Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to six classes of notes issued by CBAM 2020-13, Ltd. (CBAM 2020-13), a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans.
CBAM 2020-13 is managed by CBAM Partners, LLC (CBAM or the collateral manager) and will have a five-year reinvestment period. The legal final maturity is on Jan. 20, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.
The collateral in CBAM 2020-13 will mainly consist of broadly syndicated senior secured leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $450 million with exposure to 189 obligors. The obligors in the portfolio have a K-WARF of 2329, which represents a weighted average portfolio assessment of approximately B. Due to the economic fallout from COVID-19, there may be pressure on overall portfolio credit quality. As such, the portfolio’s K-WARF may increase in the near term. KBRA considered the impact of potential credit migration.
CBAM Partners, LLC is an alternative investment management firm founded in 2016. CBAM has issued 12 CLOs since 2017 and currently has $12.9 billion in credit assets under management, including approximately $10.3 billion in active reinvesting U.S. CLOs. CBAM’s founders have extensive experience managing CLOs and corporate credit.
KBRA’s preliminary ratings on the Class A, B-1 and B-2 notes consider timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s preliminary ratings on the Class C and D-1 notes consider ultimate payment of interest and principal by the applicable stated maturity date. KBRA’s preliminary rating on the Class D-2 notes considers ultimate payment of principal by the applicable stated maturity date.
KBRA analyzed the transaction using Structured Credit Global Rating Methodology published on November 19, 2020 and the Global Structured Finance Counterparty Methodology published on August 8, 2018.
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.
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 Limited is registered with ESMA as a CRA.
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