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U.S. BSL CLO Top Obligors And Industries Report: First-Quarter 2024

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U.S. BSL CLO Top Obligors And Industries Report: First-Quarter 2024

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 first-quarter 2024.

Full details of the information are available through our interactive dashboard, by clicking here: https://www.spglobal.com/ratings/en/research-insights/sector-intelligence/us-bsl-clo-top-obligors-and-industries-report-q1-2024. The below image is a preview.

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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

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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
Parent obligors ranked Q1 2024 04 2023 Q3 2023 Q2 2023 Q1 2023 Q4 2022 Q3 2022 Q2 2022 Q1 2022 Q4 2021 Q3 2021 Q2 2021 Q1 2021 Q4 2020 Q3 2020 Q2 2020 Q1 2020
Top 10 6.10 6.29 6.32 6.39 6.27 6.39 6.44 6.45 6.57 6.43 6.52 6.78 6.89 6.88 6.59 6.30 6.04
Top 50 19.03 19.02 18.95 19.19 18.74 19.28 19.15 19.09 19.23 19.19 19.21 19.73 19.96 20.41 20.28 20.03 19.62
top 250 54.04 54.22 54.16 53.99 53.35 53.02 52.50 52.03 52.19 52.32 52.37 52.78 53.77 53.98 53.61 53.08 52.25
251 to 500 22.59 22.12 22.31 22.13 22.45 21.99 21.78 21.43 20.90 20.81 20.99 20.97 21.18 21.28 21.27 21.46 21.40
501 to 750 12.99 12.83 12.70 12.67 12.71 12.75 12.82 12.98 13.09 13.02 13.07 12.83 12.69 12.70 12.90 12.95 13.11
751 to 1,000 7.31 7.47 7.41 7.54 7.58 7.82 7.97 8.13 8.07 8.04 7.98 8.02 7.70 7.57 7.72 7.78 7.98
1,001 to 1,250 2.58 2.82 2.87 3.08 3.27 3.65 4.00 4.34 4.31 4.33 4.17 4.14 3.66 3.75 3.72 3.92 4.23
1,251 to 1,500 0.44 0.49 0.51 0.54 0.60 0.72 0.87 1.03 1.15 1.25 1.21 1.09 0.87 0.72 0.77 0.81 1.01
1,500+ 0.04 0.05 0.04 0.04 0.04 0.05 0.06 0.05 0.29 0.24 0.22 0.18 0.12 0.00 0.00 0.00 0.01
BSL--Broadly syndicated loan. CLO--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 U.S. BSL CLO exposures (first-quarter 2024)
GIC industries U.S. BSL CLO exposures (%) SPWARF(i) WAP(i) WARR (%) WAS (%) Negative outlook (%) CreditWatch negative (%)
Software 11.12 3221 96.62 57.78 3.72 11.93 1.13
Healthcare providers and services 6.22 3131 94.66 53.84 3.98 19.51 0.33
Hotels, restaurants, and leisure 5.43 2110 99.50 68.36 3.16 7.58
Capital markets 4.65 2258 99.20 52.37 3.44 18.40
IT services 4.46 2628 95.47 58.75 3.59 13.84 0.53
Media 4.34 2960 92.12 71.61 3.69 21.53
Diversified telecommunication services 3.95 3611 91.38 63.30 3.12 21.02 0.14
Machinery 3.88 2780 99.29 54.87 3.69 14.35
Chemicals 3.76 2862 96.77 61.88 3.94 33.04 2.92
Commercial services and supplies 3.22 2692 97.26 64.91 3.80 18.23
Professional services 3.21 2616 99.01 59.77 3.64 24.59 1.92
Insurance 2.91 2710 100.02 52.88 3.43 0.02
Specialty retail 2.89 2513 96.47 58.12 3.60 36.99
Trading companies and distributors 2.62 2493 99.38 52.70 3.25 5.72
Containers and packaging 2.33 3061 98.10 57.24 3.75 12.95
Health care technology 2.08 3530 98.36 64.77 3.96 29.56
Entertainment 1.93 2238 99.16 64.61 3.37 3.61 4.47
Building products 1.86 2638 99.29 56.13 3.54 3.89
Diversified consumer services 1.75 2869 97.41 53.01 3.95 5.25
