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Moody's Investors Service Inc.

Moody's Assigns Ratings to Magnetite XLIII, Limited CLO

Strategic Insights

— 2 min read

Moody's Investors Service has assigned ratings to two classes of notes issued and one class of loans incurred by Magnetite XLIII, Limited. The Rated Debt includes U.S.$202,000,000 Class A Loans maturing 2038, assigned Aaa (sf), U.S.$86,000,000 Class A Senior Secured Floating Rate Notes due 2038, assigned Aaa (sf), and U.S.$125,000 Class F Deferrable Mezzanine Floating Rate Notes due 2038, assigned B3 (sf). The ratings are based on Moody's methodology, which considers all relevant risks, particularly those associated with the CLO's portfolio and structure.

Key Takeaways:

  • Magnetite XLIII is a managed cash flow CLO with a portfolio primarily consisting of broadly syndicated senior secured corporate loans.
  • The portfolio is approximately 80% ramped as of the closing date, with at least 90% consisting of first lien senior secured loans and up to 10% of the portfolio consisting of second lien loans, unsecured loans, and bonds.
  • The Manager, BlackRock Financial Management, Inc., will direct the selection, acquisition, and disposition of assets on behalf of the Issuer and may engage in trading activity, including discretionary trading, during the five-year reinvestment period.
  • The transaction incorporates interest and par coverage tests, which divert interest and principal proceeds to pay down notes in order of seniority.
  • Moody's modeled the transaction using a cash flow model based on the Binomial Expansion Technique.
  • The base-case assumptions for modeling purposes include a par amount of $450,000,000, a Diversity Score of 65, a Weighted Average Rating Factor (WARF) of 2783, a Weighted Average Spread (WAS) of 2.90%, a Weighted Average Coupon (WAC) of 5.00%, a Weighted Average Recovery Rate (WARR) of 46.00%, and a Weighted Average Life (WAL) of 8 years.

Statistics:

  • U.S.$202,000,000: Principal amount of Class A Loans maturing 2038.
  • U.S.$86,000,000: Principal amount of Class A Senior Secured Floating Rate Notes due 2038.
  • U.S.$125,000: Principal amount of Class F Deferrable Mezzanine Floating Rate Notes due 2038.
  • 90%: Minimum percentage of the portfolio consisting of first lien senior secured loans.
  • 10%: Maximum percentage of the portfolio consisting of second lien loans, unsecured loans, and bonds.
  • 80%: Percentage of the portfolio ramped as of the closing date.
  • 5 years: Reinvestment period during which the Manager may engage in trading activity, including discretionary trading.
  • 2024: Year in which Moody's published the "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology.

Sources:

  • Moody's Investors Service, "Moody's Assigns Ratings to Magnetite XLIII, Limited CLO," news release.
  • Moody's, "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024.
  • https://ratings.moodys.com/rmc-documents/420962.
  • https://ratings.moodys.com.

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