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 2022.
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).
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 | 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 | 6.39 | 6.44 | 6.45 | 6.57 | 6.43 | 6.52 | 6.78 | 6.89 | 6.88 | 6.59 | 6.30 | 6.04 | ||||||||||||||
| Top 50 | 19.28 | 19.15 | 19.09 | 19.23 | 19.19 | 19.21 | 19.73 | 19.96 | 20.41 | 20.28 | 20.03 | 19.62 | ||||||||||||||
| top 250 | 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 | 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 | 12.75 | 12.82 | 12.98 | 13.09 | 13.02 | 13.07 | 12.83 | 12.69 | 12.70 | 12.90 | 12.95 | 13.11 | ||||||||||||||
| 751 to 1000 | 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 | 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 | 0.72 | 0.87 | 1.03 | 1.15 | 1.25 | 1.21 | 1.09 | 0.87 | 0.72 | 0.77 | 0.81 | 1.01 | ||||||||||||||
| 1,500+ | 0.05 | 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. | ||||||||||||||||||||||||||
Table 2 shows the Global Industry Classification Standard (GICS) industry breakdown of U.S. BSL CLO exposures.
Table 2
| GIC Industry Breakdown Of Third-Quarter 2022 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 | 11.39 | 3,198 | 91.52 | 58.42 | 3.86 | 19.68 | 0.02 | |||||||||
| Health care providers and services | 6.75 | 3,132 | 87.69 | 54.14 | 3.93 | 23.19 | 0.00 | |||||||||
| Hotels, restaurants, and leisure | 5.15 | 2,378 | 96.12 | 70.18 | 3.23 | 12.18 | 0.03 | |||||||||
| Diversified telecommunication services | 4.58 | 2,624 | 91.17 | 62.67 | 3.08 | 30.21 | 0.00 | |||||||||
| Media | 4.31 | 2,566 | 89.65 | 70.14 | 3.31 | 28.78 | 0.00 | |||||||||
| IT services | 4.11 | 2,729 | 91.35 | 60.41 | 3.59 | 4.39 | 0.00 | |||||||||
| Capital markets | 4.05 | 2,335 | 95.39 | 51.92 | 3.42 | 11.03 | 1.16 | |||||||||
| Machinery | 3.76 | 2,929 | 94.25 | 55.92 | 3.73 | 20.08 | 0.00 | |||||||||
| Commercial services and supplies | 3.74 | 2,740 | 93.36 | 64.74 | 3.64 | 12.90 | 0.00 | |||||||||
| Chemicals | 3.38 | 2,598 | 93.43 | 63.88 | 3.58 | 10.78 | 0.00 | |||||||||
| Insurance | 2.78 | 2,745 | 96.97 | 53.45 | 3.42 | 2.66 | 0.00 | |||||||||
| Specialty retail | 2.64 | 2,505 | 93.54 | 58.94 | 3.67 | 16.17 | 0.00 | |||||||||
| Trading companies and distributors | 2.53 | 2,682 | 94.55 | 54.08 | 3.26 | 10.36 | 0.00 | |||||||||
| Containers and packaging | 2.35 | 2,897 | 94.32 | 56.99 | 3.65 | 15.47 | 0.00 | |||||||||
| Professional services | 2.27 | 2,742 | 94.27 | 58.64 | 3.67 | 21.30 | 0.00 | |||||||||
| Health care technology | 2.11 | 3,495 | 92.07 | 65.34 | 3.96 | 11.23 | 0.00 | |||||||||
| Aerospace and defense | 2.02 | 2,594 | 96.19 | 56.22 | 3.52 | 12.54 | 0.00 | |||||||||
| Entertainment | 1.96 | 3,090 | 92.02 | 64.35 | 3.24 | 4.52 | 0.00 | |||||||||
| Building products | 1.79 | 2,522 | 91.91 | 54.52 | 3.41 | 0.01 | 0.00 | |||||||||
| Food products | 1.52 | 2,829 | 94.34 | 59.05 | 3.38 | 16.01 | 0.00 | |||||||||
| Diversified consumer services | 1.49 | 3,040 | 92.60 | 55.68 | 3.78 | 7.10 | 0.00 | |||||||||
| Construction and engineering | 1.41 | 2,976 | 94.84 | 52.47 | 3.92 | 12.32 | 0.00 | |||||||||
| Auto components | 1.34 | 3,072 | 93.02 | 56.48 | 3.83 | 10.23 | 0.00 | |||||||||
| Life sciences tools and services | 1.30 | 2,369 | 94.40 | 54.47 | 3.21 | 24.78 | 0.00 | |||||||||
| Pharmaceuticals | 1.26 | 2,530 | 92.72 | 61.90 | 3.39 | 4.65 | 0.00 | |||||||||
| Airlines | 1.25 | 2,709 | 97.52 | 68.24 | 3.40 | 0.00 | 0.00 | |||||||||
| Oil, gas, and consumable fuels | 1.20 | 2,045 | 98.36 | 70.38 | 3.67 | 0.73 | 0.00 | |||||||||
| Road and rail | 1.16 | 2,129 | 96.24 | 67.25 | 3.29 | 3.73 | 0.00 | |||||||||
| Electronic equipment, instruments, and components | 0.98 | 2,811 | 94.76 | 56.93 | 3.77 | 5.78 | 0.00 | |||||||||
