A portfolio of first-lien, senior secured loans extended primarily to a highly diverse group of industries will secure a $494.5 million collateralized loan obligation (CLO) from Voya.
The loans underpinning the collateral pool have a weighted average (WA) recovery assumption of 77.03%.
The technology software industry accounts for the largest proportion of the portfolio, at 12.0%, suggesting a wide range of industries. Following the technology sector, general business services (11.3%), banking and finance (9.6%), healthcare providers (4.2%) and industrial and manufacturing round out the top industry concentrations, according to a pre-sale report from Fitch Ratings.
Voya CLO 2022-4 has an indicative portfolio of 346 assets and 342 obligors. Voya's weighted average rating factor (WARF) of 22.6 versus a maximum covenant, compared with the initial expected matrix point of 24.6, according to Fitch.
On average, Fitch noted, the credit quality of the indicative portfolio is 'B+/B'—while also pointing out that 'B' denotes a highly speculative credit quality. Voya will repay notes benchmarked to the Secured Overnight Financing Rate (SOFR), with interest rates ranging from 2.15% to 7.50%, Fitch said.
After Voya pays taxes and government fees, and then administrative fees the vehicle will pay various management fees and a pro rata basis due to a hedge counterparty. After that the vehicle will pay interest, deferred interest and coverage tests to the notes on a sequential basis, according to Fitch's explanation of the payment priority.
Aside from its sequential repayment structure, each class of notes benefits from its own level of credit enhancement. The levels are 38.0% on the class A notes; 24.0% on the class B and 19.0% on the class C notes. As for the more subordinate notes, classes D-1, D-2 and E have credit enhancement levels of 13.5%, 12.0% and 9.0%, respectively, Fitch said.
Fitch expects to assign ratings to five of the seven classes of notes that the trust will issue. The rating agency expects to assign 'AA' to the $70 million, class B notes; 'A' to the class C notes; 'BBB' to the D-1 notes; 'BBB-' to the D-2 notes and 'BB-' to the class E notes. All of the notes have a legal final maturity date of October 2033, according to the rating agency.
