Press Release|Funds

KBRA Affirms All Ratings for Nassau CFO 2022 LLC

3 Oct 2023   |   New York


KBRA affirms the outstanding ratings on the Liquidity Loan Facility (the “Liquidity Facility”), Class A Loans / Notes (the “Class A Debt”), Class B Loans / Notes (the “Class B Debt”), and Class C Loans / Notes (the “Class C Debt” and collectively, the “Rated Debt”) issued by Nassau CFO 2022 LLC. The affirmation is based on KBRA’s analysis of transaction performance to date.

As of July 31, 2023, the Adjusted NAV of the transaction collateral has increased by approximately $100 million and resulted in stronger levels of credit enhancement for the Rated Debt. Isolating the capital calls and including the distributions generated by the collateral since issuance, the NAV of the portfolio has increased by 16.6% generating a net IRR of 16.0% and a net MOIC of 1.12x. The overall diversification of the collateral by strategy, sector, and Manager also remains generally in line with the collateral characteristics at issuance.

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