Untitled

Portfolio Overlap In European CLO 2.
0
Transactions Reflects Collateral
Scarcity
Primary Credit Analyst:
Rebecca Mun, London (44) 20-7176-3613; rebecca.mun@standardandpoors.com
Secondary Contacts:
Arnaud Checconi, London (44) 20-7176-3410; checconia@standardandpoors.com
Matthew Jones, London (44) 20-7176-3591; matthew.jones@standardandpoors.com
Table Of Contents
Pairs Of CLO 2.0 Transactions Have Higher Portfolio Overlap
CLO 2.0 Portfolios Hold More Of The Same Names
CLO 1.0 Transactions Have Higher Obligor Concentration
CLO 2.0 Portfolios Have Greater Industry Concentration
CLO 2.0 Portfolios Are Less Exposed To Assets In Lower Rated Sovereigns
CLO 2.0 Portfolios Have A Greater Concentration In The 'B' Rating
Category
Portfolio Overlap Will Remain High For CLO 2.0 Transactions
Related Criteria And Research
Appendix 1: Sample Statistics As Of May 12, 2014
Appendix 2: Calculation Of Overlap Between Two CLO Portfolios
Appendix 3: Top 100 Obligors In European CLO 1.0 Portfolios
STRUCTURED
FINANCE
RESEARCH
WWW.STANDARDANDPOORS.COM/RATINGSDIRECT JUNE 10, 2014 1
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Portfolio Overlap In European CLO 2.0
Transactions Reflects Collateral Scarcity
European collateralized loan obligation (CLO) issuance has gradually picked up over the last 18 months. Last year, it
equaled 7.7 billion and, while issuance has gained further momentum in the first half of the year to add another 4.8
billion of new supply, CLO managers continue to face a shortage of assets. In Standard & Poor's Ratings Services'
opinion, the lack of new supply and attractive secondary loans in the market may make it increasingly difficult for
managers to build more diversified portfolios.
Vivarte's recent default and the credit deterioration of other widely-held names such as PHS Group Holdings Ltd. and
Van Gansewinkel GROEP B.V. (AVR) has also raised concerns from investors on the extent of portfolio overlap and
concentration in individual transactions. This is particularly true for transactions issued before 2013 ("CLO 1.0") which
are past their reinvestment period with limited trading activity in their portfolios, but where a large number still hold
the same obligors.
Overview
The extent to which underlying collateral performance affects CLO ratings will, in our view, be colored by their
portfolio characteristics, notably the "overlap" of issuers/borrowers between different portfolios and
concentration risk within them.
To consider the extent of portfolio overlap between European CLO 1.0 and 2.0 transactions and the possible
effects of corporate defaults or credit deterioration on the European CLO sector, we reviewed the portfolio
composition of a sample of 195 outstanding transactions that we rate for a total amount of 52 billion.
The top 10 obligors in CLO 2.0 portfolios are in more than 70% of CLO 2.0 transactions, but they only
represent, on average, 1.7% of a given portfolio.
CLO 2.0 portfolios have more portfolio overlap, with CLOs managed by the same manager having a higher
average portfolio overlap than those managed by different managers.
Obligor concentration for CLO 1.0 transactions is higher than for CLO 2.0 transactions.
CLO 2.0 portfolios have higher industry and ratings concentration.
Portfolio overlap is the extent that an obligor can be found in several CLO transactions while the degree of
concentration measures the percentage an obligor accounts for in a given portfolio. A high level of portfolio overlap
could mean that the effects of corporate defaults and/or credit deterioration are more widespread across the European
CLO sector, whereas the concentration affects the severity of changes in obligor credit quality on individual
transactions. For example, the default of the most widely-held obligor in CLO 1.0 transactions could have a negative
effect on 88% of these transactions. While the default of the most widely-held obligor in post-credit crisis "CLO 2.0"
transactions would affect slightly more of these transactions in percentage terms (93%), the impact would be more
pronounced in the CLO 1.0 universe, where the average exposure to the highest ranking obligor is higher at 3.8%
(compared with 2.1% for CLO 2.0 transactions). Hence, the combination of both characteristics contributes to a
greater systemic risk, in our view.
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To consider the extent of portfolio overlap and concentration of exposures to individual obligors, industries, and
countries, we have reviewed the portfolio composition of a sample of 195 outstanding transactions that we rate.
Forty-two managers oversee these transactions and between them, invest in primarily speculative-grade loans to about
1,274 corporate borrowers, with an aggregate notional exposure of 52 billion (compared with 85 billion in 2011).
Where applicable, this report updates some of our analysis in our October 2011 report "Portfolio Overlap In European
CLOs Means Changes In Corporate Creditworthiness Can Have A Widespread Effect," published on Oct. 10, 2011.
Appendix 1 details the sample and breakdown between CLO 1.0 versus CLO 2.0 transactions.
Pairs Of CLO 2.0 Transactions Have Higher Portfolio Overlap
One way to consider the degree of overlap between different CLO portfolios is to look at pairs of transactions and the
proportion of their portfolios that they have in common (for more details of the calculation, see Appendix 2).
Our analysis shows that the degree of overlap between any two European CLO 1.0 transactions ranges between 0% to
83% and the average overlap is 22% (slightly lower than the 27% in our 2011 review). Reflecting the scarcity of assets
available to managers of CLO 2.0 transactions, the average portfolio overlap for them is higher than for CLO 1.0
transactions at 30%, although with a narrower range of overlap from 3% to 61%.
Nevertheless, we note two CLO 2.0 transactions, which show a significantly lower average portfolio overlap compared
with other CLO 2.0 transactions. One of these is a multicurrency transaction invested in British pound
sterling-denominated assets (average portfolio overlap of 12%) and the other is invested in loans to mid-cap borrowers
that are less widely syndicated (average portfolio overlap of 19%).
The average portfolio overlap between European CLO 1.0 and CLO 2.0 transactions is 19%. CLO 2.0 transactions have
the highest average portfolio overlap with the 2006 and 2007 vintages (24%). This is perhaps not surprising since a
significant asset source in CLO 2.0 transactions arose from the redemption of pre-crisis CLOs.