| Interactive media and services | 0.96 | 2,685 | 95.26 | 60.36 | 3.60 | 0.59 | 3.56 | |||||||||
| Household durables | 0.94 | 2,731 | 87.64 | 57.63 | 3.53 | 51.09 | 0.63 | |||||||||
| Project finance: power | 0.93 | 2,241 | 92.85 | 73.19 | 4.28 | 24.05 | 0.00 | |||||||||
| Health care equipment and supplies | 0.90 | 3,468 | 89.56 | 56.76 | 4.05 | 20.52 | 0.00 | |||||||||
| Communications equipment | 0.80 | 4,337 | 83.77 | 60.33 | 4.03 | 18.65 | 1.39 | |||||||||
| Electrical equipment | 0.71 | 2,964 | 96.00 | 55.01 | 3.51 | 0.00 | 0.00 | |||||||||
| Textiles, apparel, and luxury goods | 0.61 | 2,737 | 91.24 | 61.22 | 4.33 | 22.62 | 0.00 | |||||||||
| Personal products | 0.60 | 3,395 | 90.41 | 65.36 | 3.88 | 25.08 | 0.00 | |||||||||
| Wireless telecommunication services | 0.58 | 2,575 | 93.90 | 62.45 | 3.78 | 0.00 | 0.00 | |||||||||
| Independent power and renewable electricity producers | 0.57 | 1,972 | 98.79 | 89.71 | 2.89 | 13.36 | 0.00 | |||||||||
| Semiconductors and semiconductor equipment | 0.55 | 1,565 | 97.12 | 56.16 | 3.07 | 2.80 | 0.94 | |||||||||
| Metals and mining | 0.52 | 2,936 | 91.38 | 57.57 | 4.02 | 7.70 | 0.00 | |||||||||
| Electric utilities | 0.51 | 1,532 | 98.17 | 75.20 | 3.07 | 0.00 | 1.48 | |||||||||
| Distributors | 0.51 | 3,325 | 91.61 | 50.40 | 4.70 | 6.00 | 0.00 | |||||||||
| Leisure products | 0.51 | 2,519 | 92.19 | 58.45 | 3.59 | 4.60 | 0.00 | |||||||||
| Mortgage real estate investment trusts (REITs) | 0.47 | 1,595 | 97.50 | -- | 3.15 | 0.00 | 0.00 | |||||||||
| Construction materials | 0.47 | 2,092 | 98.53 | 46.27 | 3.29 | 0.00 | 0.00 | |||||||||
| Transportation infrastructure | 0.46 | 2,413 | 98.47 | 68.28 | 3.24 | 0.00 | 0.00 | |||||||||
| Beverages | 0.45 | 3,094 | 85.71 | 56.28 | 3.52 | 63.56 | 5.19 | |||||||||
| Air freight and logistics | 0.45 | 3,217 | 86.85 | 53.21 | 4.37 | 40.89 | 0.00 | |||||||||
| Food and staples retailing | 0.35 | 2,152 | 95.61 | 71.57 | 3.65 | 3.21 | 0.00 | |||||||||
| Internet and direct marketing retail | 0.34 | 3,371 | 83.62 | 54.55 | 4.09 | 14.68 | 0.00 | |||||||||
| Real estate management and development | 0.34 | 1,714 | 95.45 | 57.12 | 3.19 | 2.26 | 0.00 | |||||||||
| Household products | 0.27 | 3,077 | 95.53 | 65.61 | 3.16 | 30.28 | 0.00 | |||||||||
| Biotechnology | 0.25 | 2,269 | 96.74 | 67.34 | 2.94 | 0.67 | 0.00 | |||||||||
| Automobiles | 0.23 | 2,081 | 94.82 | 62.58 | 3.36 | 52.06 | 0.00 | |||||||||
| Technology hardware, storage, and peripherals | 0.22 | 3,023 | 90.52 | 56.92 | 4.26 | 20.40 | 0.00 | |||||||||
| Gas utilities | 0.20 | 1,234 | 99.40 | 65.00 | 3.75 | 0.00 | 0.00 | |||||||||
| Energy equipment and services | 0.16 | 2,626 | 93.60 | 72.47 | 4.47 | 0.00 | 0.00 | |||||||||
| Project finance: oil and gas | 0.13 | 2,301 | 90.89 | 67.78 | 3.67 | 23.27 | 0.00 | |||||||||
| Paper and forest products | 0.09 | 2,429 | 94.87 | 55.15 | 5.00 | 27.37 | 0.00 | |||||||||
| Thrifts and mortgage finance | 0.08 | 1,877 | 97.43 | 86.09 | 3.26 | 1.90 | 0.00 | |||||||||
| Equity real estate investment trusts (REITs) | 0.08 | 1,984 | 98.56 | 80.89 | 1.86 | 0.00 | 1.44 | |||||||||
| Water utilities | 0.08 | 3,610 | 95.91 | 60.00 | 5.75 | 0.00 | 0.00 | |||||||||
| Multiline retail | 0.06 | 3,788 | 60.98 | 49.33 | 4.79 | 29.13 | 0.00 | |||||||||
| Consumer finance | 0.02 | 1,912 | 88.75 | 95.00 | 4.00 | 0.00 | 0.00 | |||||||||
| Banks | 0.01 | 360 | -- | -- | 1.14 | 0.00 | 0.00 | |||||||||
| Industrial conglomerates | 0.00 | 4,641 | 95.00 | -- | 4.75 | 0.00 | 0.00 | |||||||||
| Marine | 0.00 | 5,751 | 97.50 | -- | 7.75 | 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. Click this link to download the full ranked list of U.S. BSL CLO exposures.
