KBRA Assigns Preliminary Ratings to CBAM 2019-11, Ltd.
NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to two class of notes issued by CBAM 2019-11, Ltd.
CBAM 2019-11, Ltd. is a cash flow collateralized loan obligation (CLO) managed by CBAM CLO Management LLC (the collateral manager). The CLO will have a five-year reinvestment period and the legal final maturity is on Oct. 20, 2032. The ratings reflect initial credit enhancement levels, excess spread, four levels of coverage tests including overcollateralization ratio and interest coverage tests, and an interest diversion test.
The collateral in CBAM 2019-11, Ltd. will mainly consist of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The obligors in the portfolio have a K-WARF of 2204, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is $500 million with expected exposures to over 150 obligors when the transaction is fully invested. The portfolio is over 81.5% ramped as of October 10, 2019 and the remainder will be acquired before the transaction’s effective date.
Since launching in August 2016, CBAM has closed 10 CLOs, including 6 transactions with issuance over $1 billion. In 2017 alone, CBAM issued over $5 billion of new CLOs across 4 transactions. CBAM’s active reinvesting CLO portfolio totals approximately $9.4 billion.
The Class A-1 and A-2 Notes have par subordination of 36.0% and 10% cushion on the senior overcollateralization ratio test. The ratings on the Class A-1 and A-2 Notes represent timely interest and ultimate principal.
KBRA analyzed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018 and the Global Structured Finance Counterparty Methodology published on August 8, 2018.
The ratings are based on information known to KBRA at the time of this publication.
|
Class |
Initial Amount |
Interest Rate |
Par Subordination |
Preliminary |
|
Class A-1 |
$305,000,000 |
3mL + 1.36% |
36.00% |
AAA (sf) |
|
Class A-2 |
$15,000,000 |
2.829% |
36.00% |
AAA (sf) |
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- CBAM 2019-11 Ltd. Pre-Sale Report
- Structured Things: The Upside-Down Yield Curves
- KBRA’s Structured Credit 101: Collateralized Loan Obligations
- KBRA’s Structured Credit 401: Primer on Combination Notes
- Global Structured Credit Rating Methodology
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About KBRA and KBRA Europe
KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
Contacts
Analytical Contacts:
George Lyons, CFA, Senior Director
(646) 731-3314
glyons@kbra.com
Sean Malone, CFA, Director
(646) 731-2436
smalone@kbra.com
Kathy Song, CFA, Associate Director
(646) 731-1209
ksong@kbra.com
Eric Hudson, Managing Director
(646) 731-3320
ehudson@kbra.com
Business Development Contact:
Jason Lilien, Managing Director
(646) 731-2442
jlilien@kbra.com