KBRA Assigns Preliminary Ratings to Carlyle Euro CLO 2019-2 DAC

DUBLIN--()--Kroll Bond Rating Agency Europe Limited (KBRA) assigns preliminary ratings to six classes of notes issued by Carlyle Euro CLO 2019-2 DAC (Carlyle Euro 2019-2).

Carlyle 2019-2 is a cash flow collateralised loan obligation (CLO) managed by CELF Advisors LLP (the collateral manager). The CLO will have a 4.5-year reinvestment period and the legal final maturity is 15 August 2032. The ratings reflect initial credit enhancement levels, five levels of coverage tests including par value and interest coverage tests, excess spread, and a reinvestment overcollateralisation test.

The collateral in Carlyle 2019-2 will mainly consist of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The obligors in the portfolio have a K-WARF of 2381, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is €400 million with exposures to over 100 obligors. The portfolio is expected to be over 75% ramped at closing, with the remainder acquired before the transaction’s effective date.

CELF Advisors LLP, a wholly owned subsidiary of Carlyle Investment Management L.L.C., is an affiliate of The Carlyle Group L.P. (Carlyle). In managing this transaction, CELF will leverage significant resources and investment experience of the Carlyle platform. Carlyle is a global investment manager with approximately $222 billion in assets under management and over 625 investment professionals in 33 offices across 20 countries.

The Class A-2A and A-2B Notes each have par subordination of 28% and 9% cushion on the Class A Par Value Test. The preliminary ratings on both Class A-2A and A-2B Notes represent timely interest and ultimate principal, and the preliminary ratings on Class B, C, D, and E Notes represent ultimate payment of interest and principal.

KBRA analysed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018 and the and the Global Structured Finance Counterparty Methodology published on August 8, 2018.

 

Class

Preliminary Rating

Initial Principal Amount

Interest Rate

Class A-2A

AA (sf)

€22,000,000

3mE + 1.80%

Class A-2B

AA (sf)

€20,000,000

2.40%

Class B

A (sf)

€30,000,000

3mE + 2.50%

Class C

BBB (sf)

€26,000,000

3mE + 3.92%

Class D

BB- (sf)

€20,000,000

3mE + 6.44%

Class E

B- (sf)

€10,000,000

3mE + 8.59%

To access the full report, click here.

Disclosures

Further disclosures relating to this rating action are available in the EU Information Disclosure Form. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

To access ratings, reports and disclosures, click here.

Related Publications: (available at www.kbra.com)

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About KBRA and KBRA Europe

KBRA is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. 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, and is a certified Credit Rating Agency (CRA) by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

Contacts

Analytical:

Gopal Narsimhamurthy, Director (Lead Analyst)
+353 (1) 588 1245
gnarsimhamurthy@kbra.com

George Lyons, CFA, Senior Director
+1 (646) 731-3314
glyons@kbra.com

Sean Malone, CFA, Director
+1 (646) 731-2436
smalone@kbra.com

Steven Zheng, Analyst
+1 (646) 731-3379
szheng@kbra.com

Eric Hudson, Managing Director (Rating Committee Chair)
+1 (646) 731-3320
ehudson@kbra.com

Contacts

Analytical:

Gopal Narsimhamurthy, Director (Lead Analyst)
+353 (1) 588 1245
gnarsimhamurthy@kbra.com

George Lyons, CFA, Senior Director
+1 (646) 731-3314
glyons@kbra.com

Sean Malone, CFA, Director
+1 (646) 731-2436
smalone@kbra.com

Steven Zheng, Analyst
+1 (646) 731-3379
szheng@kbra.com

Eric Hudson, Managing Director (Rating Committee Chair)
+1 (646) 731-3320
ehudson@kbra.com