Table 3
| Top 50 Obligors Held In U.S. BSL CLOs (Fourth-Quarter 2022) | ||
|---|---|---|
| Rank | Top 50 Obligors Held In U.S. BSL CLOs | GIC Code |
| 1 | Liberty Global PLC | Diversified telecommunication services |
| 2 | Altice Europe N.V. | Diversified telecommunication services |
| 3 | Asurion Group Inc. | It services |
| 4 | Altice USA Inc. | Media |
| 5 | TransDigm Inc. | Aerospace and defense |
| 6 | Lumen Technologies Inc. | Diversified telecommunication services |
| 7 | Medline Borrower L.P. | Health care providers and services |
| 8 | Endeavor Group Holdings Inc. | Entertainment |
| 9 | athenahealth Group Inc | Health care technology |
| 10 | American Airlines Group Inc. | Airlines |
| 11 | Peraton Corp. | Aerospace and defense |
| 12 | Ineos Ltd. | Chemicals |
| 13 | Acrisure Holdings Inc. | Insurance |
| 14 | UKG Inc. | Software |
| 15 | Sinclair Broadcast Group Inc. | Media |
| 16 | Volt Parent, LP | Independent power and renewable electricity producers |
| 17 | United Airlines Holdings Inc. | Airlines |
| 18 | McAfee Corp. | Software |
| 19 | Inspire Brands Inc. | Hotels, restaurants, and leisure |
| 20 | Micro Holding Corp. | Software |
| 21 | Atlas Ontario LP | Commercial services and supplies |
| 22 | Front Range Bidco, Inc. | Diversified telecommunication services |
| 23 | Univision Communications Inc. | Media |
| 24 | AssuredPartners Inc. | Insurance |
| 25 | Brookfield WEC Holdings Inc. | Electrical equipment |
| 26 | Radiate Holdco LLC | Diversified telecommunication services |
| 27 | Sedgwick L.P. | It services |
| 28 | Caesars Entertainment Inc. | Hotels, restaurants, and leisure |
| 29 | Brookfield Corporation | Capital markets |
| 30 | Hub International Ltd. | Insurance |
| 31 | Amentum Holdings LLC | Construction and engineering |
| 32 | Clarios Global L.P. | Auto components |
| 33 | CoreLogic Inc. | Professional services |
| 34 | Air Medical Holdings LLC | Health care providers and services |
| 35 | Alliant Holdings L.P. | Insurance |
| 36 | EG Group Ltd. | Specialty retail |
| 37 | Flutter Entertainment PLC | Hotels, restaurants, and leisure |
| 38 | Nouryon Cooperatief U.A. | Chemicals |
| 39 | Authentic Brands Group LLC | Media |
| 40 | SS&C Technologies Holdings Inc. | Software |
| 41 | Polaris Parent LLC | Health care technology |
| 42 | Verscend Holding II Corp. | Health care technology |
| 43 | Quikrete Holdings Inc. | Construction materials |
| 44 | Osmosis Holdings L.P. | Machinery |
| 45 | LifePoint Health Inc. | Health care providers and services |
| 46 | Great Outdoors Group LLC | Specialty retail |
| 47 | CommScope Holding Co. Inc. | Communications equipment |
| 48 | Cornerstone Building Brands Inc. | Building products |
| 49 | Phoenix Guarantor Inc. | Health care providers and services |
| 50 | Citadel Securities L.P. | Capital markets |
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 Analysts: | Daniel Hu, FRM, New York + 1 (212) 438 2206; daniel.hu@spglobal.com |
| Vijesh MV, Pune; Vijesh.MV@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 |
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