Press Release|Structured Credit
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KBRA Affirms the Ratings for Silver Rock CLO II, Ltd.

6 Mar 2026   |   New York

Contacts

KBRA affirms four ratings of the notes issued by Silver Rock CLO II, Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans.

Silver Rock CLO II, Ltd. is a $410.1 million cash flow CLO managed by Silver Rock Management LLC. The notes were collateralized by a $400.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.

The CLO originally closed in December 2021 and was partially refinanced in March 2025. There are approximately 0.9 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, and coverage tests. The priority of payments includes an excess cash sweep for the Class D and Class E Notes. The Class D-1-R and D-2-R Notes have each amortized to 85.2% of their original principal balances.

As of the January 2026 trustee report, the aggregate principal balance of the collateral obligations is $388.8 million, and there is a principal proceeds balance of $2.1 million. The portfolio currently consists of 178 obligors and has a K-WARF of 2,243 which represents a weighted average portfolio credit assessment of ‘B’. There are two defaulted obligors in the portfolio, with a principal balance of $8.2 million. The transaction is in compliance with all portfolio profile tests, except the KBRA WAS Test.

All Notes have received timely interest distributions since the transaction has closed. KBRA’s rating on the Class A-R Notes considers the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the ratings on the Class D-1-R, Class D-2-R, and Class E-R Notes consider the ultimate payment of interest and principal by the applicable stated maturity date.

To access ratings and relevant documents, click here.

Click here to view the report.

Methodologies

Disclosures

Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.

A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

Kroll Bond Rating Agency, LLC (KBRA), one of the major credit rating agencies (CRA), is a full-service CRA registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority. In addition, KBRA is designated as a Designated Rating Organization (DRO) by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized as a Qualified Rating Agency by Taiwan’s Financial Supervisory Commission and is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider (CRP) in the U.S.

Doc ID: 1013856