Vibrant CLO XVI, an arbitrage cash flow CLO, will raise $398 million from the asset-backed securities market, with pool characteristics that are slightly above average across the board, including its maximum concentration of covenant light assets.
BNP Paribas Securities is the deal's arranger, and the deal is slated to come to market on April 14 before its closing about a month later, according to the Asset Securitization Report's deal database.
Notes will be priced against the Secured Overnight Financing Rate, according to the database. Fitch Ratings, which plans to issue ratings on the notes, says the deal has no hedges at closing, but that interest rate or foreign exchange hedges can be added after closing, as long as it the hedge provider meets its counterparty criteria and the parties give notice.
Fitch and Moody's Investors Service are expected to assign ratings to the notes, according to the ASR database.
Some $400 million of broadly syndicated loans are in the target portfolio, which has a reinvestment period of 4.9 years, which is close to the maximum of comparable deals, Fitch said. The pool has a non-call period of 1.9 years, the rating agency said.
The senior, triple-A rated notes, which are in the A-1B class, are expected to have a 210 basis point spread, with a 38% credit enhancement level, Fitch said. On a weighted average (WA) basis, the indicative portfolio has a recovery rate of 75.7%, and a WA recovery factor of 24.7% Fitch said.
Vibrant CLO XVI appears to be well diversified, both by industry and obligor. Technology software accounts for 17.6% of industries in the collateral pool, general business services represents 15.2%, and the rest of the top five include banking and finance, industrial and manufacturing and chemicals, which account for 9.9%, 7.5%, and 5.9% of the pool, according to Fitch. As for concentration by obligor, the maximum single obligor accounts for 2.5% of the pool.
Fitch intends to assign ratings of 'AAA' to the A-1B notes; 'AA' to the A-2 notes; 'A' to the class B notes; and 'BBB-' and 'BB-' to the classes C and D, respectively.
