KBRA Assigns Preliminary Ratings to CBAM 2018-6, Ltd.

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to two class of notes issued by CBAM 2018-6, Ltd.

CBAM 2018-6, Ltd. is a cash flow collateralized loan obligation (CLO) managed by CBAM Partners, LLC (the collateral manager). The CLO originally closed in June 2018 and this transaction resets the terms of the CLO, including the stated maturity, non-call period, reinvestment period, par subordinations and note interest rates. The CLO will have a three-year reinvestment period and the legal final maturity is in January 2031. The ratings reflect initial credit enhancement levels, excess spread, four levels of coverage tests including overcollateralization ratio and interest coverage tests, and a reinvestment overcollateralization test.

The collateral in CBAM 2018-6, Ltd. mainly consists of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The obligors in the portfolio have a K-WARF of 2309, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is $1 billion with exposures to over 300 obligors. The portfolio is approximately 98% ramped as this is a reset and the remainder will be acquired before the transaction’s closing date.

CBAM Partners, LLC is an alternative investment management firm founded in 2016. CBAM has issued 11 CLOs since 2017 and currently has $12.0 billion in credit assets under management, including approximately $9.9 billion in active reinvesting CLOs.

The Class A-1-R and A-2-R Notes have par subordination of 36.0% and 10% cushion on the senior overcollateralization ratio test. The ratings on the Class A-1-R and A-2-R Notes represent timely interest and ultimate principal.

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

The ratings are based on information known to KBRA at the time of this publication.

Class

Initial Amount

Interest Rate

Par Subordination

Preliminary Rating

Class A-1-R

$610,000,000

3mL+ 1.27%

36.00%

AAA (sf)

Class A-2-R

$30,000,000

2.832%

36.00%

AAA (sf)

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

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

Kathy Song, CFA, Associate Director
(646) 731-1209
ksong@kbra.com

Eric Hudson, Managing Director
(646) 731-3320
ehudson@kbra.com

Business Development Contact:
Jason Lilien, Managing Director
(646) 731-2442
jlilien@kbra.com

Contacts

Analytical Contacts:
George Lyons, CFA, Senior Director
(646) 731-3314
glyons@kbra.com

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

Kathy Song, CFA, Associate Director
(646) 731-1209
ksong@kbra.com

Eric Hudson, Managing Director
(646) 731-3320
ehudson@kbra.com

Business Development Contact:
Jason Lilien, Managing Director
(646) 731-2442
jlilien@kbra.com