Life sciences tools and services 1.56 2732 99.18 55.51 3.36 13.64
Aerospace and defense 1.56 2773 99.10 55.13 3.82 17.88
Construction and engineering 1.55 2799 99.79 54.42 3.99 3.85
Food products 1.53 2903 96.56 57.18 3.56 21.30
Automobile components 1.52 2743 99.03 58.07 3.94 11.87
Oil, gas, and consumable fuels 1.39 1946 100.06 69.91 3.58 23.90
Ground transportation 1.15 1797 98.90 64.65 3.06 36.95
Pharmaceuticals 1.12 2433 97.04 60.33 3.57 2.95 4.21
Passenger airlines 1.09 1878 100.55 82.60 3.59
Electronic equipment, instruments, and components 1.03 2952 96.55 56.85 3.93 28.27
Household durables 0.90 2829 96.56 56.55 3.47 18.53
Interactive media and services 0.81 2430 98.88 62.07 3.65 2.38 1.92
Project finance: power 0.80 2235 98.10 77.54 4.23 16.44
Healthcare equipment and supplies 0.75 3446 94.40 58.72 4.00 23.72
Leisure products 0.63 2432 98.23 57.41 3.55 39.33
Wireless telecommunication services 0.61 2512 98.75 64.20 3.83 22.27
Electrical equipment 0.59 2653 99.33 52.66 3.59 4.17
Metals and mining 0.59 2866 98.93 57.92 4.21 40.54
Communications equipment 0.59 3828 88.21 62.16 4.47 53.55
Semiconductors and semiconductor equipment 0.58 1661 98.88 56.89 2.85 2.68
Independent power and renewable electricity producers 0.57 1709 99.80 89.90 2.87 13.15
Air freight and logistics 0.52 3334 95.87 53.30 4.42 3.16
Mortgage real estate investment trusts (REITs) 0.50 1961 98.47 40.44 3.17 17.16
Construction materials 0.47 1521 100.14 66.92 3.10
Textiles, apparel, and luxury goods 0.47 2486 96.72 71.17 4.18 22.30
Biotechnology 0.43 2504 98.93 66.19 2.82 0.44 38.27
Personal care products 0.41 4092 96.99 62.06 4.35 27.03 13.19
Beverages 0.41 3417 94.00 56.60 3.53 15.77
Real estate management and development 0.40 2088 96.08 59.32 3.57 16.80
Electric utilities 0.36 1933 98.37 77.88 2.57 18.05
Transportation Infrastructure 0.34 2089 99.86 60.80 3.04
Distributors 0.30 3347 94.11 47.23 4.81 68.37
Consumer staples distribution and retail 0.29 2283 97.90 73.08 3.87 30.42
Automobiles 0.22 1781 99.99 64.12 3.16 0.54
Technology hardware, storage, and peripherals 0.19 2411 96.98 58.11 4.01 21.70 0.26
Gas utilities 0.19 1234 100.29 60.00 3.00
Broadline retail 0.14 1567 93.69 55.35 3.26 7.98
Energy equipment and services 0.13 2701 98.30 63.41 4.20 40.17
Project finance: oil and gas 0.12 1958 99.50 70.62 3.53
Water utilities 0.11 3610 99.82 57.12 5.48
Paper and forest products 0.09 2724 95.14 51.35 5.02 98.92
Household products 0.09 2948 99.92 65.55 3.26
Specialized REITs 0.06 1515 99.74 73.22 1.75
Consumer finance 0.05 2157 97.86 65.18 5.07 13.96
Hotel and resort REITs 0.05 1889 99.98 94.28 2.75
Industrial conglomerates 0.04 3421 91.61 58.89 3.81 93.52
Multi-utilities 0.04 1982 100.17 50.00 3.25
Banks 0.02 202 1.17
Diversified REITs 0.00 2512 88.85 90.05 2.82
Office REITs 0.00 369 21.71
Retail REITs 0.00 1234 5.00 100.00
Health care REITs 0.00 2631 92.67 50.67
Marine transportation 0.00 3610 98.00 7.25
Industrial REITs 0.00 146
Tobacco 0.00 271
BSL--Broadly syndicated loan. CLO--Collateralized loan obligation. GIC--Global Industry Classification. SPWARF--S&P Global Ratings' weighted average rating factor. WAP--Weighted average price. WARR--Weighted average recovery rating. WAS--Weighted average spread.

