KBRA issues preliminary ratings for RRE 1 Loan Management DAC

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LONDON–() – Kroll Bond Rating Agency UK Limited (KBRA) assigns preliminary ratings to five classes of bond issued by RRE 1 Loan Management DAC, a Cash Flow Collateralized Loan Obligation (CLO) primarily covered by a diversified portfolio of euro-denominated corporate bonds is, loans and bonds are issued.

RRE 1 Loan Management DAC is administered by Redding Ridge Asset Management (UK) LLP (“RRAM UK” or the “Collateral Administrator”). The CLO was originally closed in April 2019. This transaction redefines the terms of the CLO, including the specified term, notice period, reinvestment period, promissory note interest rates, and nominal balances. The proceeds from the issue of the new CLO Notes will be used to repay the outstanding Notes in full and to purchase new assets (€ 150 million upsize). The CLO has a reinvestment period of 4.0 years and a legal final of 14.0 years. Ratings reflect initial credit enhancement levels, coverage tests including face and interest coverage tests, excess spreads and a reinvestment overcollateralization test.

The collateral in the RRE 1 Loan Management DAC will mainly consist of broadly syndicated leveraged loans and bonds that are issued by sectorally diversified corporate borrowers. The targeted nominal portfolio amount is € 600.0 million with commitments to 165 debtors. The debtors in the portfolio have a K-WARF of 2497, which corresponds to a weighted average portfolio rating of approximately B. Due to the economic impact of COVID-19, we expect pressure on the credit quality of the overall portfolio. Hence, it is likely that the portfolio’s K-WARF will rise in the short term. KBRA considered the impact of possible credit migration.

RRAM UK is a UK based subsidiary of Redding Ridge Asset Management LLC, an independent asset management company founded and established by Apollo Global Credit Management, LLC (Apollo) in 2016 to manage CLOs. RRAM UK’s management arm currently manages € 2.4 billion in assets in six European CLOs.

The ratings of the class A-1-R and A-2-R 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 class BR, CR and DR bonds the final payment of interest and principal.

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Disclosure

Learn more about key credit considerations, sensitivity studies that take into account what factors may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (if they are a major driver of the credit rating change or the rating outlook) please refer to the full rating report listed above.

A description of all the materially significant sources used in establishing the credit rating and information about the methodology (s) (including any material models and sensitivity analyzes of the relevant key assumptions for the rating, if any) that were used in determining the credit rating , are available on the information disclosure form (s) below here.

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

This credit rating is confirmed by Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on the confirmation status of a credit rating is available on its rating page at KBRA.com.

Further information on this rating measure can be found in the information disclosure forms mentioned above. More information on KBRA policies, methods, rating scales and information is available at www.kbra.com.

About KBRA UK

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered as an NRSRO with the Securities and Exchange Commission. 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 with the UK Financial Conduct Authority as a CRA under the temporary registration system. In addition, KBRA has been named by the Ontario Securities Commission as the designated rating organization for issuers of asset-backed securities for the submission of a short prospectus or shelf prospectus. KBRA is also recognized as a credit rating provider by the National Association of Insurance Commissioners. Kroll Bond Rating Agency UK is based in Augustine House, Austin Friars, London, EC2N 2HA, United Kingdom.

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