RRE 11 Loan Management DAC
28 Mar 2024 | London
KBRA UK (KBRA) affirms the ratings for six classes of notes issued by RRE 11 Loan Management DAC. All notes have received timely interest distributions since the transaction has closed.
RRE 11 Loan Management DAC is a €508.2 million European cash flow CLO managed by Redding Ridge Asset Management (UK) LLP (“RRAM UK” or the “collateral manager”), an indirect wholly-owned subsidiary of Redding Ridge Asset Management LLC (“RRAM”). The CLO closed in March 2022 and has 3.2 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, coverage tests including par value and interest coverage tests, and a reinvestment overcollateralization test.
As of the February 2024 trustee report, the aggregate principal balance of the collateral obligations is €509.2 million, with a negative principal-proceeds balance of €5.5 million. There are no defaulted assets or discount obligations in the portfolio, and the transaction complies with all portfolio profile tests. The current portfolio K-WARF is 2436 which represents a weighted average portfolio assessment of around B+ / B.
Since the closing, the Class A Par Value Test has increased to 139.92% from 138.89%. The ratings on the Class A-1, A-2A and A-2B Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while ratings on the Class B, C, and D notes consider the ultimate payment of interest and principal.
In performing the rating review, KBRA utilized its Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology and the ESG Global Rating Methodology.
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