NEW YORK–(BUSINESS WIRE)–KBRA assigns preliminary ratings to four classes of bonds issued by Anchorage Credit Funding 15, Ltd. (ACF 15), a debt security secured by cash flow (CDO) backed by a diversified portfolio of heavily syndicated corporate loans and high yield bonds.
ACF 15 is managed by Anchorage Capital Group, LLC (“Anchorage” or the “Collateral Manager”). The agreement will have a reinvestment period of 5 years. The legal final maturity is April 25, 2040. The ratings reflect initial levels of credit enhancement, excess spreads and hedging tests, including overcollateralisation ratio and interest hedging tests.
ACF 15’s collateral will primarily consist of heavily syndicated leveraged loans and high-yield bonds issued by diversified corporate debtors across all sectors. The total nominal amount of the portfolio is $300.0 million with exposure to nearly 150 obligors. The obligors in the portfolio have a K-WARF of 2899, which represents a weighted average portfolio credit rating of approximately B-. The KBRA also considered the potential for negative portfolio credit deterioration in the short to medium term and the sensitivity of transactions to macroeconomic shocks such as that seen during the COVID-19 pandemic.
Anchorage Capital Group, LLC (“Anchorage”), founded in 2003, is a global credit platform with over $31 billion in assets under management (“AUM”). This includes the Performing Credit and Secured Loans and Obligations (“CLO/CDO”) platform, launched in 2012, which currently has $16.6 billion in assets under management across 36 transactions, including 22 CLOs and 14 CDOs. CDOs managed by Anchorage are typically backed by a combination of senior secured leveraged loans and high yield bonds.
The preliminary ratings for Class A Notes reflect the timely payment of interest and final payment of principal on the applicable stated maturity date, while the preliminary ratings for Class D, E and F Notes reflect the final payment of interest and principal.
KBRA analyzed the transaction using the Global Structured Credit Rating Methodology, the Global Structured Finance Counterparty Methodology and the ESG Global Rating Methodology.
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Further information on key credit considerations, sensitivity analyzes which look at factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a driver key to the change in credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of the main relevant rating assumptions, the where applicable) used to determine credit rating are available in the information disclosure form(s) located here.
Information on the meaning of each rating category can be found here.
Additional information relating to this rating metric is available in the information disclosure form(s) referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the United States 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 rating agency with the UK Financial Conduct Authority under the temporary registration scheme. In addition, KBRA is designated as the Designated Rating Agency 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.