KBRA Assigns Ratings to Alesco Preferred Funding XVII, Ltd.
26 Aug 2024 | New York
KBRA assigns ratings to three classes of notes issued by Alesco Preferred Funding XVII, Ltd. (Alesco XVII), a securitization backed by a portfolio of bank TruPs CDO assets.
Alesco XVII is a 2007 vintage CDO of bank Tier 1 and Tier 2 capital with Cohen Bros. Financial Management, LLC (“Cohen & Co”) as the initial collateral manager. It had an initial collateral par value of $400.0 million and liabilities of $372.7 million. It is a static cash flow structure and is now managed by Hildene Structured Advisors, LLC (HSA), a relying advisor to Hildene Capital Management, LLC (Hildene).
The securitization consists of $98.7 million Class A1 Notes, $16.0 million Class A2 Notes, $44.0 million Class B Notes, $42.0 million Class C1 Notes, $0.5 million Class C2 Notes, $57.6 million Class D Notes, and $36.8 million of Preferred Shares. The ratings reflect current credit enhancement levels, excess spread, and structural features.
The Classes A1, A2, B, C1, C2, and D Notes have par subs of 56.3%, 49.2%, 29.7%, 10.9%, 10.9%, and -4.2% respectively. The current portfolio has a K-WARF of 367, which represents a weighted average portfolio assessment between BBB- and BB+, and consists of 29 obligors and 29 assets.
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