CLOs managed by the same manager have a higher average portfolio overlap than those managed by different
managers. The average portfolio overlap between CLO 1.0 transactions managed by the same manager is about 41%
with a range of 32% to 62%, compared with 21% with a range of 7% to 28% for CLOs managed by different managers
(see table 1). We observe the same trend for CLO 2.0 transactions. Table 2 shows a higher average portfolio overlap
for 2.0 transactions managed by the same manager versus those by different managers (51% versus 29%). However,
the CLO 2.0 sample size is small, with only three managers managing more than one transaction. One major
consideration for many investors of CLO paper investments is their preference for certain managers, depending on the
management type, style and past performance. For investors seeking diversification, owning CLOs managed by the
same manager versus those by different managers could lead to lower diversification than they desire. This is because
managers of multiple CLO transactions may reflect their credit views in similar ways across their transactions.
Nevertheless, we expect there will be differences between portfolios depending on the transaction's vintages, the
manager's access to collateral, source of collateral (e.g., primary market or refinancing), allocation policies, and any
transaction-specific constraints.
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Portfolio Overlap In European CLO 2.0 Transactions Reflects Collateral Scarcity
Table 1
European CLO 1.0 Transactions: Average Pairwise CLO Portfolio Overlap
Segmented by manager
Manager (%) 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15
1 32
2 22 32
3 27 20 44
4 30 26 30 47
5 20 19 20 22 34
6 21 22 24 28 21 33
7 24 20 26 29 16 24 39
8 30 24 35 35 24 28 29 62
9 27 24 27 28 21 24 23 32 40
10 32 29 30 33 23 26 27 38 33 60
11 25 22 23 29 18 24 28 26 25 31 41
12 20 18 19 22 14 20 23 20 21 22 23 39
13 9 7 8 10 11 10 10 11 11 10 13 10 40
14 23 19 23 27 20 23 25 29 23 28 24 18 12 34
15 26 21 27 33 20 25 26 33 26 29 26 20 11 28 42
Table 2
European CLO 2.0 Transactions: Average Pairwise CLO Portfolio Overlap
Segmented by manager
Manager (%) 1 2 3 4 5 6 7 8 9 10
1 N/A
2 42 N/A
3 42 45 N/A
4 42 41 45 N/A
5 31 30 30 28 34
6 39 47 37 42 28 N/A
7 46 41 43 38 34 46 60
8 11 18 16 20 8 12 11 N/A
9 32 34 34 25 30 23 32 14 61
10 21 21 18 22 19 21 23 8 20 N/A
N/A--Not applicable.
CLO 2.0 Portfolios Hold More Of The Same Names
Another way to look at the portfolio overlap between CLOs is to also consider the number of transactions in which
each obligor's debt is held. Overall, European collateral managers invested in 1,240 names across 181 CLO 1.0
transactions. Table 3 shows the top 20 most widely-held names across CLO 1.0 transactions. Although we have made
some changes to the list and ranking of the top obligors since our 2011 report, the most referenced name remains
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Tyrol Acquisition 1 SAS (previously known as Tldiffusion de France), which we see in 160 or 88% of CLO 1.0
portfolios.
In addition, the overlap of names has reduced since 2011, with only 11 names now held in more than 60% of the
portfolios, compared with 20 names in 2011 (see table 3). Appendix 3 lists the top 100 obligors in European CLO 1.0
portfolios.
Table 3
European CLO 1.0 Transactions: Top 20 Obligors By Count
Rank
European CLOs 1.0
holding obligor
Aggregate
exposure
Obligor Country Industry Current 2011 2009 Number
(%) of
total (Mil. )
(%) of
total
Tyrol Acquisition 1 SAS France Telecommunications 1 1 1 160 88.4 1,416.5 2.7
Ypso / Numericable France Cable and satellite
television
2 21 8 141 77.9 916.9 1.7
Alliance Boots (AB) U.K. Food/drug retailers 3 23 80 140 77.3 1,326.4 2.5
Vivarte (Novartex) France Retailers (except food and
drug)
4 7 10 135 74.6 939.0 1.8
Iglo Foods Holdings Ltd. U.K. Food products 5 22 43 129 71.3 824.0 1.6
Telenet Group Holding
N.V.
Belgium Cable and satellite
television
6 16 46 127 70.2 976.0 1.9
Wind Telecomunicazioni
Spa
Italy Telecommunications 7 41 7 123 68.0 1,081.3 2.1
Upc Holding B.V. Netherlands Cable and satellite
television
8 19 15 120 66.3 832.7 1.6
Holding Bercy
Investissement (T/A Elior)
France Food service 9 24 34 119 65.7 813.0 1.6
Avr (Van Gansewinkel
Groep BV)
Netherlands Ecological services and
equipment
10 12 18 116 64.1 557.1 1.1
Flint Group Germany Chemicals and plastics 11 10 11 110 60.8 697.7 1.3
Trionista Topco Gmbh Germany Business equipment and
services
12 13 22 105 58.0 679.2 1.3
Prosiebensat.1 Media AG Germany Radio and television 13 20 23 103 56.9 705.8 1.3
Eircom Holdings (Ireland)
Ltd.
Ireland Telecommunications 14 3 5 96 53.0 575.4 1.1
Select Service Partner (Ssp
Financing Ltd.)
U.K. Food service 15 35 36 95 52.5 459.8 0.9
Ship Luxco 3 S.A.R.L. U.K. Business equipment and
services
16 -- -- 93 51.4 493.3 0.9
Iceland Acquico Ltd.
