KBRA assigns preliminary ratings to four classes of notes issued by Thoma Bravo Credit Asset Funding ABS, LLC (“TBCAF 2023-1”), a securitization backed by a portfolio of recurring revenue and middle market corporate loans.

TBCAF 2023-1 is a $500.0 million securitization managed by Thoma Bravo Credit Partners II, L.P. (“Thoma Bravo” or the “Collateral Manager”). The securitization consists of $220.0 million of Class A-1 floating-rate notes, $55.0 million of Class A-2 fixed-rate notes (collectively “Class A”), $57.5 million of Class B fixed-rate notes, $50.0 million of Class C fixed-rate notes (collectively the “rated notes”), and $117.5 million of subordinated notes, which expect to receive payments from a static portfolio of recurring revenue loans and middle market loans. The Class A, Class B and Class C Notes have a 55.0%, 66.5%, and 76.5% advance rate, respectively. The ratings reflect initial credit enhancement levels, excess spread, and structural features.

The rated notes benefit from internal credit enhancement through subordination, borrowing base, and excess spread. The collateral portfolio is comprised of a combination of first-lien senior secured 1) recurring revenue loans that have maximum loan-to-value (LTV) ratios and 2) traditional middle market loans. The portfolio is concentrated to obligors in the software and technology industry who serve a diverse base of end users. The transaction has no reinvestment period and general trading is not permitted. However, there may be a limited number of substitutions into replacement assets that are required to have similar characteristics as those being replaced. The portfolio presented to KBRA contains exposures to 40 obligors with 59.8% of the par exposure to the RRLs. The overall K-WARF of the portfolio is 3413, which represents a weighted average portfolio assessment between B- and CCC+.

KBRA’s preliminary ratings on the Class A and Class B Notes consider timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s preliminary rating on the Class C Notes considers ultimate payment of interest and ultimate payment of principal by the applicable stated maturity date.

KBRA analyzed the transaction using the Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.

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Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a designated rating organization by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

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