A pool of first-lien, senior secured loans will provide liquidity to secure $514 million in notes from the CIFC Funding 2017-I transaction, a reset collateralized loan obligation (CLO) transaction that extends the reinvestment period from an end date of April 2021 to 5.2 years.
The maximum weighted average life on the deal is reset to nine years, in that case, and the non-call period is reset to 2.2 years as of the refinancing date, according to ratings analysts from Fitch. Compared with the recently closed CIFC Funding 2023III, Ltd., the CIFC 2017-I has a 100 basis point higher par subordination for the class A notes ;50-100 basis points lower par subordination for class E notes and similar par subordination for classes B through D notes.
The maximum single industry accounts for 17.0% of the portfolio, while the industries with the second and third largest concentrations in the portfolio both account for 14.0%. Some 245 assets are in the indicative portfolio, says Fitch, and they represent 240 obligors. On a WA basis, the loans have a life of 42.4 months, the rating agency said. The rating agency estimates that the assets have a break-even default rate of 57.1%, a break-even loss rate of 33.9%, and an assumed recovery rate of 40.7%.
CIFC Funding 2017-I issues notes through six tranches of class X, A, B, C, D, and E notes, and uses a subordination to add credit enhancement, according to the capital structure, as Fitch explained it. All of the notes have a legal final maturity date of April 2037, and the notes are benchmarked to the three-month Secured Overnight Financing Rate (SOFR), Fitch said.
Interest rates appear to be set within a range of 115 basis points over the three-month SOFR on the X class to 674 bps over on the class E-RR.
Fitch assigns ratings of AAA to the A-RR tranche; AA to the B-RR; A to the C-RR; BBB- to the D-RR and BB- to the E-RR, according to the rating agency.