The Top 50 CLO Obligors

Table 3 shows the top 50 obligors for U.S. BSL CLO transactions. 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/101595869.

Table 3

Top 50 Obligors Held In U.S. BSL CLOs (First-Quarter 2024)
Rank Top 50 obligors held in U.S. BSL CLOs Parent obligor GIC code GIC sector
1 Asurion LLC Asurion Group Inc. IT services Information technology
2 Transdigm Inc. TransDigm Inc. Aerospace and defense Industrials
3 Medline Borrower LP Medline Borrower L.P. Healthcare providers and services Health care
4 Peraton Corp. Peraton Corp. IT services Information technology
5 Virgin Media Bristol LLC Liberty Global PLC Diversified telecommunication services Communication services
6 Acrisure LLC Acrisure Holdings Inc. Insurance Financials
7 Athenahealth Group Inc. athenahealth Group Inc Health care technology Health care
8 Ukg Inc. UKG Inc. Software Information technology
9 Numericable U.S. LLC Altice Europe N.V. Media Communication services
10 Csc Holdings LLC Altice USA Inc. Media Communication services
11 Caesars Entertainment Inc. Caesars Entertainment Inc. Hotels, restaurants, and leisure Consumer discretionary
12 Hyperion Refinance Sarl Howden Group Holdings Ltd. Insurance Financials
13 Allied Universal Holdco LLC Atlas Ontario LP Commercial services and supplies Industrials
14 Assured Partners Inc. AssuredPartners Inc. Insurance Financials
15 Mcafee Corp. McAfee Corp. Software Information technology
16 American Airlines Inc. American Airlines Group Inc. Passenger airlines Industrials
17 Mh Sub I LLC Micro Holding Corp. Software Information technology
18 AI Aqua Merger Sub Inc. Osmosis Holdings L.P. Machinery Industrials
19 Univision Communications Inc. Univision Communications Inc. Media Communication services
20 Cloud Software Group Inc. Balboa Intermediate Holdings LLC Software Information technology
21 Nouryon Finance B.V. Nouryon Cooperatief U.A. Chemicals Materials
22 Amentum Government Services Holdings LLC Amentum Holdings LLC Construction and engineering Industrials
23 1011778 B.C. Unlimited Liability Co. Restaurant Brands International Inc. Hotels, restaurants, and leisure Consumer discretionary
24 Zayo Group Holdings Inc. Front Range Bidco, Inc. Diversified telecommunication services Communication services
25 Brown Group Holding LLC Brown Bidco Ltd. Transportation Infrastructure Industrials
26 Boost Newco Borrower LLC New Boost Holdco, LLC Software Information technology
27 Corelogic Inc. CoreLogic Inc. Professional services Industrials
28 Irb Holding Corp. Inspire Brands Inc. Hotels, restaurants, and leisure Consumer discretionary
29 Citadel Securities LP Citadel Securities L.P. Capital markets Financials
30 United Airlines Inc. United Airlines Holdings Inc. Passenger airlines Industrials
31 Amwins Group Inc. Amwins Group Inc. Insurance Financials
32 Polaris Newco LLC Polaris Parent LLC Health care technology Health care
33 Sedgwick Claims Management Services Inc. Sedgwick L.P. IT services Information technology
34 Flutter Financing B.V. Flutter Entertainment PLC Hotels, restaurants, and leisure Consumer discretionary
35 Great Outdoors Group LLC Great Outdoors Group LLC Specialty retail Consumer discretionary
36 Gainwell Acquisition Corp. Gainwell Holding Corp. IT services Information technology
37 Abg Intermediate Holdings 2 LLC Authentic Brands Group LLC Media Communication services
38 Charter Communications Operating LLC Charter Communications Inc. Media Communication services
39 Mks Instruments Inc. MKS Instruments Inc. Semiconductors and semiconductor equipment Information technology
40 Lumen Technologies Inc. Lumen Technologies Inc. Diversified telecommunication services Communication services
41 Wec Us Holdings Ltd. WEC US Holdings Ltd Electrical equipment Industrials
42 Quikrete Holdings Inc. Quikrete Holdings Inc. Construction materials Materials
43 Ziggo Secured Finance Partnership Liberty Global PLC Diversified telecommunication services Communication services
44 Focus Financial Partners LLC Focus Financial Partners Inc. Capital markets Financials
45 Applovin Corp. AppLovin Corp. Software Information technology
46 Cornerstone Building Brands Inc. Cornerstone Building Brands Inc. Building Products Industrials
47 Hunter Douglas Holding B.V. Hunter Douglas Finance B.V. Household Durables Consumer discretionary
48 Entain Holdings (Gibraltar) Ltd. Entain PLC Hotels, restaurants, and leisure Consumer discretionary
49 Realpage Inc. RealPage Inc. Software Information technology
50 UPC Financing Partnership Liberty Global PLC Diversified telecommunication services Communication services
BSL--Broadly syndicated loan. CLO--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 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 Contributors:Vijesh MV, CRISIL Global Analytical Center, an S&P affiliate, Mumbai
Shivani Singh, Pune;
shivani.singh3@spglobal.com

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