KBRA Assigns Preliminary Ratings to Wind River 2021-1 CLO Ltd.
Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three classes of notes issued by Wind River (News - Alert) 2021-1 CLO Ltd. (Wind River 2021-1), a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans.
Wind River 2021-1 is managed by First Eagle Alternative Credit, LLC (First Eagle or the collateral manager) and will have a five-year reinvestment period. The legal final maturity is on April 20, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.
The collateral in Wind River 2021-1 will mainly consist of broadly syndicated senior secured leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $500 million with exposure to approximately 255 obligors. The obligors in the portfolio have a K-WARF of 2502, which represents a weighted average portfolio assessment of approximately B. Due to the economic fallout from COVID-19, there may be pressure on overall portfolio credit quality. As such, the portfolio's K-WARF may increase in the near term. KBRA considered the impact of potential credit migration.
First Eagle Alternative Credit, LLC was formed when First Eagle Investment Management, LLC acquired THL Credit Advisors in February 2020. First Eagle, with the legacy THL Credit CLO platform and personnel, has $13.9 billion in CLO assets under management across 22 active US CLOs as of January 2021.
KBRA's preliminary ratings on the Class A Notes consider timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA's preliminary ratings on the Class D and E Notes consider ultimate payment of interest and principal by the applicable stated maturity date.
KBRA analyzed the transaction using Structured Credit Global Rating Methodology and the Global Structured Finance Counterparty Methodology.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
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 Information Disclosure Form(s) 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 Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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 as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. 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.