KBRA Assigns Preliminary Ratings to Monroe Capital Income Plus ABS Funding II, LLC
6 Nov 2024 | New York
KBRA assigns preliminary ratings to three classes of notes issued by Monroe Capital Income Plus ABS Funding II, LLC (“MCIP II”), a securitization backed by a portfolio of recurring revenue and middle market corporate loans.
Monroe Capital Income Plus ABS Funding II, LLC is a $255.0 million securitization managed by Monroe BDC Advisors, LLC (“Monroe” or the “Collateral Manager”), an affiliate of Monroe Capital LLC. The securitization consists of $163.2 million of Class A-R floating-rate notes, $25.5 million of Class B-R fixed-rate notes, $20.4 of Class C fixed-rate notes (collectively the “rated Notes”), and $45.9 million of subordinated notes, which expect to receive payments from a portfolio of recurring revenue loans (“RRLs”, also known as “late-stage lending loans”) and middle market loans (“MMLs”). The ratings reflect initial credit enhancement levels, excess spread, and structural features.
The rated notes benefit from internal credit enhancement through subordination, borrowing base, and excess spread. The collateral portfolio is comprised of a combination of first-lien senior secured 1) recurring revenue loans that have maximum loan-to-value (LTV) ratios) and 2) traditional middle market loans. The portfolio is concentrated to obligors in the software and technology industry who serve a diverse base of end users. The transaction has a two-year reinvestment period during which the initial portfolio may experience turnover through trading and substitution. The Class A-R, B-R, and C Notes have a 64.0%, 74.0%, and 82.0% advance rate, respectively. The overall K-WARF of the portfolio is 3487, which represents a weighted average portfolio assessment between B- and CCC+.
KBRA’s preliminary ratings on the Class A-R and B-R Notes consider timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s preliminary ratings on the Class C Notes consider ultimate payment of interest and ultimate payment of principal by the applicable stated maturity date.
KBRA analyzed the transaction using the Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.
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