KBRA Affirms the Ratings for RRE 2 Loan Management DAC
12 Jun 2024 | London
KBRA UK (KBRA) affirms the ratings of the class A-1-R, A-2-R, B-R, C-R and D-R notes issued by RRE 2 Loan Management DAC, a European cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated corporate loans. Since the transaction closed, the rated notes have received timely distributions of interest payments.
RRE 2 Loan Management DAC is a €503.64 million cash flow CLO managed by Redding Ridge Asset Management UK LLP (“RRAM UK”). The notes were collateralized by a €500.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.
The CLO closed in June 2021 and has approximately 1.25 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, and coverage tests.
As of the April 2024 trustee report, the aggregate principal balance of the collateral obligations is €500.9 million and has a cash balance of €0.3 million in principal proceeds. There are no defaulted obligations but seven discount obligations in the portfolio. The transaction is in compliance with all portfolio profile tests. The current portfolio K-WARF is 2514, which represents a weighted average portfolio credit assessment of around B.
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