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(0) Kroll Bond Rating Agency UK Limited (KBRA) releases research on the widespread adoption of provisions relating to workout or loss mitigation obligations (LMOs) in the vast majority of newly issued-and even refinanced-U.S. and European broadly syndicated loan CLO (BSL CLO) offering documents, as market participants grapple with the prospect of further economic fallout from the COVID-19 pandemic. As CLO collateral managers continue to anticipate stress on corporate obligors within their portfolios, LMO provisions allow them the latitude necessary to participate in workouts or restructurings in order to preserve and/or enhance the recovery value of their positions. In this report, KBRA highlights some of the key issues around LMOs, including credit and management considerations. ....
(1) Kroll Bond Rating Agency UK Limited (KBRA) assigns preliminary ratings to five classes of notes to be issued by RRE 1 Loan Management DAC, a cash flow collateralised loan obligation (CLO) backed primarily by a diversified portfolio of Euro-denominated corporate loans and bonds. RRE 1 Loan Management DAC is managed by Redding Ridge Asset Management (UK) LLP ( RRAM UK or the collateral manager ). The CLO originally closed in April 2019. This transaction will reset the terms of the CLO, including the stated maturity, non-call period, reinvestment period, note interest rates and notional balances. Proceeds from the issuance of the new CLO notes will be used to redeem the outstanding notes in full and to purchase new assets (€150 million upsize). The CLO will have a 4.0-year reinvestment period and a 14.0-year legal final. The ratings reflect initial credit enhancement levels, coverage tests including par value and interest coverage tests, excess spread, and a reinvest ....
Kroll Bond Rating Agency UK Limited: KBRA Assigns Preliminary Ratings to RRE 6 Loan Management DAC Structured Credit Global Rating Methodology Coronavirus (COVID-19): U.S. BSL CLO Sector Exposure Map: November 2020 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 ....