | ||||||||
74 | Front Range Bidco Inc. | Diversified Telecommunication Services | ||||||||
75 | Husky III Holding Limited | Machinery | ||||||||
76 | Consolidated Communications Holdings Inc. | Diversified Telecommunication Services | ||||||||
77 | Froneri International Ltd. | Food Products | ||||||||
78 | The Stars Group Inc. | Hotels, Restaurants, and Leisure | ||||||||
79 | The Michaels Companies Inc. | Specialty Retail | ||||||||
80 | Restaurant Brands International Inc. | Hotels, Restaurants, and Leisure | ||||||||
81 | Golden Nugget Inc. | Hotels, Restaurants, and Leisure | ||||||||
82 | Wand NewCo 3 Inc. | Diversified Consumer Services | ||||||||
83 | Paysafe Group Holdings II Ltd. | IT Services | ||||||||
84 | Duff & Phelps Holdings Corp. | Professional Services | ||||||||
85 | Staples Inc. | Specialty Retail | ||||||||
86 | Select Medical Holdings Corp. | Healthcare Providers and Services | ||||||||
87 | Messer Industries GmbH | Chemicals | ||||||||
88 | AssuredPartners Inc. | Insurance | ||||||||
89 | Quikrete Holdings Inc. | Construction Materials | ||||||||
90 | Gardner Denver Inc. | Building Products | ||||||||
91 | Alterra Mountain Co. | Hotels, Restaurants, and Leisure | ||||||||
92 | Ortho-Clinical Diagnostics Bermuda Co. Ltd. | Healthcare Equipment and Supplies | ||||||||
93 | DaVita Inc. | Healthcare Providers and Services | ||||||||
94 | Alliant Holdings, L.P. | Insurance | ||||||||
95 | SolarWinds Holdings Inc. | Technology Hardware, Storage, and Peripherals | ||||||||
96 | AVSC Holding Corp. | Media | ||||||||
97 | Tronox Ltd. | Chemicals | ||||||||
98 | HSI Holdings I Inc. | Software | ||||||||
99 | GFL Environmental Inc. | Commercial Services and Supplies | ||||||||
100 | Toro Private Holdings I, Ltd | IT Services | ||||||||
101 | SeaWorld Parks & Entertainment Inc. | Hotels, Restaurants, and Leisure | ||||||||
102 | Dynasty Acquisition Co. Inc. | Aerospace and Defense | ||||||||
103 | Belron Group S.A. | Diversified Consumer Services | ||||||||
104 | Granite Acquisition Inc. | Electric Utilities | ||||||||
105 | Phoenix Guarantor Inc. | Healthcare Providers and Services | ||||||||
106 | PetSmart Inc. | Specialty Retail | ||||||||
107 | USI Inc. | Insurance | ||||||||
108 | Ancestry.com Holdings LLC | Interactive Media and Services | ||||||||
109 | GrafTech International Ltd. | Electrical Equipment | ||||||||
110 | Vertiv Holdings, LLC | Machinery | ||||||||
111 | The Dun & Bradstreet Corp. | Professional Services | ||||||||
112 | Ineos Group Holdings S.A. | Chemicals | ||||||||
113 | Rocket Software Inc. | Software | ||||||||
114 | Jane Street Group, LLC | Capital Markets | ||||||||
115 | Avolon Holdings Ltd. | Trading Companies and Distributors | ||||||||
116 | ION Trading Technologies Ltd. | Software | ||||||||
117 | Mitchell Topco Holdings Inc. | Software | ||||||||
118 | Edelman Financial Engines Center, LLC (The) | Capital Markets | ||||||||
119 | Balboa Intermediate Holdings LLC | Software | ||||||||
120 | United Natural Foods Inc. | Food and Staples Retailing | ||||||||
121 | Maxar Technologies Inc. | Aerospace and Defense | ||||||||
122 | Harbor Freight Tools USA Inc. | Specialty Retail | ||||||||
123 | Solera Parent Holding LLC | Software | ||||||||
124 | SK Blue Holdings LP | Chemicals | ||||||||
125 | LTI Holdings Inc. | Auto Components | ||||||||
126 | Life Time Inc. | Hotels, Restaurants, and Leisure | ||||||||
127 | The Ultimate Software Group Inc. | Software | ||||||||
128 | Buckeye Partners L.P. | Oil, Gas, and Consumable Fuels | ||||||||
129 | Polaris Intermediate Corp. (d/b/a Multiplan) | Healthcare Providers and Services | ||||||||
130 | VFH Parent LLC | Capital Markets | ||||||||
131 | McGraw-Hill Education Inc. | Media | ||||||||
132 | Surgery Partners Inc. | Healthcare Providers and Services | ||||||||
133 | U.S. Anesthesia Partners Holdings Inc | Healthcare Providers and Services | ||||||||
134 | Gates Global LLC | Machinery | ||||||||
135 | Lightstone HoldCo LLC | Project finance: Power | ||||||||
