KBRA Assigns Preliminary Ratings to Hildene TruPS Securitization 2018-1, Ltd.

NEW YORK--(BUSINESS WIRE)--KBRA assigns preliminary ratings to one class of notes issued by the reset of Hildene TruPS Securitization 2018-1, Ltd. (HITR 2018-1), a securitization backed by a portfolio of bank and insurance TruPs CDO assets.

HITR 2018-1 is expected to have a performing collateral par value of $343.76 million and liabilities of $325.0 million from 62 obligors (72 assets). The deal maturity is on 10 October 2038. If all classes of notes can be repaid, the transaction is expected to be callable after July 10, 2027, subject to all outstanding notes to be repaid. At or after the non-call period, a partial refinancing can also take place with rating agency notification.

This transaction is static and does not allow for additional purchases. Hildene Structured Advisors, LLC (Hildene), the named collateral manager and affiliate of Hildene Capital Management, LLC, can direct a limited amount of sales.

The securitization is expected to consist of $205.0 million Class A-1R Notes, $30.0 million Class A-2F-2R Notes, $37.75 million Class A-2N-R Notes, $27.25 million Class B-R Notes, $20.0 million Class C-R Notes, $5.0 million Class D-R Notes, and $35.71 million of Subordinated Notes. The ratings reflect current credit enhancement levels, excess spread, and structural features.

The Classes A-1R, A-2F-2R, A-2N-R, B-R, C-R, and D-R Notes are expected to have par subs of 40.4%, 20.7%, 20.7%, 12.7%, 6.9%, and 5.5% respectively. The current portfolio has a K-WARF of 452, which represents a weighted average portfolio assessment between BBB- and BB+.

Kroll Bond Rating Agency's (KBRA) preliminary ratings on Class A-1R reflects KBRA’s opinion regarding the likelihood of timely 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

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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