KBRA Affirms the Ratings for Hildene TruPS Securitization 4, Ltd.
20 Jun 2024 | New York
KBRA affirms the rating to three classes of notes issued by Hildene TruPS Securitization 4, Ltd. (“HITR 4”), cash flow collateralized debt obligation (“CDO”) managed by Hildene Structured Advisors, LLC, a relying advisor to Hildene Capital Management, LLC.
HITR 4 is a CDO of TruPS securities, surplus notes, and sub debt issued by community and regional banks and their holding companies along insurance companies and their holding companies. KBRA has public ratings on approximately half of the bank obligors in the portfolio and created credit estimates on the remaining. The K-WARF of the portfolio is 265, which is within the BBB category-. HITR 4 is a static transaction and does not allow for any reinvestments.
The initial portfolio at closing consisted of 66 assets from 60 obligors with a total collateral par value of $385.5 million and rated liabilities of $340.0 million. It now contains 54 obligors with a total performing par value of $354.5 and liabilities of $323.0 million. The balance and liabilities have both dropped by $9.0 million since last year’s surveillance, while $14.0 million of defaults were recognized in the past year. The decrease in the Class A-1A and A1B balances can be attributed to the underlying asset prepayments. The deal maturity is on July 23, 2042.
The Class A Overcollateralization Ratio is now 141.65%, compared to 143.9% in the 2023 surveillance and 142.9% at closing, while it has paid down $8.5 million of Class A-1 and $0.5 million of Class A-2 in the past year to a Note Factor of 90.61%. Since last year, the K-PD, which adjusts for the asset tenor, decreased slightly from 8.0% to 6.8% while the WAL reduced from 11.5 years to 10.5 years.
The ratings on the Class A1-A, Class A1-B, and Class A2 Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date.
To access rating and relevant documents, click here.
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