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Moody's Upgrades Ratings on Tymon Park CLO DAC Notes

Strategic Insights

— 2 min read

Moody's Investors Service has upgraded the ratings on several notes issued by Tymon Park CLO DAC, a collateralised loan obligation (CLO) backed by a portfolio of mostly high-yield senior secured European loans. The upgrades were primarily due to the shorter period of time remaining before the end of the reinvestment period in August 2025. The ratings on other notes were affirmed, taking into account the expected losses on the notes and the CLO's latest portfolio, structural features, and actual over-collateralisation ratios.

Key Takeaways:

  • Moody's upgraded the ratings on the EUR 28,800,000 Class A-2A Senior Secured Floating Rate Notes due 2034 and EUR 10,000,000 Class A-2B Senior Secured Fixed Rate Notes due 2034 to Aa1 (sf), from Aa2 (sf) previously.
  • The ratings on the EUR 23,200,000 Class B Senior Secured Deferrable Floating Rate Notes due 2034 were upgraded to A1 (sf), from A2 (sf) previously.
  • Moody's affirmed the ratings on the EUR 248,000,000 Class A-1 Senior Secured Floating Rate Notes due 2034 (Aaa (sf)), EUR 28,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2034 (Baa3 (sf)), EUR 20,800,000 Class D Senior Secured Deferrable Floating Rate Notes due 2034 (Ba3 (sf)), and EUR 11,200,000 Class E Senior Secured Deferrable Floating Rate Notes due 2034 (B3 (sf)).
  • The transaction's reinvestment period will end in August 2025.
  • The CLO is managed by Blackstone Ireland Limited.
  • The key model inputs used in the analysis include weighted average rating factor (WARF), diversity score, and weighted average recovery rate (WARR).
  • The default probability and estimated average recovery rate on future defaults were also considered in the analysis.

Statistics:

  • The rated notes' exposure to relevant counterparties, such as account bank, was considered in the rating action.
  • The notes' performance is subject to uncertainty, with factors such as portfolio amortisation, weighted average life, and recovery of defaulted assets being potential sources of volatility.
  • The pace of amortisation of the underlying portfolio can significantly impact the notes' ratings, with fast amortisation benefiting the ratings of the notes with the highest prepayment priority.
  • The effect of extending the portfolio's weighted average life on the ratings of the notes can be positive or negative, depending on the notes' seniority.
  • Recoveries higher than expectations would have a positive impact on the notes' ratings.

Sources:

  • Moody's Global Approach to Rating Collateralized Loan Obligations (May 2024) - https://ratings.moodys.com/rmc-documents/420962
  • Structured Finance Counterparty Risks (May 2025) - https://ratings.moodys.com/rmc-documents/426780

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