(Iceland Foods)
U.K. Food products 17 -- -- 92 50.8 295.9 0.6
Mivisa Envases AND Lata
Lux Holding
Spain Containers and glass
products
18 50 56 88 48.6 399.5 0.8
Ineos Group Holdings S.A. U.K. Chemicals and plastics 19 28 2 85 47.0 643.8 1.2
Norrmalm 2 AB (Ahlsell
AB)
Sweden Building and development 20 61 53 85 47.0 331.0 0.6
European collateral managers invested in 297 names across 14 CLO 2.0 transactions (see table 4). Appendix 4 lists the
top 100 obligors, of which two names, Alliance Boots (AB) and Ineos, are the most widely held, appearing in 13 or 93%
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of CLO 2.0 transactions. We see the top 20 obligors in more than 64% of the CLO 2.0 portfolios, compared with 47%
of CLO 1.0 portfolios. This reflects the amortization of loans from issuers that no longer form part of the European
CLO universe.
Table 4
European CLO 2.0 Transactions: Top 20 Obligors By Count
Rank
European CLOs 2.0
holding obligor
Aggregate
exposure
Obligor Country Industry
Current
2.0
Current
1.0 Number
(%) of
total
(Mil.
)
(%) of
total
Alliance Boots (AB) U.K. Food/drug retailers 1 3 13 92.9 92.7 2.0
Ineos Group Holdings S.A. U.K. Chemicals and plastics 2 19 13 92.9 72.0 1.5
Holding Bercy
Investissement (T/A Elior)
France Food service 3 9 12 85.7 73.0 1.6
Tyrol Acquisition 1 SAS France Telecommunications 4 1 11 78.6 75.9 1.6
Ypso / Numericable France Cable and satellite
television
5 2 11 78.6 70.0 1.5
Wind Telecomunicazioni
Spa
Italy Telecommunications 6 7 11 78.6 67.8 1.4
Telenet Group Holding
N.V.
Belgium Cable and satellite
television
7 6 11 78.6 62.8 1.3
Vitalia Holdco S.A.R.L France Healthcare 8 50 11 78.6 61.2 1.3
Upc Holding B.V. Netherlands Cable and satellite
television
9 8 11 78.6 48.1 1.0
Scandferries APS Denmark Surface transport 10 135 10 71.4 64.4 1.4
Hema BV Netherlands Retailers (except food and
drug)
11 32 10 71.4 57.5 1.2
Eircom Holdings (Ireland)
Ltd.
Ireland Telecommunications 12 14 10 71.4 48.0 1.0
Deutsche Raststatten
Gruppe Iv Gmbh
Germany Food service 13 124 10 71.4 40.9 0.9
Norrmalm 2 AB (Ahlsell
AB)
Sweden Building and development 14 20 10 71.4 36.6 0.8
Iceland Acquico Ltd.
(Iceland Foods)
U.K. Food products 15 17 10 71.4 36.5 0.8
Dell Inc. U.S. Electronics/electrical 16 139 9 64.3 56.9 1.2
Trionista Topco Gmbh Germany Business equipment and
services
17 12 9 64.3 49.6 1.1
Intertrust Group B.V. Netherlands Financial intermediaries 18 81 9 64.3 47.5 1.0
Bmc Software Inc. U.S. Business equipment and
services
19 143 9 64.3 44.0 0.9
Iglo Foods Holdings Ltd. U.K. Food products 20 5 9 64.3 41.7 0.9
Compared with CLO 1.0 transactions, we make two observations:
The first is that while CLO 2.0 managers are investing in the same names (263 of the 297 obligors, which make up 97%
of the total CLO 2.0 exposures), the allocations have changed. Underlining some degree of overlap between CLO 1.0
and 2.0 transactions, table 4 shows that 13 of the top 20 most widely held obligors in CLO 2.0 transactions are
amongst the 20 most popular names in CLO 1.0 transactions.
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The second is that there is a higher extent of portfolio overlap for CLO 2.0 than for CLO 1.0 transactions. In chart 1,
the x-axis represents the obligor's rank by number of references in CLO portfolios in ascending order, with the most
widely-held obligor on the left-hand side. The y-axis represents the percentage of CLOs holding the obligor. Chart 1
shows that the obligor ranked in the top decile of the CLO 1.0 asset universe is in 15% of CLO 1.0 portfolios, whereas
an obligor with the same ranking in the CLO 2.0 asset universe is in 57% of CLO 2.0 portfolios. The difference is more
pronounced for an obligor that is ranked in the top two deciles, with these obligors featuring in 5% of CLO 1.0 and 39%
of CLO 2.0 transactions. This reflects that CLO 2.0 managers could be facing a limited choice of suitable assets in the
primary and secondary markets.
Chart 1
CLO 1.0 Transactions Have Higher Obligor Concentration
Whereas the degree of portfolio overlap provides some insight into the impact of an obligor's changing credit quality
on the CLO sector as a whole, the obligor concentration within each CLO's portfolio adds additional insight on the
extent of the impact.
Table 5 shows that overall, obligor concentration has been increasing amongst the most widely-held names within
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CLO 1.0 transactions since 2011. Whereas the top five names made up 8% of the overall CLO 1.0 portfolio in 2011,
they now make up 10%.
Obligor concentration for CLO 1.0 transactions is higher than for CLO 2.0 transactions. However, we note the similar
obligor concentrations between CLO 1.0 transactions observed in 2011 and CLO 2.0 transactions today, both which
were/are in their reinvestment period. Most of today's CLO 1.0 transactions are past their reinvestment period, hence
the high obligor concentration reflects both the impact of deleveraging and the managers' limited ability to manage
their portfolios. This is also consistent with the rating actions that we have taken over the past year, which include
upgrades of the senior notes and downgrades of the junior notes (see "European CLO Performance Index Report Q1
2014: Collateral Credit Quality Remains Stable With Upgrades Outnumbering Downgrades By Three-To-One,"
published on April 24, 2014").
Table 5
CLO Concentration
Cumulative percentage represented by top referenced obligors as a percentage of the aggregate exposure
Cumulative % CLO 1.0 (2011) CLO 1.0 CLO 2.0
Top 5 8.0 10.3 8.2
Top 10 14.9 18.5 14.6
Top 15 20.8 24.4 19.3
Top 30 34.4 35.6 32.2
Top 50 44.5 45.7 46.3
Table 6 shows the concentration of the top 20 most widely-held obligors in CLO 1.0 portfolios within individual
transactions. Fifteen of the most widely-held names have an average exposure of 2.0% or more across transactions
(compared with five of the top names in 2011). For 12 of the names, there are some transactions holding an exposure
of 10% or more, whereas there were only two such names in 2011. This is consistent with the increasing concentration
that we see in table 5.
