KBRA Affirms Ratings for Shawnee 2022-1 LLC
19 Jul 2024 | New York
KBRA affirms ratings to five classes of notes issued by Shawnee 2021-2 LLC ("Shawnee 2022-1"), a cash flow collateralized loan obligation (CLO) backed by a portfolio of primarily middle market corporate loans. Concurrently, KBRA has removed two ratings from Watch Downgrade where they were initially placed on April 23, 2024. KBRA’s analysis indicated that the existing credit enhancement for the notes is sufficient to support the affirmed ratings. All notes have received timely interest distributions since the transaction closed other than the Class F Notes which deferred interest for a short time before being redeemed in full.
This review is based on information reported by the trustee as of June 15, 2024 and reflects the distributions that have occurred though the April 29, 2024 payment date and on May 20, 2024. Following the Watch Placements in April 2024, portfolio credit quality has improved and coverage test failures have been cured. Additionally, KBRA’s analysis takes into consideration the sales of the assets of four obligors and an amendment to the indenture dated May 10, 2024. The supplemental indenture directed the redemption of the Class F Notes from the proceeds of the additional issuance of Variable Dividend Notes. The amount contributed by the Variable Dividend Notes is equal to the amount required to pay the Class F notes principal in addition to deferred and accrued interest in full. KBRA has withdrawn the rating on the Class F Notes.
Shawnee 2022-1 is serviced by Panagram Structured Asset Management, LLC (“Panagram” or the “Servicer”). The CLO originally closed in April 2022. The portfolio is static and does not allow reinvestments. As of the June 2024 monthly trustee report, the total portfolio par amount is $476.5 million with exposure to 30 obligors. The K-WARF of the portfolio has decreased to 3171 from 3285 at the time of the Watch Placement.
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