Blackstone Liquid Credit Strategies is in the market with the $407.4 million Riverbank Park CLO, the net proceeds of which will finance a portfolio of approximately $400 million of mostly first-lien, senior leveraged loans.
Fitch Ratings noted in a December 9 presale report that the Riverbank Park CLO is similar to the same manager's Lewey Park CLO that closed in November. In both transactions, Fitch rated the Class A-1 and Class A-2 notes, and the tranches are expected to hold the same credit-enhancement level.
"In addition to the structural similarities, Riverbank Park CLO has similar indenture provisions and concentration limits," Fitch says.
Goldman Sachs is the arranger on the deal.
Fitch says that a negative ratings driver for the transaction is the highly speculative credit quality of the portfolio's loans, rated B or B-. It adds, however, that such credit quality is typical for CLOs, and the Riverbank deal's standard credit enhancement and other CLO features work in its favor.
The deal has several positive ratings drivers, according to Fitch, including the portfolio consisting of 97% of first-lien senior secured loans and holding a weighted average recovering assumption of 73.37%. In addition, Fitch says, the deal's industry, obligor and geographic diversity are in line with other recent CLOs, and under the rating agency's stress scenarios, the rated notes' default and recovery assumptions line up with their assigned ratings.
The rated portions of the deal comprise a $246 million piece rated AAA that carries credit enhancement of 38.5%, an interest-rate of three-month SOFR plus 126 basis points, and a maturity in January 2037. The second AAA-rated piece, of $18 million, holds credit enhancement of 34%, pricing of three-month SOFR plus 155 basis points, and a maturity of January 2038.
The remaining $143.4 million in bonds is unrated and split into six tranches, including a $39.4 million subordinated piece.