Table 6
European CLO 1.0 Transactions: Portfolio Exposures To The Top 20 Obligors
CLO exposures to obligor (%)
Obligor No. of CLOs Minimum Mean Maximum
Tyrol Acquisition 1 SAS 160 0.3 3.8 14.5
Ypso / Numericable 141 - 2.7 12.4
Alliance Boots (AB) 140 0.3 3.6 10.9
Vivarte (Novartex) 135 0.1 3.2 23.1
Iglo Foods Holdings Ltd. 129 0.2 2.5 24.8
Telenet Group Holding N.V. 127 0.2 3.1 16.4
Wind Telecomunicazioni SpA 123 0.4 3.2 34.3
Upc Holding B.V. 120 0.4 2.3 7.0
Holding Bercy Investissement (T/A Elior) 119 0.3 2.5 17.5
Avr (Van Gansewinkel Groep B.V.) 116 0.1 2.0 10.3
Flint Group 110 0.2 2.8 17.4
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Table 6
European CLO 1.0 Transactions: Portfolio Exposures To The Top 20 Obligors (cont.)
Trionista Topco GmbH 105 0.1 1.9 5.6
Prosiebensat.1 Media AG 103 0.1 2.7 9.3
Eircom Holdings (Ireland) Ltd. 96 0.2 3.0 40.6
Select Service Partner (Ssp Financing Ltd.) 95 0.2 2.2 15.8
Ship Luxco 3 S.A.R.L. 93 0.2 1.7 4.5
Iceland Acquico Ltd. (Iceland Foods) 92 0.1 1.1 5.7
Mivisa Envases and Lata Lux Holding 88 0.1 1.5 4.2
Ineos Group Holdings S.A. 85 0.2 2.2 6.8
Norrmalm 2 AB (Ahlsell AB) 85 0.2 1.2 4.5
On the other hand, corporate obligors widely found in CLO 2.0 portfolios typically constitute less than 2% of the
portfolio (see table 7). The largest obligor concentration for the top 20 names ranges between 1.8%-4.5%, which
reflects the transaction documents' obligor concentration limitations and also that the transactions are still within their
reinvestment period, which enables managers to trade in and out names.
Table 7
European CLO 2.0 Transactions: Portfolio Exposures To The Top 20 Obligors
CLO exposures to obligor (%)*
Obligor No. of CLOs Minimum Mean Maximum
Alliance Boots (AB) 13 1.1 2.1 2.9
Ineos Group Holdings S.A. 13 0.2 1.6 2.9
Holding Bercy Investissement (T/A Elior) 12 0.8 1.7 2.6
Telenet Group Holding N.V. 11 1.1 1.7 2.6
Tyrol Acquisition 1 SAS 11 1.3 2.1 4.5
Upc Holding B.V. 11 0.4 1.3 2.3
Vitalia Holdco S.A.R.L 11 0.3 1.6 2.8
Wind Telecomunicazioni SpA 11 1.0 1.8 2.7
Ypso / Numericable 11 0.8 2.0 4.5
Deutsche Raststatten Gruppe Iv GmbH 10 0.6 1.4 3.7
Eircom Holdings (Ireland) Ltd. 10 0.5 1.4 2.7
Hema BV 10 0.7 1.6 2.4
Iceland Acquico Ltd. (Iceland Foods) 10 0.6 1.0 2.2
Norrmalm 2 AB (Ahlsell AB) 10 0.5 1.1 1.9
Scandferries APS 10 1.1 1.9 2.6
Bmc Software Inc. 9 0.6 1.5 2.7
Cds Holdco III B.V. 9 0.5 1.3 1.8
Ceva Sante Animale (Financiere Mendelssohn) 9 0.7 1.3 1.8
Dell Inc. 9 1.0 1.9 3.1
Iglo Foods Holdings Ltd. 9 0.6 1.4 2.1
*Note that the calculation excludes cash.
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CLO 2.0 Portfolios Have Greater Industry Concentration
European CLO 2.0 portfolios are concentrated in fewer industries than those in CLO 1.0 portfolios (45 versus 34). This
reflects greater restrictions on the types of assets that collateral managers can purchase in the later generation of
CLOs. As chart 2 shows, business equipment and services remains the leading sector with the highest exposure (13.5%
of CLO 2.0 exposure and 10.4% of CLO 1.0 exposure).
Chart 2
CLO 2.0 Portfolios Are Less Exposed To Assets In Lower Rated Sovereigns
CLO managers of European CLO 1.0 and 2.0 transactions mostly invest in assets located in the U.K., Germany, and
France, but with some differences, such as CLO 2.0 portfolios being less exposed to assets in the U.K. and more
exposed to assets in Germany, the U.S. and The Netherlands. European CLO 2.0 transactions also have less exposure
to peripheral countries, compared with CLO 1.0 transactions. As CLO 2.0 transactions are still within their
reinvestment periods, managers can continue to manage the CLO within the geographical concentration limitations
stated in the transaction documents (typically a maximum 10% exposure to countries rated below 'A-'). By contrast,
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CLO 1.0 transactions do not have these concentration limitations. Although managers haven't necessarily increased
their exposure to assets in peripheral countries, we've typically observed that CLO 1.0 transactions are more exposed
to these countries due to the transactions' deleveraging post their reinvestment period.
Chart 3
CLO 2.0 Portfolios Have A Greater Concentration In The 'B' Rating Category
At 81.5%, the assets in CLO 2.0 portfolios are concentrated in the 'B' rating category, whereas CLO 1.0 portfolios are
more widely spread across the rating spectrum, with some assets rated as high as 'AAA'. Assets that are rated
investment grade make up 5.0% in CLO 1.0 portfolios compared with 0.9% in CLO 2.0 portfolios. The higher ratings
are typically for collateralized debt obligations of corporates, which the transaction documents for CLO 2.0
transactions restrict managers from purchasing.
