KBRA Assigns Preliminary Ratings to Refinancing of Hildene TruPS Resecuritization A11BC, LLC

NEW YORK--(BUSINESS WIRE)--KBRA assigns preliminary ratings to three classes of refinancing notes issued by Hildene TruPS Resecuritization A11BC, LLC (HTR-A11BC), a securitization of the Class C-1, C-2 and C-3 notes from ALESCO Preferred Funding XI, LTD. (“ALESCO XI”)

HTR-A11BC is expected to have an initial collateral notional value of $101.7 million, while the total outstanding notional value of the Class C-1, C-2 and C-3 notes of $117.0, inclusive of outstanding accumulated deferred interest. The transaction is static although Hildene Structured Advisors, LLC (HSA), the named collateral manager, can direct a limited amount of sales. HSA is a relying advisor to Hildene Capital Management, LLC (together with its affiliates, Hildene).

The securitization is expected to consist of $50.0 million Class A-R Notes, $8.0 million Class B-R Notes, $9.0 million Class C-R Notes, and $34.7 million of Subordinated Notes. The ratings reflect current credit enhancement levels, excess spread, and structural features.

The Classes A-R, B-R, and C-R Notes are expected to have par subs of 50.8%, 43.0%, and 34.1% respectively. The current ALESCO XI portfolio has a K-WARF of 337, which represents a weighted average portfolio assessment between BBB and BBB-, and consists of 31 obligors.

Kroll Bond Rating Agency's (KBRA) preliminary ratings on Class A-R, B-R and C-R reflects KBRA’s opinion regarding the likelihood of ultimate payment of interest and ultimate repayment of principal.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

• Structured Credit: Structured Credit Global Rating Methodology
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

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 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.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA 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. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

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