Structured Credit: Structured Credit Global Rating Methodology

Executive Summary

This document describes KBRA‘s proposed rating methodology for rating structured transactions comprised of portfolios of corporate credits. Such transactions include, without limitation, Collateralized Loan Obligations (CLOs), Collateralized Bond Obligations (CBOs), Recurring Revenue Loan (RRL) securitizations, and Credit Facilities. This methodology or its components may also be utilized to evaluate other transactions that share similarities with those listed above, such as transactions secured by pools of municipal debt, subordinated debt or trust preferred securities issued by financial institutions, capital call facilities, and/or project finance loans, as well as credit facilities backed by such collateral types or transactions that synthetically reference portfolios of the aforementioned collateral types. This methodology does not address commercial real estate collateralized loan obligations (CRE CLOs), which are rated using KBRA’s CMBS methodologies. …