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Chart 4
Portfolio Overlap Will Remain High For CLO 2.0 Transactions
The portfolio overlap between transactions seems to have reduced for CLO 1.0 transactions since 2011, indicating that
the impact of a credit deterioration or default of an issuer could be less widespread across transactions. However,
increasing concentration caused by transaction deleveraging and managers' inability to trade in and out of credits
indicates tail-end riskwhere relatively few loans remain in the collateral pool, making the magnitude of credit
deterioration or default much more pronounced on the more junior notesfor some transactions.
Unsurprisingly, the scarcity of assets available to managers means that we're seeing a significant portfolio overlap
between European CLO 2.0 transactions. Despite the pick-up in institutional leveraged loan issuance (21.6 billion in
the first five months of 2014 according to S&P LCD), we don't expect to see the level of portfolio overlap between CLO
2.0 transactions reduce. The increased issuance volume is typically either from refinancing or recapitalizations and
comes from fewer issuers compared with pre-crisis numbers. Nevertheless, we would expect any changes in the credit
quality of obligors to have a limited impact on transactions considering the low concentration of obligors in individual
transactions.
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Furthermore, improving macroeconomic conditions in Europe and the continuation of supportive monetary policy
from central banks also mean that we expect to see improving non-financial corporate credit quality and lower default
rates (see "Credit Quality Among Europe's Nonfinancial Corporates Is Set To Rise In 2014-2015, With Fewer Defaults,"
published on May 1, 2014).
Related Criteria And Research
Credit Quality Among Europe's Nonfinancial Corporates Is Set to Rise in 2014-2015, with Fewer Defaults, May 1,
2014
European CLO Performance Index Report Q1 2014: Collateral Credit Quality Remains Stable With Upgrades
Outnumbering Downgrades By Three-To-One, April 24, 2014
European CLO Managers Steer A Steady Course with Portfolio Ramp-Ups, Feb. 17, 2014
European CLO Performance Index Report Q4 2013: The Market Experiences A Revival With Default Rates Staying
Low, Jan. 24, 2014
Counterparty Risk Framework Methodology And Assumptions, June 25, 2013
European CLOs 2.0 Bring Greater Simplicity And Flexibility, June 17, 2013
Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings, Oct. 1, 2012
Portfolio Overlap In European CLOs Means Changes In Corporate CreditWorthiness Can Have a Widespread
Effect, Oct. 10, 2011
Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions, June 14, 2011
Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
Understanding Standard & Poor's Rating Definitions, June 3, 2009
CDO Spotlight: General Cash Flow Analytics for CDO Securitizations, Aug. 25, 2004
Appendix 1: Sample Statistics As Of May 12, 2014
Sample Statistics
All CLO 1.0 CLO 2.0
Number of obligors 1,274 1,240 297
Number of transactions 195 181 14
Number of collateral managers 43 42 11
Number of vintages 11 10 1
Appendix 2: Calculation Of Overlap Between Two CLO Portfolios
We calculate the degree of overlap between two CLO portfolios by first establishing the concentration of each obligor
in each portfolio. For example, consider two portfolios:
Portfolio A contains obligors X and Y, which constitute 1.0% and 2.0% of the portfolio, respectively, and
Portfolio B also contains obligors X and Y, which constitute 3.0% and 1.5% of the portfolio, respectively.
For each obligor, the contribution to the overall overlap is the lower of the concentration in the first portfolio and that
in the second portfolio.
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In our example:
Contribution of obligor X to overall overlap = minimum of 1.0% and 3.0% = 1.0%, and,
Contribution of obligor Y to overall overlap = minimum of 2.0% and 1.5% = 1.5%.
Assuming all other obligors only appear in one portfolio, but not the other, then the total overlap will be the sum of the
contributions from obligors X and Y, i.e., 1.0% + 1.5% = 2.5%.
Appendix 3: Top 100 Obligors In European CLO 1.0 Portfolios
Top 100 Obligors In European CLO 1.0 Portfolios
European CLOs 1.0
holding obligor
Aggregate
exposure
Obligor Country Industry Number
(%) of
total (Mil. )
(%) of
total
Tyrol Acquisition 1 SAS France Telecommunications 160 88.0 1,416.5 2.7
Ypso / Numericable France Cable and satellite television 141 77.9 916.9 1.7
Alliance Boots (AB) U.K. Food/drug retailers 140 77.3 1,326.4 2.5
Vivarte (Novartex) France Retailers (except food and
drug)
135 74.6 939.0 1.8
Iglo Foods Holdings Ltd. U.K. Food products 129 71.3 824.0 1.6
Telenet Group Holding N.V. Belgium Cable and satellite television 127 70.2 976.0 1.9
Wind Telecomunicazioni Spa Italy Telecommunications 123 68.0 1,081.3 2.1
Upc Holding B.V. Netherlands Cable and satellite television 120 66.3 832.7 1.6
Holding Bercy Investissement (T/A Elior) France Food service 119 65.7 813.0 1.6
Avr (Van Gansewinkel Groep BV) Netherlands Ecological services and
equipment
116 64.1 557.1 1.1
Flint Group Germany Chemicals and plastics 110 60.8 697.7 1.3
Trionista Topco GmbH Germany Business equipment and
services
105 58.0 679.2 1.3
Prosiebensat.1 Media AG Germany Radio and television 103 56.9 705.8 1.3
Eircom Holdings (Ireland) Ltd. Ireland Telecommunications 96 53.0 575.4 1.1
Select Service Partner (Ssp Financing
Ltd.)
U.K. Food service 95 52.5 459.8 0.9
services
93 51.4 493.3 0.9
Iceland Acquico Ltd. (Iceland Foods) U.K. Food products 92 50.8 295.9 0.6
Mivisa Envases AND Lata Lux Holding Spain Containers and glass products 88 48.6 399.5 0.8
Ineos Group Holdings S.A. U.K. Chemicals and plastics 85 47.0 643.8 1.2
Norrmalm 2 AB (Ahlsell AB) Sweden Building and development 85 47.0 331.0 0.6
Financiere Spie France Building and development 81 44.8 427.3 0.8
Parques Reunidos Servicios Centrales
S.A.U.
