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CLO Spotlight: The Most Widely Referenced Corporate Obligors In Rated U.S. BSL CLOs: First-Quarter 2020

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

image

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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