A portfolio made up largely of senior secured loans extended to companies in a range of industries including commercial services and supplies, independent power and renewable electricity, and even the capital markets, will secure $372.0 million in collateralized loan obligations (CLOs) to investors.
The transaction, Black Diamond CLO 2022-1 is the first CLO in 2022 for Black Diamond Capital Management, a company that has about $3.37 billion in CLO assets under management, according to a pre-sale report from S&P Global Ratings. Black Diamond has $9.4 billion in total AUM, including non-CLO assets.
At least 90% of the collateral pool will comprise of senior secured loans, and other assets include cash and eligible investments. Some of the obligors are based in foreign companies around the globe, but 90% of loan borrowers are required to be based in the U.S., Canada or the U.K.
The notes have a non-call period that ends on Dec. 21, 2025, and a reinvestment period that ends on Oct. 25, 2027. The CLOs have a stated maturity date of Oct. 25, 2035.
As for the covenant-lite threshold, the ceiling is 60%, according to S&P.
Compared with recently rated broadly syndicated CLOs—those assessed in the three-month period leading up to Oct. 31, 2022—the current deal has a lower total leverage, lower 'AAA' subordination, lower weighted average (WA) cost of debt, and higher (WA) average spread.
As for other collateral management characteristics, Black Diamond Capital Management and its affiliates have an average overlap in collateral composition of 87.09%, higher than the average of 58.88% for all CLO 2.0 transactions that S&P rates.
On average and over the past 12 months, Black Diamond's average portfolio turnover rate is 25.68%, higher than the 19.1% average for all CLO 2.0 deals that S&P has rated.
Goldman Sachs is the placement agent for the deal, according to S&P.
Notes are pegged to the three-month term Secured Overnight Financing Rate (SOFR), with spreads ranging from 2.00% on the X tranche to 9.35% on the De-1B tranche, a subordinate piece in the waterfall.
Ratings range from 'AAA' on the A-1a and A-1b classes, both of which have par subordination of 38.67% to 'BB+' on the class E notes.
Classes C, all of the D classes, and E are deferrable, according to S&P.
