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Moody's Investors Service Inc.

Moody's Assigns Aaa Rating to Texas Debt Capital CLO 2023-I, Ltd. Refinancing Notes

Strategic Insights

— 1 min read

Moody's Investors Service has assigned a rating to one class of CLO refinancing notes, issued by Texas Debt Capital CLO 2023-I, Ltd., a managed cash flow collateralized loan obligation (CLO). The U.S.$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038 were assigned a rating of Aaa (sf). The rating rationale is based on Moody's methodology and considers all relevant risks associated with the CLO's portfolio and structure.

Key Takeaways:

  • Moody's has assigned a rating of Aaa (sf) to the U.S.$320,000,000 Class A-1-R Senior Secured Floating Rate Notes due 2038 issued by Texas Debt Capital CLO 2023-I, Ltd.
  • The CLO is a managed cash flow collateralized loan obligation with a portfolio primarily consisting of broadly syndicated senior secured corporate loans.
  • The portfolio must consist of at least 90.0% first lien senior secured loans and up to 10.0% of not senior secured loans or eligible investments.
  • CIFC Asset Management LLC will continue to manage the portfolio and may engage in trading activity, including discretionary trading, during the transaction's extended five-year reinvestment period.
  • The refinancing notes will be affected by changes to transaction features, including extension of the reinvestment period, stated maturity, and non-call period, as well as changes to collateral quality tests and overcollateralization test levels.

Statistics:

  • U.S.$320,000,000 - face value of the Class A-1-R Senior Secured Floating Rate Notes due 2038
  • 90.0% - minimum percentage of first lien senior secured loans in the portfolio
  • 10.0% - maximum percentage of not senior secured loans or eligible investments in the portfolio
  • May 2024 - publication date of Moody's Global Approach to Rating Collateralized Loan Obligations rating methodology
  • 70 - Diversity Score used in the base-case analysis
  • 3040 - Weighted Average Rating Factor (WARF) used in the base-case analysis
  • 3.15% - Weighted Average Spread (WAS) used in the base-case analysis
  • 7.00% - Weighted Average Coupon (WAC) used in the base-case analysis
  • 45.00% - Weighted Average Recovery Rate (WARR) used in the base-case analysis
  • 8.06 years - Weighted Average Life (WAL) used in the base-case analysis

Sources:

  • Moody's Investors Service: "Moody's Ratings" (no date)
  • Moody's Global Approach to Rating Collateralized Loan Obligations (May 2024) - available at https://ratings.moodys.com/rmc-documents/420962
  • Moody's Rating Methodologies page (no date) - available at https://ratings.moodys.com

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