Spain Leisure
goods/activities/movies
80 44.2 496.5 0.9
Merlin Entertainments PLC U.K. Leisure
80 44.2 283.1 0.5
Trader Media Group Ltd. U.K. Publishing 78 43.1 516.4 1.0
United Biscuits Holdco Ltd. U.K. Food products 78 43.1 296.4 0.6
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Top 100 Obligors In European CLO 1.0 Portfolios (cont.)
Boston Luxembourg Ii S.A.R.L. Germany Healthcare 74 40.9 216.2 0.4
Vwr Funding Inc. U.S. Healthcare 72 39.8 392.3 0.7
Ims Health Inc. U.S. Healthcare 72 39.8 311.4 0.6
First Data Corp. U.S. Business equipment and
services
70 38.7 398.1 0.8
Cbr Holding GmbH Germany Clothing/textiles 70 38.7 361.5 0.7
Springer Science+Business Media S.A. Germany Publishing 69 38.1 241.6 0.5
Hema B.V. Netherlands Retailers (except food and
drug)
68 37.6 373.9 0.7
Materis SAS France Building and development 68 37.6 282.6 0.5
Capio AB U.K. Healthcare 67 37.0 188.9 0.4
Eagle Topco 2013 Ltd. U.K. Publishing 67 37.0 83.1 0.2
R Cable Y Telecomunicaciones Galicia
S.A.
Spain Telecommunications 63 34.8 296.7 0.6
Cortefiel Group (Mep Retail Espana S.L) Spain Retailers (except food and
drug)
60 33.1 423.5 0.8
The Nielsen Co. B.V. Netherlands Publishing 59 32.6 179.5 0.3
Schaeffler AG Germany Automotive 58 32.0 195.5 0.4
Pagesjaunes Groupe, SA France Publishing 56 30.9 302.6 0.6
Meldrew Participations (Autobar Group) Netherlands Food service 56 30.9 298.1 0.6
Gala Coral Group Ltd. U.K. Lodging and casinos 55 30.4 477.7 0.9
Fraikin Groupe (Financiere Truck
Investissement)
France Equipment leasing 54 29.8 245.8 0.5
Infinitas Learning (Eeh Holdco
(Netherlands) B.V.)
Netherlands Publishing 54 29.8 215.0 0.4
Truvo N.V. Belgium Publishing 54 29.8 104.4 0.2
Lecta S.A. France Forest products 53 29.3 300.3 0.6
Refresco Gerber B.V. Netherlands Beverage and tobacco 53 29.3 239.6 0.5
Phs Group Holdings Ltd. U.K. Business equipment and
services
51 28.2 344.9 0.7
Mauser Group (Mauser
Industrieverpackungen Gmbh)
Germany Containers and glass products 51 28.2 270.7 0.5
Vitalia Holdco S.A.R.L France Healthcare 51 28.2 251.9 0.5
Tmf Group Holding B.V. Netherlands Business equipment and
services
51 28.2 192.0 0.4
Braas Monier Building Group S.A. Germany Building and development 50 27.6 188.2 0.4
Emma Midco B.V. Netherlands Chemicals and plastics 49 27.1 172.2 0.3
Hilding Anders Financing 3 AB Sweden Home furnishings 49 27.1 159.9 0.3
Thor Norway Topco AS Norway Cable and satellite television 49 27.1 120.5 0.2
Idcsalud S.L. Spain Healthcare 48 26.5 338.4 0.6
Smurfit Kappa Group PLC Ireland Forest products 48 26.5 164.6 0.3
Phm France Holdco 19 S.A.S. France Ecological services and
equipment
47 26.0 226.3 0.4
Catalent Pharma Solutions Inc. U.S. Drugs 47 26.0 199.6 0.4
Minimax Viking GmbH Germany Industrial equipment 47 26.0 175.9 0.3
European Directories Midco S.A.R.L. Netherlands Publishing 46 25.4 121.8 0.2
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Virgin Media Inc. U.K. Cable and satellite television 45 24.9 292.8 0.6
Unitymedia Hessen GmbH & Co. Kg Germany Cable and satellite television 45 24.9 185.7 0.4
Convatec Healthcare B S.A.R.L. U.S. Healthcare 45 24.9 145.3 0.3
Kinetic Concepts Inc. U.S. Healthcare 45 24.9 139.7 0.3
Axalta Coating Systems U.S. Holdings Inc. U.S. Chemicals and plastics 44 24.3 155.5 0.3
Cabb International GmbH Germany Chemicals and plastics 44 24.3 147.3 0.3
Sunrise Communications Holdings S.A. Switzerland Telecommunications 44 24.3 80.6 0.2
Rac Finance (Holdings) Ltd. U.K. Automotive 43 23.8 251.7 0.5
Taminco Global Chemical Corporation Belgium Chemicals and plastics 43 23.8 100.5 0.2
Infor Inc. U.S. Business equipment and
services
42 23.2 201.1 0.4
Sebia Financa S.A. France Healthcare 42 23.2 93.7 0.2
Delachaux S.A. France Industrial equipment 41 22.7 179.7 0.3
Cableuropa S.A.U. Spain Cable and satellite television 41 22.7 155.0 0.3
Telepizza (Foodco Pastries Spain , S.L) Spain Food service 41 22.7 149.9 0.3
Yhl(Uk) U.S. Telecommunications 41 22.7 94.6 0.2
Ansco Finance 2011 Ltd. U.K. Leisure
40 22.1 162.2 0.3
Cerved Group S.P.A. Italy Business equipment and
services
40 22.1 121.7 0.2
Safety Global Lux S.A.R.L. (Bartec) Germany Industrial equipment 40 22.1 83.6 0.2
Diaverum Holding S.A.R.L. Germany Healthcare 39 21.5 226.3 0.4
Intertrust Group B.V. Netherlands Financial intermediaries 39 21.5 222.0 0.4
Alma Consulting Group (Hamac) France Business equipment and
services
39 21.5 216.8 0.4
Maxeda Diy Holding B.V. Netherlands Retailers (except food and
drug)
39 21.5 215.4 0.4
H.C. Starck Group Germany Nonferrous metals/minerals 39 21.5 141.4 0.3
Dorna Sports S.L. Spain Leisure
39 21.5 97.8 0.2
Iberostar - Orizonia Group Spain Leisure
38 21.0 195.6 0.4
Celanese Us Holdings Llc U.S. Chemicals and plastics 38 21.0 112.9 0.2
Matterhorn Financing & Cy S.C.A. Luxembourg Telecommunications 38 21.0 103.8 0.2
Northgate Information Solutions Ltd. U.K. Business equipment and
services
37 20.4 213.1 0.4
Odeon & Uci Cinemas Group Ltd. U.K. Leisure
36 19.9 123.4 0.2
Amdipharm Mercury Debtco Ltd. U.K. Healthcare 36 19.9 99.7 0.2
Oxea S.A.R.L. Germany Chemicals and plastics 35 19.3 180.3 0.3
Novalis S.A.S France Business equipment and
services
35 19.3 151.3 0.3
H&F Nugent Lux Debtco S.A.R.L. (Wood
Mackenzie Ltd.)
