KBRA Assigns Preliminary Ratings to TruPS Financials Note Securitization 2019-2 Ltd

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three classes of notes (the “Notes”) issued by TruPS Financials Note Securitization 2019-2 Ltd (“TFINS 2019-2”).

TFINS 2019-2 is a static cash flow CDO and will not allow for any reinvestments. The ratings reflect the initial credit enhancement levels, coverage tests including overcollateralization ratio and interest coverage tests for all Notes, excess spread, and a turbo payment that will amortize the Class A-1 Notes beginning in the eighth year using 80% of the proceeds remaining in the interest waterfall prior to making a distribution to the Preferred Shares.

The collateral in TFINS 2019-2 mainly consists of trust preferred securities (“TruPS”) issued by community and regional banks and their holding companies along with TruPS, surplus notes, and senior unsecured notes issued by insurance companies and their holding companies. The obligors in the portfolio have a K-WARF of 312, which represents a weighted average portfolio assessment of approximately BBB-. The total portfolio par amount is $338.4 million with exposures to 34 banks and 23 insurance companies. KBRA has public ratings on eight banks and three insurance companies. The portfolio is fully ramped at closing.

EJF CDO Manager LLC, an affiliate of EJF Capital LLC (“EJF Capital”), is the collateral manager. EJF Capital is headquartered in Arlington, VA and is a SEC registered investment advisor. Founded in 2005 by Manny Friedman and Neal Wilson, it has more than $7.6 billion of assets across a diverse group of alternative asset strategies for managed funds and separately managed accounts and $2.8 billion of assets as a collateral manager for existing securitizations. EJF Capital focuses on investment opportunities in financial institutions, which includes banks, insurance companies, REITs and specialty finance companies. The firm has 86 employees with an investment team of 30 professionals. This is the tenth securitization of bank and/or insurance securities since 2015 for EJF Capital.

Structure

Class

Initial Amount
($)

Spread1

Par Sub

O/C

O/C
Cushion

I/C
Trigger

Class A-1

203,000,000

3mL + 2.30%

40.01%

166.70%

7.50%

120.0%

Class A-2

30,500,000

3mL + 2.85%

31.00%

144.92%

6.00%

117.5%

Class B

47,300,000

3mL + 4.75%

17.02%

120.51%

5.00%

115.0%

Preferred Shares

48,100,000

Residual

 

 

 

 

1 Interest rates and spreads used in the cash flow model

Portfolio Summary

Type

Obligor Count

Collateral Par ($mm)

% by Notional

WAL

Bank

34

169.3

50.0%

15.1

Insurance

23

169.1

50.0%

13.7

Total

57

338.4

100.0%

14.4

KBRA analyzed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018, the Global Structured Finance Counterparty Methodology published on August 8, 2018, and incorporated the Global Insurer & Insurance Holding Company Rating Methodology and Global Bank and Bank Holding Company Rating Methodology for analyzing the underlying collateral obligations.

The preliminary ratings below are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final ratings that differ from the preliminary ratings.

Class

Preliminary Rating

Initial Principal Amount ($)

Class A-1

AA+ (sf)

203,000,000

Class A-2

A (sf)

30,500,000

Class B

BB (sf)

47,300,000

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

Jason Szelc, Director
(301) 969-3174
jszelc@kbra.com

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

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

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

Contacts

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

Jason Szelc, Director
(301) 969-3174
jszelc@kbra.com

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

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

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