Moody's Upgrades Ratings on Phoenix Park CLO Notes Amid Deleveraging and OC Improvements

Moody's Investors Service has announced the upgrade of ratings on several notes issued by Phoenix Park CLO Designated Activity Company, a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The upgrades were primarily driven by the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in October 2024. The transaction's reinvestment period ended in May 2023, and the Class A-1A notes have paid down by approximately EUR 86.0 million (35.8%) since the last rating action in October 2024 and EUR 184.9 million (77.1%) since closing.

The upgrades and affirmations on the ratings of the Class B-1, B-2, C, D, and E notes are primarily a result of the significant deleveraging of the senior notes, which has led to an increase in over-collateralisation (OC) across the capital structure. According to the trustee report dated April 2025, the Class A, Class B, Class C, and Class D OC ratios are reported at 178.0%, 150.8%, 128.8%, and 116.1%, respectively, compared to September 2024 levels of 154.8%, 137.4%, 122.1%, and 112.7%, respectively.

Key Takeaways:

• Moody's has upgraded the ratings on several notes issued by Phoenix Park CLO Designated Activity Company, including the EUR 9,000,000 Class B-1 Senior Secured Deferrable Floating Rate Notes due 2031, the EUR 15,000,000 Class B-2 Senior Secured Deferrable Floating Rate Notes due 2031, the EUR 26,800,000 Class C Senior Secured Deferrable Floating Rate Notes due 2031, the EUR 20,200,000 Class D Senior Secured Deferrable Floating Rate Notes due 2031, and the EUR 11,800,000 Class E Senior Secured Deferrable Floating Rate Notes due 2031.
• The upgrades were primarily driven by the significant deleveraging of the senior notes following amortisation of the underlying portfolio since the last rating action in October 2024.
• The transaction's reinvestment period ended in May 2023, and the Class A-1A notes have paid down by approximately EUR 86.0 million (35.8%) since the last rating action in October 2024 and EUR 184.9 million (77.1%) since closing.
• The OC ratios have increased across the capital structure, with the Class A, Class B, Class C, and Class D OC ratios reported at 178.0%, 150.8%, 128.8%, and 116.1%, respectively, in April 2025, compared to 154.8%, 137.4%, 122.1%, and 112.7%, respectively, in September 2024.
• The affirmation of the ratings on the Class A-1A, A-1B, A-2A1, A-2A2, and A-2B notes is primarily a result of 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 Principal Methodology used in these ratings was "Moody's Global Approach to Rating Collateralized Loan Obligations" published in May 2024.
• The Counterparty Exposure was taken into consideration using the methodology "Structured Finance Counterparty Risks" published in May 2025.

Statistics:

• The Class A-1A notes have paid down by approximately EUR 86.0 million (35.8%) since the last rating action in October 2024 and EUR 184.9 million (77.1%) since closing.
• The OC ratios have increased across the capital structure, with the Class A, Class B, Class C, and Class D OC ratios reported at 178.0%, 150.8%, 128.8%, and 116.1%, respectively, in April 2025, compared to 154.8%, 137.4%, 122.1%, and 112.7%, respectively, in September 2024.
• The weighted average rating factor (WARF) is 3131.
• The weighted average life (WAL) is 3.1 years.
• The weighted average spread (WAS) is 3.6%.

Sources:

• Moody's Investors Service, "Moody's Ratings," October 14, 2024.
• Phoenix Park CLO Designated Activity Company, "Trustee Report," April 2025.
• Moody's Investors Service, "Moody's Global Approach to Rating Collateralized Loan Obligations," May 2024.
• Moody's Investors Service, "Structured Finance Counterparty Risks," May 2025.