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Moody's Investors Service Inc.

Moody's Upgrades and Affirms Ratings on Madison Park Euro Funding VI DAC Notes

Strategic Insights

— 2 min read

Moody's Investors Service has upgraded the ratings on the EUR 22,400,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 issued by Madison Park Euro Funding VI DAC, and affirmed the ratings on the Class A, Class B-1, Class B-2, Class C, Class E, and Class F notes. The upgrade is primarily due to a shorter weighted average life of the portfolio, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio. The affirmations are based on the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features, and its actual over-collateralisation ratios.

The Class D notes were previously rated Baa1 (sf) but have been upgraded to A3 (sf). The Class A notes, Class B-1 notes, Class B-2 notes, Class C notes, Class E notes, and Class F notes were affirmed at their current ratings of Aaa (sf), Aaa (sf), Aaa (sf), Aa3 (sf), Ba2 (sf), and B3 (sf), respectively. The upgrade and affirmations reflect the transaction's resilience to economic and credit conditions and the collateral manager's effective management of the portfolio.

Key Takeaways:

  • The rating upgrade on the EUR 22,400,000 Class D Senior Secured Deferrable Floating Rate Notes due 2030 is primarily due to a shorter weighted average life of the portfolio, which reduces the time the rated notes are exposed to the credit risk of the underlying portfolio.
  • The affirmations on the ratings on the Class A, Class B-1, Class B-2, Class C, Class E, and Class F notes are based on the expected losses on the notes remaining consistent with their current rating levels, after taking into account the CLO's latest portfolio, its relevant structural features, and its actual over-collateralisation ratios.
  • The transaction's collateral manager, Credit Suisse Asset Management Limited, has been effective in managing the portfolio and maintaining its resilience to economic and credit conditions.
  • The portfolio is managed by Credit Suisse Asset Management Limited, a well-established and experienced collateral manager.
  • The transaction's diversification and cash flow structure are designed to protect noteholders from potential losses.
  • Moody's has considered the notes' exposure to relevant counterparties, such as the account bank, and concluded that the ratings are not constrained by these risks.
  • The transaction's sensitivity to various factors, including portfolio amortisation, recovery of defaulted assets, and long-dated assets, has been evaluated and considered in the rating decision.

Statistics:

  • EUR 22,400,000: the principal amount of the Class D Senior Secured Deferrable Floating Rate Notes due 2030 that was upgraded to A3 (sf).
  • EUR 379.58m: the performing par and principal proceeds balance of the portfolio.
  • EUR 21.52m: the defaulted securities in the portfolio.
  • 49: the diversity score of the portfolio.
  • 2762: the weighted average rating factor (WARF) of the portfolio.
  • 3.62 years: the weighted average life (WAL) of the portfolio.
  • 3.82%: the weighted average spread (WAS) of the portfolio.
  • 4.43%: the weighted average coupon (WAC) of the portfolio.
  • 43.27%: the weighted average recovery rate (WARR) of the portfolio.

Sources:

  • "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024, available at https://ratings.moodys.com/rmc-documents/420962.
  • "Structured Finance Counterparty Risks" published in May 2025.
  • Moody's Investors Service, "Madison Park Euro Funding VI DAC", dated October 2021.

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