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Moody's Investors Service Inc.

Moody's Upgrades and Downgrades Ratings on Notes Issued by Saranac CLO VII Limited

Strategic Insights

— 1 min read

Moody's Investors Service has issued upgrades and downgrades on notes issued by Saranac CLO VII Limited. The upgrades were made to the Class C-R and Class D-R Notes, while the Class E-R Notes were downgraded. The rating actions are primarily a result of deleveraging of the senior notes and an increase in the transaction's over-collateralization ratios since August 2024.

Key Takeaways:

  • Moody's upgraded the ratings on the Class C-R Secured Deferrable Floating Rate Notes due 2029 to Aaa (sf) from Aa1 (sf) due to deleveraging of the senior notes and an increase in the over-collateralization ratios.
  • The Class D-R Secured Deferrable Floating Rate Notes due 2029 were upgraded to Baa1 (sf) from Ba2 (sf) due to the same reasons.
  • The Class E-R Secured Deferrable Floating Rate Notes due 2029 were downgraded to C (sf) from Ca (sf) due to a decline in over-collateralization ratio to 79.12% from 94.16% and par loss and credit deterioration observed in the underlying CLO portfolio.
  • The transaction's over-collateralization ratios for the Class C-R and Class D-R notes are currently 248.04% and 121.16%, respectively, versus August 2024 levels of 149.88% and 115.66%, respectively.
  • Saranac CLO VII Limited is a managed cashflow CLO issued in April 2014 and refinanced in November 2017, collateralized primarily by a portfolio of broadly syndicated senior secured corporate loans.
  • The notes are subject to uncertainty and are sensitive to the performance of the underlying portfolio, as well as the Manager's investment decisions and management of the transaction.

Statistics:

  • The over-collateralization ratios for the Class C-R and Class D-R notes are currently 248.04% and 121.16%, respectively.
  • The par balance of the Class C-R Notes is $18.14 million, and the par balance of the Class D-R Notes is $19 million.
  • The weighted average rating factor (WARF) for the transaction is 3095.
  • The weighted average spread (WAS) for the transaction is 3.11%.
  • The weighted average recovery rate (WARR) for the transaction is 48.0%.
  • The weighted average life (WAL) for the transaction is 2.8 years.

Sources:

  • "Moody's Ratings" news release (no date)
  • "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024 (https://ratings.moodys.com/rmc-documents/420962)
  • "Rating Methodologies" page on https://ratings.moodys.com (no date)

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