KBRA Assigns Preliminary Ratings to Maranon Loan Funding 2020-1, Ltd.
Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of notes and one class of loans issued by Maranon Loan Funding 2020-1, Ltd. (Maranon 2020-1), a cash flow collateralized loan obligation (CLO) back by a diversified portfolio of middle market corporate loans.
Maranon 2020-1 is managed by Maranon Capital, L.P. (Maranon or the collateral manager) and will have a three-year reinvestment period. The legal final maturity is on Jan. 15, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.
The collateral in Maranon 2020-1 will mainly consist of middle market leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $350 million with exposure to 60 obligors. The obligors in the portfolio have a K-WARF of 2967, which represents a weighted average portfolio assessment of approximately B-. Due to the economic fallout from COVID-19, we expect pressure on overall portfolio credit quality. As such, it is likely that the portfolio's K-WARF will increase in the near term. KBRA considered the impact of potential credit migration.
Maranon Capital, L.P. is a private credit and CLO manager established in 2007 and subsidiary of Eldridge Industries, LLC. As of September 30, 2020, Maranon has raised approximately $5.2 billion in private credit capital, including $1.7 billion across 4 U.S. middle market CLOs. The senior management has extensive industry experience.
The preliminary ratings on the Class A Notes, Class A-L Loans, Class B-1 Notes, and Class B-2 Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the preliminary ratings on the Class C and D Notes consider the ultimate payment of interest and principal.
KBRA analyzed the transaction using Structured Credit Global Rating Methodology published on November 19, 2020 and the Global Structured Finance Counterparty Methodology published on August 8, 2018.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
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