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Moody's Investors Service Inc.

Moody's Assigns Provisional Ratings to Vibrant CLO XVI's Refinancing Debt

Strategic Insights

— 2 min read

Moody's Investors Service has assigned provisional ratings to one class of CLO refinancing note and one class of CLO refinancing loan to be issued and incurred by Vibrant CLO XVI. The ratings are based on the Issuer's managed cash flow collateralized loan obligation (CLO) structure, which is collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans.

Key Takeaways:

  • The Issuer's CLO structure is rated (P)Aaa (sf) for the $156,000,000 Class A-1A-R Senior Secured Floating Rate Notes due 2036.
  • The CLO's portfolio must consist of at least 92.5% first lien senior secured loans and up to 7.5% non-senior secured loans.
  • Vibrant Credit Partners, LLC (the Manager) will continue to direct the selection, acquisition, and disposition of assets on behalf of the Issuer.
  • The Manager may engage in trading activity during the extended reinvestment period and may reinvest unscheduled principal payments and proceeds from sales of credit risk assets.
  • Other changes to transaction features include extension of the reinvestment period, extension of the stated maturity and non-call period, changes to collateral quality tests, and changes to the overcollateralization test levels.
  • Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique, with key model inputs including portfolio par, diversity score, weighted average rating factor, and weighted average recovery rate.
  • Moody's used the following base-case assumptions: portfolio par: $400,000,000, diversity score: 65, weighted average rating factor: 3135, weighted average spread: 3.00%, weighted average coupon: 7.50%, and weighted average recovery rate: 46.0%, weighted average life: 7.00 years.
  • The principal methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024 and available at https://ratings.moodys.com/rmc-documents/420962.

Statistics:

  • $156,000,000: amount of Class A-1A-R Senior Secured Floating Rate Notes due 2036.
  • 92.5%: percentage of the portfolio that must consist of first lien senior secured loans.
  • 7.5%: percentage of the portfolio that may consist of non-senior secured loans.
  • $400,000,000: portfolio par used in the base-case assumption.
  • 65: diversity score used in the base-case assumption.
  • 3135: weighted average rating factor used in the base-case assumption.
  • 3.00%: weighted average spread used in the base-case assumption.
  • 7.50%: weighted average coupon used in the base-case assumption.
  • 46.0%: weighted average recovery rate used in the base-case assumption.
  • 7.00 years: weighted average life used in the base-case assumption.

Sources:

  • Moody's Investors Service (https://ratings.moodys.com)
  • Moody's Global Approach to Rating Collateralized Loan Obligations (May 2024)
  • Vibrant CLO XVI, Ltd. (https://www.vibrantclo.com)

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