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Moody's Investors Service Inc.

Moody's Assigns Provisional Ratings to Apidos CLO XXIX Refinancing Notes

Strategic Insights

— 1 min read

Moody's Investors Service has issued ratings for two classes of refinancing notes issued by Apidos CLO XXIX, a managed cash flow collateralized loan obligation (CLO). The ratings assign a provisional Aaa (sf) rating to the Class A-1-R Senior Secured Floating Rate Notes due 2037 and a B3 (sf) rating to the Class F-R Mezzanine Deferrable Floating Rate Notes due 2038. The ratings consider the transaction's structure, the portfolio's composition, and the Manager's investment decisions.

Key Takeaways:

  • The Refinancing Notes are collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans, with a minimum of 96.0% of the portfolio consisting of first lien senior secured loans and up to 4.0% consisting of second lien loans, unsecured loans, first lien last out loans, and permitted non-loan assets.
  • CVC Credit Partners U.S. CLO Management LLC, the Manager, will continue to direct the selection, acquisition, and disposition of assets and may engage in trading activity, including discretionary trading, during the transaction's extended five-year reinvestment period.
  • The transaction includes various changes, such as the extension of the reinvestment period, stated maturity, and non-call period, as well as changes to certain collateral quality tests and overcollateralization test levels.
  • Moody's used a cash flow model based on the Binomial Expansion Technique to analyze the transaction, with key model inputs including portfolio par, weighted average rating factor, diversity score, and weighted average recovery rate.
  • The base-case assumptions used in the analysis include a portfolio par of $550,000,000, a diversity score of 65, a weighted average rating factor (WARF) of 2975, a weighted average spread of 3.10%, a weighted average coupon (WAC) of 7.00%, and a weighted average recovery rate (WARR) of 46.0%.

Statistics:

  • Portfolio par: $550,000,000
  • Diversity Score: 65
  • Weighted Average Rating Factor (WARF): 2975
  • Weighted Average Spread (WAS): 3.10%
  • Weighted Average Coupon (WAC): 7.00%
  • Weighted Average Recovery Rate (WARR): 46.0%
  • Weighted Average Life (WAL): 8.1 years

Sources:

  • Moody's Investors Service
  • "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024, available at https://ratings.moodys.com/rmc-documents/420962
  • Moody's Rating Methodologies page, available at https://ratings.moodys.com

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