In 2Q10, CLO obligor concentration risk decreased slightly in outstanding Standard & Poor's-rated U.S. cash flow deals, the agency said in a recent report.
Exposre to the top 250 corporate loan obligors dipped to 55% from 57% of the outstanding principal balance for U.S. CLOs between the first and second quarters.
S&P reviewed 633 outstanding rated U.S. CLOs and around 4,400 underlying corporate obligors to find out what the concentration risk among its rated CLOs, ranking the obligors according to their total outstanding principal amount. The top 100 obligors made up 36% of all the loans that backed these rated CLO portfolios in 2Q10.
The top 100 corporate obligors had more pronounced swings in their rankings, especially among distressed obligors. This occured even though there were slight shifts in the top 10 rankings of corporate obligors held in rated U.S. CLOs between 1Q10 and 2Q10.
Texas Competitive Electric Holdings Co. remained the obligor with the highest exposure among U.S. CLOs, incrasing to 1.2% of the aggregate outstanding principal balance in 2Q10 from 1.07% in 1Q10. The firm has represented the single biggest exposure among U.S. CLOs since 1Q09.
Business services once again represented the biggest industry exposure among loans held in CLOs, having just over $31 billion in outstanding loans.
The exposure of loans in the health care sector — which remained in the No. 2 spot — dipped to $28 billion, and the publishing sector remained a distant third, with about $14 billion in outstanding loans.