KBRA Places One Class from Thoma Bravo Credit Asset Funding ABS, LLC on Watch Downgrade

KBRA places the rating of the Class D Notes of Thoma Bravo Credit Asset Funding ABS, LLC (“TBCAF 2023- 1R”) on Watch Downgrade following an interest deferral in the latest payment period due to a failure of the Borrowing Base Condition.

TBCAF 2023-1R is a $456.3 million cash flow securitization backed by a static portfolio of recurring revenue loans (“RRLs”, also known as “late-stage lending loans”) and middle market loans (“MMLs”). The transaction, which closed in November 2023 and was reset in December 2024, is managed by Thoma Bravo Credit Partners II, L.P. (“Thoma Bravo” or the “Collateral Manager”).

Following higher than expected prepayments, the remaining collateral pool is demonstrating an elevated concentration profile and exceeding certain concentration limits. The excess concentrations have contributed to the failure of the borrowing base condition and associated deferral of Class D interest, as the deal defined calculation applies haircuts to the collateral balance for such excess concentrations when determining satisfaction of the borrowing base condition. As such, we anticipate the transaction will continue to fail the Borrowing Base Condition on the next payment date, which would trigger an uncurable Rapid Amortization Event under the Indenture. If this occurs, interest and principal proceeds will be used to pay transaction fees and expenses, interest due on notes senior to the Class D Notes, and thereafter to pay down the most senior outstanding class of notes until paid in full. The Class D Notes will continue to defer interest until all classes senior to the Class D Notes are paid in full and the Class D Notes becomes the controlling class. This will expose the Class D Notes to an increasing debt service obligation as deferred interest accrues over time and could expose the Class D Notes to increased tail-end risk.

KBRA will review the results of the Borrowing Base Condition test, collateral performance, and whether an uncurable Rapid Amortization Event has occurred on the next payment date in July, which is expected to provide greater certainty regarding the level of deferred interest on the Class D Notes. The Watch Downgrade status is anticipated to be resolved within 90 days.

The table below displays the current capital structure and watch placement associated with this action.The table below displays the current capital structure and watch placement associated with this action.

To access ratings and relevant documents, click here.

Methodologies