A portfolio comprised almost entirely of senior secured loans, and eligible investments, will secure $355.5 million in notes from the ICG U.S. CLO 2023-1 collateralized loan obligation trust.
ICG Debt Advisors is managing the CLO, according to S&P, while the Asset Securitization Report's deal database says that Barclays Capital is managing the collateralized loan obligation (CLO). Six classes of notes, most of which will be priced off of the three-month CME term Secured Overnight Financing Rate (SOFR), according to ratings analysts from S&P Global Ratings.
ASR's database estimates that spreads on the notes will range from 220 basis points (bps) to 950 bps over the three-month SOFR. The deal is ICG Debt Advisors–Manager Series' first CLO in 2023, with an expected closing date of September 6, according to the deal database.
ICG Debt Advisors currently manages 16 other CLOs, and has about $6.2 billion in total U.S. CLO assets under management, the rating agency said.
The deal will repay notes that have credit enhancement through subordination, excess spread and overcollateralization, according to S&P. Par subordination on the 'AAA'-rated notes was 39.95%, while par subordination on the 'BBB' notes are expected to be 14.36%.
Overall, the notes have 8.16% in total leverage, and cost of debt of 2.89% on a weighted average (WA). Also on a WA basis, portfolio recovery for the 'AAA' notes was 41.71%, with 63.76% on the 'BBB' notes, according to S&P.
The notes have a stated maturity date of July 18, 2036, while the trust has a reinvestment period that ends on July 18, 2028, S&P said. On average, the portfolio had a 12-month trailing turnover rate of 12.12%, slightly higher than the average of 12.02% for all CLO 2.0 transactions that S&P rates, the company said.
S&P expects to assign 'AAA' to the class A notes; 'AA' to the class B notes; 'A' to the class C notes; 'BBB-' to the class D notes and 'BB-' to the class E notes.