136 | Reynolds Consumer Products Inc. | Containers and Packaging | ||||||||
137 | Oryx Midstream Holdings LLC | Oil, Gas, and Consumable Fuels | ||||||||
138 | KUEHG Corp. | Diversified Consumer Services | ||||||||
139 | AMC Entertainment Holdings Inc. | Entertainment | ||||||||
140 | Hyperion Insurance Group Ltd. | Insurance | ||||||||
141 | Epicor Holdings Corp. | Software | ||||||||
142 | Telesat Holdings Inc. | Diversified Telecommunication Services | ||||||||
143 | Solenis UK International Limited | Chemicals | ||||||||
144 | Auris Luxembourg II S.a.r.l. | Healthcare Equipment and Supplies | ||||||||
145 | SCR-Sibelco NV | Energy Equipment and Services | ||||||||
146 | Lucid Energy Group II, LLC | Oil, Gas, and Consumable Fuels | ||||||||
147 | Endurance International Group Inc. | IT Services | ||||||||
148 | CHG Healthcare Services Inc. | Healthcare Providers and Services | ||||||||
149 | ProAmpac PG Intermediate LLC | Containers and Packaging | ||||||||
150 | Terrier Media Holdings Inc. | Media | ||||||||
151 | Grifols S.A. | Biotechnology | ||||||||
152 | XPO Logistics Inc. | Air Freight and Logistics | ||||||||
153 | Elanco Animal Health Incorporated | Pharmaceuticals | ||||||||
154 | BCP Renaissance Parent L.L.C. | Capital Markets | ||||||||
155 | Greeneden U.S. Holdings II, LLC | Software | ||||||||
156 | Whatabrands LLC | Hotels, Restaurants, and Leisure | ||||||||
157 | FEH Inc. | Capital Markets | ||||||||
158 | Traverse Midstream Partners LLC | Construction and Engineering | ||||||||
159 | McDermott International Inc. | Energy Equipment and Services | ||||||||
160 | Syniverse Holdings Inc. | IT Services | ||||||||
161 | WestJet Airlines Ltd. | Airlines | ||||||||
162 | Seahawk Holdings Limited | Software | ||||||||
163 | Wilsonart LLC | Building Products | ||||||||
164 | Authentic Brands Group LLC | Media | ||||||||
165 | Project Alpha Intermediate Holding Inc. | Software | ||||||||
166 | Station Casinos LLC | Hotels, Restaurants, and Leisure | ||||||||
167 | Radiology Partners Holdings, LLC | Healthcare Providers and Services | ||||||||
168 | Ellie Mae Inc. | Software | ||||||||
169 | AmWINS Group Inc. | Insurance | ||||||||
170 | Petco Holdings Inc. | Specialty Retail | ||||||||
171 | Alphabet Holding Company Inc. | Personal Products | ||||||||
172 | US Foods Inc. | Food and Staples Retailing | ||||||||
173 | Sotera Health Topco Inc | Life Sciences Tools and Services | ||||||||
174 | Veritas Holdings Ltd. | Software | ||||||||
175 | NFP CORP. | Insurance | ||||||||
176 | Riverbed Parent Inc. | Software | ||||||||
177 | Mohegan Tribal Gaming Authority | Hotels, Restaurants, and Leisure | ||||||||
178 | West Street Holdings III Ltd. | Life Sciences Tools and Services | ||||||||
179 | Vericast Corp. | Media | ||||||||
180 | Playtika Holding Corp. | Hotels, Restaurants, and Leisure | ||||||||
181 | Tenneco Inc. | Auto Components | ||||||||
182 | TKC Holdings Inc. | Distributors | ||||||||
183 | IG Investments Holdings LLC | IT Services | ||||||||
184 | Connect Bidco Ltd. | Wireless Telecommunication Services | ||||||||
185 | VICI Properties Inc. | Real Estate Management and Development | ||||||||
186 | Pugnacious Endeavors Inc | Internet and Direct Marketing Retail | ||||||||
187 | BCP Raptor HoldCo | Oil, Gas, and Consumable Fuels | ||||||||
188 | Aristocrat Leisure Ltd. | Household Durables | ||||||||
189 | Delek US Holdings Inc. | Oil, Gas, and Consumable Fuels | ||||||||
190 | Citadel Securities LP | Capital Markets | ||||||||
191 | Project Boost Purchaser LLC | Software | ||||||||
192 | USS Ultimate Holdings Inc. | Commercial Services and Supplies | ||||||||
193 | Spin Holdco Inc. d/b/a CSC ServiceWorks | Trading Companies and Distributors | ||||||||
194 | Cengage Learning Holdings II Inc. | Diversified Consumer Services | ||||||||
195 | IGS Holding LP | Software | ||||||||
196 | Mallinckrodt plc | Pharmaceuticals | ||||||||
197 | Univar Solutions Inc. | Trading Companies and Distributors | ||||||||
198 | Sunshine Luxembourg VII S.a r.l. | Personal Products | ||||||||