U.K. Oil and gas 35 19.3 130.6 0.2
Aramark Corp. U.S. Food service 35 19.3 103.4 0.2
All3media Intermediate Ltd. U.K. Radio and television 33 18.2 167.0 0.3
1330768 | 302218800
Peer Holdings B.V. Netherlands Retailers (except food and
drug)
33 18.2 159.8 0.3
Groupe Nocibe France France Retailers (except food and
drug)
33 18.2 155.2 0.3
New Look Retail Group Ltd. U.K. Retailers (except food and
drug)
33 18.2 134.4 0.3
Formula One U.K. Leisure
33 18.2 115.7 0.2
Top 100 Obligors In European CLO 2.0 Portfolios
European CLOs 2.0
holding obligor
Aggregate
exposure
Obligor Country Industry No. (%) of total (Mil. )
(%) of
total
Alliance Boots (AB) U.K. Food/drug retailers 13 92.9 92.7 2.0
Ineos Group Holdings S.A. U.K. Chemicals and plastics 13 92.9 72.0 1.5
Holding Bercy Investissement (T/A Elior) France Food service 12 85.7 73.0 1.6
Tyrol Acquisition 1 SAS France Telecommunications 11 78.6 75.9 1.6
Ypso / Numericable France Cable and satellite television 11 78.6 70.0 1.5
Wind Telecomunicazioni Spa Italy Telecommunications 11 78.6 67.8 1.4
Telenet Group Holding N.V. Belgium Cable and satellite television 11 78.6 62.8 1.3
Vitalia Holdco S.A.R.L. France Healthcare 11 78.6 61.2 1.3
Upc Holding B.V. Netherlands Cable and satellite television 11 78.6 48.1 1.0
Scandferries APS Denmark Surface transport 10 71.4 64.4 1.4
Hema .BV. Netherlands Retailers (except food and drug) 10 71.4 57.5 1.2
Eircom Holdings (Ireland) Ltd. Ireland Telecommunications 10 71.4 48.0 1.0
Deutsche Raststatten Gruppe Iv GmbH Germany Food service 10 71.4 40.9 0.9
Norrmalm 2 AB (Ahlsell AB) Sweden Building and development 10 71.4 36.6 0.8
Iceland Acquico Ltd. (Iceland Foods) U.K. Food products 10 71.4 36.5 0.8
Dell Inc. U.S. Electronics/electrical 9 64.3 56.9 1.2
Trionista Topco GmbH Germany Business equipment and
services
9 64.3 49.6 1.1
Intertrust Group B.V. Netherlands Financial intermediaries 9 64.3 47.5 1.0
Bmc Software Inc. U.S. Business equipment and
services
9 64.3 44.0 0.9
Iglo Foods Holdings Ltd. U.K. Food products 9 64.3 41.7 0.9
Cds Holdco III B.V. Netherlands Cable and satellite television 9 64.3 41.0 0.9
Ceva Sante Animale (Financiere
Mendelssohn)
France Farming/agriculture 9 64.3 39.8 0.8
Ims Health Inc. U.S. Healthcare 9 64.3 39.0 0.8
Scout24 Germany Publishing 9 64.3 38.9 0.8
Redtop Acquisitions Ltd. U.K. Business equipment and
services
9 64.3 38.5 0.8
Minimax Viking GmbH Germany Industrial equipment 9 64.3 38.5 0.8
Oberthur Technologies Holding SAS France Electronics/electrical 9 64.3 37.4 0.8
Soppa Investments S.A.R.L. Belgium Food products 9 64.3 29.8 0.6
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United Biscuits Holdco Ltd. U.K. Food products 9 64.3 22.7 0.5
Tunstall Group Holdings Ltd. U.K. Healthcare 8 57.1 40.0 0.9
Ziggo Bond Co. B.V. Netherlands Cable and satellite television 8 57.1 39.0 0.8
Gardner Denver Holdings GmbH & Co.
