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
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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