KBRA Rates Alesco Preferred Funding X
20 May 2024 | New York
KBRA assigns ratings to six classes of notes issued by Alesco Preferred Funding X, Ltd. (Alesco X), a securitization backed by a portfolio of bank and insurance TruPs CDO assets.
Alesco X is a 2006 vintage CDO of bank and insurance holding company Tier 1 and Tier 2 capital originally issued by Merrill Lynch, Pierce, Fenner & Smith Incorporated, Cohen Bros. & Company, LLC and RBC Capital Markets. It is now a static cash flow structure and is managed by Hildene Collateral Management Company, LLC, a relying advisor to Hildene Capital Management, LLC.
The securitization consists of $52.1 million Class A1 Notes, $119.5 million Class A2A Notes, $10.0 million Class A2B Notes, $80.7 million Class B Notes, $98.4 million Class C1 Notes, $66.0 million Class C2 Notes, $34.4 million Class D1 Notes, $7.9 million Class D2 Notes, $1.6 million Class D3 Notes, and $100.0 million of Preferred Shares. The ratings reflect current credit enhancement levels, excess spread, and structural features.
The Class A1, A2A & A2B, B, C1 & C2 and D1, D2 & D3 Notes have par subs of 86.0%, 51.3%, 29.6%, -14.5 and and -25.5%, respectively. The overall K-WARF of the portfolio is 478, which represents a weighted average portfolio assessment between BBB and BBB-. The portfolio presented to KBRA contains exposures to 35 obligors and 37 assets.
Kroll Bond Rating Agency's (KBRA) ratings on Class A1, A2A and A2B reflects KBRA’s opinion regarding the likelihood of timely payment of interest and ultimate repayment of principal. While the rating assigned to the Class B, C1 and C2 reflects KBRA’s opinion regarding the likelihood of ultimate payment of interest and principal. KBRA does not rate the Class D1, D2, or D3 Notes.
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