KBRA Assigns Preliminary Ratings to TruPS Financials Note Securitization 2020-2

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to three classes of notes (the “Notes”) issued by TruPS Financials Note Securitization 2020-2 (“TFINS 2020-2”).

TFINS 2020-2 is a static cash flow CDO and will not allow for any reinvestments except limited substitution. 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 60% of the proceeds remaining in the interest waterfall prior to making a distribution to the Preferred Shares.

The collateral in TFINS 2020-2 mainly consists of trust preferred securities (“TruPS”), sub debt, and senior unsecured notes issued by community and regional banks and their holding companies along with TruPS, surplus notes, sub debt, and senior unsecured notes issued by insurance companies and their holding companies. The obligors in the portfolio have a K-WARF of 400, which represents a weighted average portfolio assessment of between BBB- and BB+. The total portfolio par amount is $177.2 million with exposure to 26 banks and 10 insurance companies. KBRA has public ratings on ten bank and one 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 $6.3 billion of assets under management across a diverse group of alternative asset strategies for managed funds and separately managed accounts. EJF Capital also manages $3.2 billion of CDO assets through its affiliates. EJF Capital focuses on investment opportunities in financial institutions, which includes banks, insurance companies, REITs and specialty finance companies. The firm has approximately 80 employees with an investment team of 28 professionals. This is the twelfth securitization of bank and/or insurance securities since 2015 for EJF Capital.

KBRA analyzed the transaction using Structured Credit Global Rating Methodology published on March 13, 2020, the Global Structured Finance Counterparty Methodology published on August 8, 2018, and incorporated the Global Insurer & Insurance Holding Company Rating Methodology and Bank and Bank Holding Company Global 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.

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Disclosures

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 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.

About KBRA

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

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

Ashley Phillips, Senior Director
+1 (301) 969-3185
aphillips@kbra.com

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

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

Business Development Contact

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+1 (646) 731-2442
jlilien@kbra.com

Contacts

Analytical Contacts

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

Ashley Phillips, Senior Director
+1 (301) 969-3185
aphillips@kbra.com

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

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

Business Development Contact

Jason Lilien, Managing Director
+1 (646) 731-2442
jlilien@kbra.com