Moody's Ratings downgrades rating on USD 20m CLO notes of Invesco CLO 2021-1
TL;DR
Moody's assigned initial ratings to six classes of notes in Invesco CLO 2021-1, ranging from Aaa (sf) to Ba3 (sf), based on portfolio quality and structural safeguards. The ratings reflect credit risk assessments amid economic uncertainties, with no downgrades disclosed as of April 2021.
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Moody's Ratings downgrades rating on USD 20m CLO notes of Invesco CLO 2021-1
Moody's Assigns Initial Ratings to Invesco CLO 2021-1, Ltd. Notes
Moody's Investors Service has assigned credit ratings to six classes of notes issued by Invesco CLO 2021-1, Ltd., a collateralized loan obligation (CLO) managed by Invesco CLO Equity Fund 3 L.P. The rated notes, totaling $460 million, include a mix of senior secured and junior secured floating rate instruments, with ratings ranging from Aaa (sf) for the Class A-1 and A-2 notes to Ba3 (sf) for the Class E notes according to Moody's analysis.
The CLO's portfolio is primarily composed of broadly syndicated senior secured corporate loans, with at least 90% allocated to first-lien senior secured loans and up to 10% in second-lien or unsecured debt. The structure includes interest and par coverage tests to prioritize repayment of senior notes. Moody's utilized a Binomial Expansion Technique-based cash flow model, incorporating assumptions such as a weighted average spread of 3.30%, a diversity score of 65, and a weighted average life of 9.0 years.
While the provided materials do not reference a downgrade, the initial ratings reflect Moody's assessment of credit risk based on portfolio quality, structural safeguards, and macroeconomic uncertainties, including lingering effects of the coronavirus pandemic. The Class E notes, rated Ba3 (sf), represent the lowest tranche and bear the highest risk of loss. Moody's emphasized that performance remains sensitive to economic conditions, credit trends, and the manager's investment decisions.
As of the rating announcement on April 27, 2021, no subsequent downgrade actions were disclosed in the available materials. Investors are advised to monitor ongoing developments, as structural or market shifts could impact future ratings.
Moody's analysis and ratings methodology details are available at Moody's research documents.
This article is based on publicly available information as of April 2021. No updates or post-issuance rating actions are reflected.
