KBRA Affirms the Ratings for Diameter Capital CLO 1 Ltd.
16 Jul 2024 | New York
KBRA affirms four ratings of the notes issued by Diameter Capital CLO 1 Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans. Since the transaction closed, the rated notes have received timely distributions of interest payments.
Diameter Capital CLO 1 Ltd. is a $451.7 million cash flow CLO managed by Diameter CLO Advisors LLC (the “collateral manager”). The CLO closed in July 2021 and has approximately 2 years remaining in the reinvestment period. The notes were collateralized by a $450 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.
As of the June 2024 trustee report, the aggregate principal balance of the collateral obligations is $458.0 million and there is a negative principal proceeds balance of $4.6 million. There are no defaulted or discount obligations in the portfolio. The transaction is in compliance with all coverage tests and collateral quality tests. The current portfolio K-WARF is 2598, which represents a weighted average portfolio credit assessment of B.
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