Monroe, Seapoint Park price new CLOs; Crescent Capital gives terms; Cairn, CVC refinance

Chicago, Oct. 21 – A busy Monday in the CLO market had both dollar-denominated and euro-denominated issues price. Meanwhile, terms emerged on a deal from Friday, and Cairn and CVC partially refinanced vintage CLOs.

Monroe Capital LLC priced $453.15 million of notes due October 2031 in a middle-market CLO transaction.

On the euro side, Blackstone/GSO Debt Funds Management Europe Ltd. priced €406.35 million of notes with Seapoint Park CLO DAC as issuer.

Terms became available on the transaction managed by Crescent Capital Group LP wherein Atlas Senior Loan Fund XV, Ltd./Atlas Senior Loan Fund XV, LLC sold $406.5 million of notes due Oct. 23, 2032.

Details also became available on refinancings from Cairn CLO VII BV and CVC Cordatus Loan Fund V DAC. Both transactions were initially slated to have additional classes of notes as part of the reissue, and both issuers ended up reissuing only two classes of notes each.

Monroe brings $453.15 million

In new paper, Monroe Capital brought $453.13 million in five classes of floating-rate notes plus one subordinated note class.

The identified portfolio, in the opinion of Moody’s Investors Service, had a weighted average rating factor (WARF) of 3378 based on the assets that have been acquired or are expected to be acquired by the effective date, based on approximately $260 million of the portfolio.

Moody’s lists the base-case modeling assumption with a WARF score of 3500.

This gives the portfolio an average default probability for Moody’s.

Fitch Ratings, using its scale, rates the portfolio with a WARF score for the indicative portfolio of 36.9, “versus a maximum covenant, in accordance with the initial expected matrix point, of 43.”

The portfolio can contain a maximum of 15% covenant-lite loans, and there is a 95% minimum of senior secured loans.

The top industry of the CLO, at 18.1%, is high tech industries.

The target closing date for the CLO is Nov. 13.

Seapoint Park sells euro CLO

From Dublin-based Blackstone/GSO, an experienced manager, a new issuer surfaced in the form of Seapoint Park.

The €406.35 million transaction priced in eight parts plus a class of subordinated notes.

The WARF score provided by Fitch is “31.63 compared with a maximum covenant for expected ratings of 32.5.”

A minimum of 90% of the waterfall CLO must be comprised of secured senior loans and bonds. A maximum of 30% of the portfolio can be covenant-lite.

According to the Fitch presale report, “The maximum exposure to the largest three Fitch industries in the portfolio is covenanted at 40%.”

Atlas prices $406.5 million

Terms, which were not available on Friday for the Atlas transaction, became available.

The S&P WARF score for the Atlas Senior Loan Fund XV CLO is 2,438.97, lower than the typical value range of 2,500 to 3,000.

The WARF score is calculated by the agency by multiplying the par value of each collateral obligation, with a S&P rating of CCC- or higher, by S&P’s rating factor then adding the total for the portfolio and then dividing the result by the total principal balance of all the collateral obligations included in the calculation.

Fitch gives this portfolio a weighted average recovery assumption of 79.54%.

A minimum of 92.5% of the waterfall CLO must be made up of senior secured loans, where 65% of the portfolio can be covenant-lite.

The expected closing date is Oct. 29.

Downsized repricings

Both CVC and Cairn ended up repricing two series of notes in deals that were under €300 million each.

According to Moody’s, the CVC Cordatus refinancing “decreased the spread or coupon paid” on the refinanced notes and “increased the weighted average life covenant by 15 months to 7.5 years.”

The reissued classes of CVC notes are expected to be fully ramped by the closing date.

At least 90% of the portfolio must be secured senior loans.

Initially, another €32 million of class B-1 senior secured floating-rate notes were going to be part of the deal.

In the Cairn deal, €223.6 million of notes repriced, also in two classes.

The weighted average life was extended by nine months.

At least 90% of the portfolio must be secured senior loans or bonds.

The portfolio is also expected to be fully ramped by the closing date.

Originally €10 million class A-2 senior secured fixed-rate notes and €40.8 million class B senior secured floating-rate notes were expected to be included in the transaction but were abandoned for only the class A-1 senior secured floating-rate notes and the class C senior secured deferrable floating-rate notes.

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