KBRA Assigns Ratings to Trapeza CDO X, Ltd.
6 Nov 2024 | New York
KBRA assigns ratings to five classes of notes issued by Trapeza CDO X, Ltd. (Trapeza CDO X), a securitization backed by a portfolio of bank TruPs CDO assets.
Trapeza X is a 2006 vintage CDO of bank and insurance holding company Tier 1 and Tier 2 capital with Trapeza Capital Management, LLC (“TCM”) as the initial collateral manager. It had an initial collateral par value of $500.0 million and liabilities of $468.0 million. It is a static cash flow structure and is managed by Hildene Collateral Management Company, LLC (“HCMC”), a relying advisor to Hildene Capital Management, LLC (together with its affiliates, “Hildene”).
As of August 31, 2024's trustee report and including deferred interest balances, the securitization consists of $34.7 million Class A1 Notes, $69.0 million Class A2 Notes, $31.0 million Class B Notes, $25.4 million Class C1 Notes, $48.1 million Class C2 Notes, $45.0 million Class E1 Notes, $69.5 million Class E2 Notes, $39.5 million of Subordinated Notes. The ratings reflect current credit enhancement levels, excess spread, and structural features.
The Classes A1, A2, B, C1, C2, D1 and D2 Notes have par subs of 82.1%, 46.5%, 30.5%, 1.7%, 1.7%, -21.0% and -21.0% respectively. The current portfolio has a K-WARF of 241, which represents a weighted average portfolio assessment between BBB and BBB-, and consists of 28 obligors and 28 assets.
Kroll Bond Rating Agency's (KBRA) ratings on Class A1 and A2 reflects KBRA’s opinion regarding the likelihood of timely payment of interest and ultimate repayment of principal. KBRA's rating assigned to the Class B, C1 and C2 reflects KBRA’s opinion regarding the likelihood of ultimate payment of interest and principal. KBRA does not rate the Class D1 and D2 Notes.
To access ratings and relevant documents, click here.
Click here to view the report.