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.
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 | ||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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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