KBRA assigns preliminary ratings to ICG US CLO 2021-2, Ltd.

NEW YORK–() – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three categories of notes issued by ICG US CLO 2021-2, Ltd. (ICG US CLO 2021-2), a secured loan bond (CLO) diversified portfolio of broadly syndicated corporate loans.

ICG US CLO 2021-2 is managed by ICG Debt Advisors LLC (ICG or the Collateral Manager) and will have a five-year reinvestment period. The legal final maturity is April 23, 2034. Ratings reflect initial levels of credit enhancement, credit spreads and hedging tests, including overcollateralisation ratio and interest coverage tests.

The collateral in ICG US CLO 2021-2 will consist primarily of heavily syndicated leveraged loans issued by debtor companies diversified across industries. The total nominal amount of the portfolio is $ 550 million with exposure to 244 debtors. Debtors in the portfolio have a K-WARF of 2290, which represents a weighted average credit rating of the portfolio of approximately B. Due to the economic fallout from COVID-19, there may be pressure on the overall credit quality. of the wallet. Thus, the K-WARF of the portfolio could increase in the short term. KBRA examined the impact of a potential credit migration.

ICG Debt Advisors LLC is a CLO manager of the liquid credit platform of Intermediate Capital Group plc, which currently manages $ 17.4 billion in global credit assets, of which approximately $ 5.7 billion is spread across 14 American CLOs. The senior management team has extensive industry experience.

The preliminary rating for Class A notes takes into account the on-time payment of interest and the final payment of principal on the applicable stated maturity date, while the preliminary ratings for Class D and E notes take into account the final payment of interest and of capital.

KBRA analyzed the transaction using Global structured credit rating methodology and the Global structured finance counterpart methodology.

Click on here to view the report. To access the assessments and relevant documents, click on here.

Disclosures

Further information on key credit considerations, sensitivity analyzes that examine the factors that may affect these credit ratings and how they might lead to an upgrade or downgrade, and ESG factors (when they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.

A description of all substantially significant sources that were used to prepare the credit rating and information about the method (s) (including significant models and sensitivity analyzes of the relevant key rating assumptions, if any) used to determine the credit rating are available in the information disclosure form (s) located here.

Information about the meaning of each rating category can be located here.

Further information relating to this rating measure is available in the information disclosure form (s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures can be found at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States Securities and Exchange Commission as NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a credit rating agency with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a credit rating agency with the UK Financial Conduct Authority under the temporary registration regime. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider.

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