A portfolio of recurring revenue tied to middle-market loans will secure the $500 million securitization deal from the Thoma Bravo Credit Asset Funding ABS, series 2023-1.
Thoma Bravo Credit Partners, affiliated with the software investment firm ThomaBravo, is managing the transaction, according to ratings analysts from Kroll Bond Rating Agency, which will assign ratings to the notes. The deal will issue notes through four tranches of notes—two class A notes, a class B and a class C. The deal also contains a $117.5 million in subordinated notes, KBRA said.
Classes A1 and A2 contain the bulk of the notes, with $220 million and $55 million, respectively. All of the notes are fixed rate, and various sources put its closing date within this month, or already on October 31, with a legal final maturity date of Nov. 22, 2033, KBRA said. The rating agency said that it expects to assign 'AA' ratings to classes A1 and A2; 'A' to the class B notes; and 'BBB' to the class C notes. It did not rate the subordinated notes, it said.
Jefferies is the structuring advisor on the deal, according to KBRA, while the Asset Securitization Report's deal database, lists the company as the deal's manager. ASR also finds that the notes are benchmarked to the three-month Secured Overnight Financing Rate (SOFR). As for expected pricing talk, ASR's database expects spreads of 315 basis points on the class A notes; 410 bps on the 'A' notes and 680 bps on the 'BBB' notes.
A drilled-down look at the collateral reveals a portfolio comprised of senior secured, first lien loans that are U.S. dollar denominated and made to non-investment grade obligors.
Other aspects include a slightly concentrated portfolio, at least when compared with previous peer transactions from different issuance programs. The top five obligors account for 30.6% of the pool, noticeably higher than the 22.2% through 22.9% range seen on the three comparison programs. While those other programs have a two-year reinvestment period, TBCAF's is static, according to KBRA. The collateral amount is also much higher than those comparison deals, which range from $251.2 million to $378.4 million, according to KBRA.
Other aspects of the transaction structure impart credit enhancement to the deal, including advance rates of 55.0%, 66.5% and 76.5% on classes A, B and C, respectively. The deal has several trigger events, including a rapid amortization event that will pay down the class A, B and C notes fully and in sequential order if an applicable event occurs.