199 | Clear Channel Outdoor Holdings Inc. | Media | ||||||||
200 | Air Methods Corporation | Healthcare Providers and Services | ||||||||
201 | BY Crown Parent LLC | Software | ||||||||
202 | Flexera Software LLC | Software | ||||||||
203 | Realogy Group LLC | Real Estate Management and Development | ||||||||
204 | Penn National Gaming Inc. | Hotels, Restaurants, and Leisure | ||||||||
205 | Blackhawk Network Holdings Inc. | IT Services | ||||||||
206 | NASCAR Holdings, LLC | Entertainment | ||||||||
207 | Iridium Communications Inc. | Diversified Telecommunication Services | ||||||||
208 | Western Digital Corp. | Technology Hardware, Storage, and Peripherals | ||||||||
209 | H-Food Holdings LLC | Food Products | ||||||||
210 | MTN Infrastructure TopCo Inc. | Diversified Telecommunication Services | ||||||||
211 | ClubCorp Holdings Inc. | Hotels, Restaurants, and Leisure | ||||||||
212 | NEP/NCP Holdco Inc. | Entertainment | ||||||||
213 | Advisor Group Holdings Inc. | Capital Markets | ||||||||
214 | BJ's Wholesale Club Holdings Inc. | Food and Staples Retailing | ||||||||
215 | Gray Television Inc. | Media | ||||||||
216 | Charter NEX US Inc. | Containers and Packaging | ||||||||
217 | Ithacalux S.à r.l. | Software | ||||||||
218 | Project Viking Holdings Inc. | Software | ||||||||
219 | Edgewater Generation, LLC | Project finance: Power | ||||||||
220 | WP CPP Holdings LLC | Aerospace and Defense | ||||||||
221 | United Airlines Holdings, Inc | Airlines | ||||||||
222 | SRS Distribution Inc. | Trading Companies and Distributors | ||||||||
223 | Media Holdco LP | Media | ||||||||
224 | Allnex (Luxembourg) & Cy SCA | Chemicals | ||||||||
225 | ExamWorks Group Inc. | Healthcare Providers and Services | ||||||||
226 | Aerial Parent Corp. | IT Services | ||||||||
227 | Forterra Inc. | Building Products | ||||||||
228 | Acadia Healthcare Co. Inc. | Healthcare Providers and Services | ||||||||
229 | LBM Borrower, LLC | Trading Companies and Distributors | ||||||||
230 | Macquarie Infrastructure Corporation | Transportation Infrastructure | ||||||||
231 | Eastern Power, LLC | Project finance: Power | ||||||||
232 | Petroleos de Venezuela S.A. | Oil, Gas, and Consumable Fuels | ||||||||
233 | Motion Midco Ltd | Hotels, Restaurants, and Leisure | ||||||||
234 | Idemia France SAS | Software | ||||||||
235 | Sabre Corp. | Software | ||||||||
236 | Navistar International Corp. | Machinery | ||||||||
237 | DCert Buyer Inc. | IT Services | ||||||||
238 | Sophia Holding Finance L.P. | Software | ||||||||
239 | J&F Investimentos S.A. | Food Products | ||||||||
240 | Explorer Holdings Inc | Health Care Technology | ||||||||
241 | Coty Inc. | Personal Products | ||||||||
242 | Outdoor Home Services Holdings LLC | Commercial Services and Supplies | ||||||||
243 | Hadrian Merger Sub Inc. | Healthcare Providers and Services | ||||||||
244 | Global Tel*Link Corp. | Communications Equipment | ||||||||
245 | CityCenter Holdings LLC | Real Estate Management and Development | ||||||||
246 | Warner Music Group Corp. | Entertainment | ||||||||
247 | Fortress Investment Group LLC | Capital Markets | ||||||||
248 | Varsity Brands Holding Co Inc. | Entertainment | ||||||||
249 | DTI Holdco, Inc | Professional Services | ||||||||
250 | Equinox Holdings Inc. | Hotels, Restaurants, and Leisure | ||||||||
BSL CLO--Broadly syndicated collateralized loan obligation. GIC--Global industry classification. IT--Information technology. |
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 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 par balance and S&P Global Ratings' rating factor (given the derived S&P Global Ratings credit rating), 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 ("Global Methodology And Assumptions For CLOs And Corporate CDOs," June 21, 2019) multiplied by 10,000.
Table 3
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 |
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 (1) 212-438-8991; stephen.anderberg@spglobal.com |
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