KG
U.S. Industrial equipment 8 57.1 38.3 0.8
Picard Groupe S.A.S. France Food/drug retailers 8 57.1 35.6 0.8
services
8 57.1 31.9 0.7
Faenza Acquisition Germany Industrial equipment 8 57.1 31.3 0.7
Avr (Van Gansewinkel Groep B.V.) Netherlands Ecological services and
equipment
8 57.1 30.8 0.7
Oak Leaf BV Netherlands Food products 7 50.0 47.6 1.0
Cool International Holding GmbH Austria Industrial equipment 7 50.0 42.5 0.9
Hellios B.V. Netherlands Business equipment and
services
7 50.0 36.8 0.8
Peer Holdings B.V. Netherlands Retailers (except food and drug) 7 50.0 35.6 0.8
Oxea S.A.R.L. Germany Chemicals and plastics 7 50.0 31.0 0.7
Financiere Spie France Building and development 7 50.0 29.5 0.6
Cabb International GmbH Germany Chemicals and plastics 7 50.0 29.3 0.6
Capio AB U.K. Healthcare 7 50.0 28.6 0.6
Ultima Lux S.A.R.L. U.S. Chemicals and plastics 7 50.0 26.8 0.6
Innovia Group (Finance) PLC U.K. Surface transport 7 50.0 26.6 0.6
Merlin Entertainments PLC U.K. Leisure goods/activities/movies 7 50.0 25.4 0.5
Attendo AB Sweden Healthcare 7 50.0 23.9 0.5
Quikrete Holdings, Inc. U.S. Building and development 6 42.9 37.0 0.8
Diaverum Holding S.A.R.L Germany Healthcare 6 42.9 35.2 0.7
Meldrew Participations (Autobar Group) Netherlands Food service 6 42.9 35.1 0.7
Gabriel Acquisitions GmbH Germany Chemicals and plastics 6 42.9 33.1 0.7
Safety Global Lux S.A.R.L. (Bartec) Germany Industrial equipment 6 42.9 30.5 0.6
Novalis S.A.S France Business equipment and
services
6 42.9 30.2 0.6
Flint Group Germany Chemicals and plastics 6 42.9 27.3 0.6
Convatec Healthcare B S.A.R.L. U.S. Healthcare 6 42.9 26.3 0.6
Applus Technologies Holding S.L Spain Business equipment and
services
6 42.9 25.8 0.5
Emma Midco B.V. Netherlands Chemicals and plastics 6 42.9 25.6 0.5
Phm France Holdco 19 S.A.S. France Ecological services and
equipment
6 42.9 25.1 0.5
Springer Science+Business Media S.A. Germany Publishing 6 42.9 25.1 0.5
First Data Corp. U.S. Business equipment and
services
6 42.9 24.6 0.5
Boston Luxembourg Ii S.A.R.L. Germany Healthcare 6 42.9 23.8 0.5
Jll/Delta Dutch Newco B.V. Canada Healthcare 6 42.9 23.6 0.5
Chase Bidco Ltd. U.K. Containers and glass products 6 42.9 23.4 0.5
Unitymedia Hessen Gmbh & Co. KG Germany Cable and satellite television 6 42.9 22.7 0.5
1330768 | 302218800
Vougeot Bidco PLC U.K. Leisure goods/activities/movies 6 42.9 22.5 0.5
Ai Garden B.V. Netherlands Healthcare 6 42.9 21.2 0.5
Axalta Coating Systems U.S. Holdings Inc. U.S. Chemicals and plastics 6 42.9 20.7 0.4
Spectrum Brands Inc. U.S. Electronics/electrical 6 42.9 13.3 0.3
Compagnie Europeenne De Prevoyance France Diversified insurance 5 35.7 30.7 0.7
Vivarte (Novartex) France Retailers (except food and drug) 5 35.7 29.8 0.6
Sentinel Midco Ltd. Germany Business equipment and
services
5 35.7 25.5 0.5
Prosiebensat.1 Media AG Germany Radio and television 5 35.7 24.8 0.5
Infor Inc. U.S. Business equipment and
services
5 35.7 24.2 0.5
Stampos B.V. Switzerland Retailers (except food and drug) 5 35.7 23.4 0.5
Mauser Group (Mauser
Industrieverpackungen Gmbh)
Germany Containers and glass products 5 35.7 23.0 0.5
Hilding Anders Financing 3 AB Sweden Home furnishings 5 35.7 22.5 0.5
Port Aventura Entertainment Barcelona
B.V.
Netherlands Leisure goods/activities/movies 5 35.7 19.8 0.4
Materis SAS France Building and development 5 35.7 18.7 0.4
Holdelis SAS France Business equipment and
services
5 35.7 18.6 0.4
Norcell Sweden Holding 2 AB(Publ) Sweden Cable and satellite television 5 35.7 17.9 0.4
Schaeffler AG Germany Automotive 5 35.7 17.1 0.4
Amdipharm Mercury Debtco Ltd. U.K. Healthcare 5 35.7 16.8 0.4
Matterhorn Financing & Cy S.C.A. Luxembourg Telecommunications 5 35.7 16.1 0.3
Lata Lux Holding Parent S.A.R.L. Spain Containers and glass products 5 35.7 15.7 0.3
Ardagh Packaging Group Ltd. Ireland Containers and glass products 5 35.7 15.6 0.3
Guala Closures SPA Italy Containers and glass products 5 35.7 15.5 0.3
Douglas Holding AG Germany Retailers (except food and drug) 5 35.7 13.5 0.3
Cucina Acquisition (U.K.) Ltd. U.K. Food service 4 28.6 31.1 0.7
Darling International Inc. U.S. Farming/agriculture 4 28.6 29.6 0.6
Delachaux S.A. France Industrial equipment 4 28.6 19.2 0.4
Beauty Holding Two AG Germany Cosmetics/toiletries 4 28.6 17.3 0.4
Infront Sports & Media AG Germany Business equipment and
services
4 28.6 16.0 0.3
Financiere Quick S.A.S. France Food service 4 28.6 15.8 0.3
Bca Osprey Iv Ltd. U.S. Automotive 4 28.6 15.0 0.3
Grifols S.A. U.S. Healthcare 4 28.6 13.4 0.3
Bravida Holding AB Sweden Business equipment and
services
4 28.6 12.5 0.3
Holding Medi-Partenaires SAS France Healthcare 4 28.6 12.5 0.3
Alliance Automotive Group France Business equipment and
services
4 28.6 12.4 0.3
Cerved Group S.P.A. Italy Business equipment and
services
4 28.6 11.5 0.2
The authors would like to thank Jim Dunne for his help with this report.
1330768 | 302218800
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1330768 | 302218800
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Portfolio Overlap In European CLO 2.

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