KBRA Assigns Ratings to Trapeza CDO III, Ltd.
6 Nov 2024 | New York
KBRA assigns ratings to four classes of notes issued by Trapeza CDO III, Ltd. (Trapeza CDO III), a securitization backed by a portfolio of bank TruPs CDO assets.
Trapeza III is a 2003 vintage CDO of bank and insurance holding company Tier 1 and Tier 2 capital with Trapeza Capital management (“TCM”) as the initial collateral manager. It had an initial collateral par value of $300.0 million and liabilities of $290.0million. It is a static cash flow structure and is managed by Hildene Collateral Management Company, LLC (“HCMC”), a relying advisor to Hildene Capital Management, LLC (together with its affiliates, “Hildene”).
As of the August 31, 2024 trustee report and inclusive of the deferred interest balance, the securitization consists of $7.2 million Class B Notes, $35.8 million Class C1 Notes, $35.8 million Class C2 Notes, $10.0 million Class D Notes, $14.3 million Class E Notes, and $18.8 million of Membership interests . The ratings reflect current credit enhancement levels, excess spread, and structural features.
The Classes B, C1, C2, D and E Notes have par subs of 91.4%, 17.4%, 17.4%, 7.6% and 4.2% respectively. The current portfolio has a K-WARF of 489, which represents a weighted average portfolio assessment between BBB- and BB+, and consists of 13 obligors and 14 assets.
Kroll Bond Rating Agency's (KBRA) ratings on Class B reflects KBRA’s opinion regarding the likelihood of timely payment of interest and ultimate repayment of principal. KBRA's rating on Class C1, C2 and D reflects ultimate payment of interest and ultimate payment of principal. KBRA does not rate the Class C1, C2, D and E Notes.
To access ratings and relevant documents, click here.
Click here to view the report.