KBRA Assigns Ratings to Trapeza CDO XI, Ltd.
6 Nov 2024 | New York
KBRA assigns ratings to four classes of notes issued by Trapeza CDO XI, Ltd. (Trapeza CDO XI), a securitization backed by a portfolio of bank TruPs CDO assets.
Trapeza XI is a 2006 vintage CDO of bank and insurance holding company Tier 1 and Tier 2 capital with Trapeza Capital Management, LLC (“TCM”) as the initial collateral manager. It had an initial collateral par value of $500.0 million and liabilities of $481.0 million. 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 August 31, 2024 trustee report and including deferred interest balances, the securitization consists of $48.8 million Class A2 Notes, $20.0 million Class A3 Notes, $25.0 million Class B Notes, $38.8 million Class C Notes, $46.9 million Class D1 Notes, $38.7 million Class D2 Notes, $11.8 million Class E1 Notes, $26.3 million Class E2 Notes, $42.8 million Class F Notes, and $28.0 million of Subordinated Notes. The ratings reflect current credit enhancement levels, excess spread, and structural features.
The Classes A2, A3, B, C, D1, D2, E1, E2 and F Notes have par subs of 63.6%, 48.7%, 30.1%, 5.5%, -25.0%, -25.0%, -38.4%, -38.4%, and -45.8% respectively. The current portfolio has a K-WARF of 215, which represents a weighted average portfolio assessment between BBB and BBB-, and consists of 19 obligors and 19 assets.
Kroll Bond Rating Agency's (KBRA) ratings on Class A2 and A3 reflects KBRA’s opinion regarding the likelihood of timely payment of interest and ultimate repayment of principal. KBRA's rating assigned to the Class B and C reflects KBRA’s opinion regarding the likelihood of ultimate payment of interest and principal. KBRA does not rate the Class D1, D2, E1, E2 and F Notes.
To access ratings and relevant documents, click here.
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