LONDON–(BUSINESS WIRE) – The Kroll Bond Rating Agency UK Limited (KBRA) assigns preliminary ratings to five classes of debt securities to be issued by RRE 6 Loan Management DAC, a Cash Flow Collateralized Loan Obligation (CLO), which is mainly funded by a diversified portfolio of in euros Denominated company is covered by loans and bonds.
RRE 6 Loan Management DAC is administered by Redding Ridge Asset Management (UK) LLP (“RRAM UK” or the “Collateral Manager”). The CLO has a reinvestment period of 4.1 years and a legal final of 14.1 years. Ratings reflect initial levels of credit improvement, coverage testing including face and interest coverage testing, excess spread, and a reinvestment test for reinvestments.
The collateral in RRE 6 Loan Management DAC will mainly consist of broadly syndicated leveraged loans and bonds issued by corporate borrowers who are diversified across industries. The nominal amount of the target portfolio is € 400.0 million with commitments in 123 debtors. The debtors in the portfolio have a K-WARF of 2643, which corresponds to a weighted average portfolio estimate of approximately B. Due to the economic impact of COVID-19, we expect pressure on the credit quality of the entire portfolio. Hence, it is likely that the portfolio’s K-WARF will increase in the near future. KBRA considered the impact of a possible credit migration.
RRAM UK is a UK based subsidiary of Redding Ridge Asset Management LLC, an independent asset management company founded and established in 2016 by Apollo Global Credit Management, LLC (Apollo) to manage CLOs. RRAM UK’s management currently manages EUR 2.4 billion in assets in six European CLOs.
The ratings of the A-1 and A-2 bonds take into account the timely payment of interest and the final payment of principal by the respective specified due date, while the ratings of the B, C and D bonds take into account the final payment of interest and Client.
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You can find more information on key credit considerations, sensitivity studies that take into account what factors can affect these credit ratings and how they can lead to an upgrade or downgrade, and ESG factors (where they are a major driver of a credit rating change or rating outlook) See the full assessment report referenced above.
A description of all material sources that were used to establish the rating and information on the methods (including all material models and sensitivity analyzes of the relevant material rating assumptions, if applicable) that were used to determine the rating are available here specified information disclosure forms.
Information on the meaning of the individual assessment categories can be found here.
This credit rating is confirmed by the Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on the endorsement status of a rating can be found on its rating page at KBRA.com.
Please refer to the information disclosure forms above for more information about this rating action. For more information on KBRA guidelines, methods, rating scales and information, please visit www.kbra.com.
About KBRA UK
Kroll Bond Rating Agency, LLC (KBRA) is a full-service rating agency registered with the US Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority under the Temporary Registration Regime. In addition, KBRA is named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the purpose of filing a short prospectus or shelf prospectus. KBRA is also recognized as a rating provider by the National Association of Insurance Commissioners. Kroll Bond Rating Agency UK is located at Augustine House, Austin Friars, London, EC2N 2HA, United Kingdom.