KBRA Assigns Ratings to Alesco Preferred Funding XI, Ltd.
26 Aug 2024 | New York
KBRA assigns ratings to four classes of notes issued by Alesco Preferred Funding XI, Ltd. (Alesco XI), a securitization backed by a portfolio of bank and insurance TruPs CDO assets.
Alesco XI is a 2006 vintage CDO of bank and insurance holding company 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 $667.1 million and rated liabilities of $637.0 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 $8.5 million Class A1A Notes, $8.6 million Class A1B Notes, $95.0 million of Class A2 Notes, $54.3 million Class B Notes, $40.9 million Class C1 Notes, $13.2 million Class C2 Notes, $63.7 million Class C3 Notes, $64.8 million Class D Notes, and $44.0 million of Preferred Shares. The ratings reflect current credit enhancement levels, excess spread, and structural features.
The Classes A1A, A1B, A2, B, C1, C2, C3 and D Notes have par subs of 93.3%, 93.3%, 56.2%, 35.0%, -4.8%, -4.8%, -4.8% and -17.9%, respectively. The current portfolio has a K-WARF of 347, which represents a weighted average portfolio assessment between BBB- and BB+, and consists of 33 obligors and 34 assets.
Kroll Bond Rating Agency's (KBRA) ratings on Class A1A, A1B and A2 reflects KBRA’s opinion regarding the likelihood of timely payment of interest and ultimate repayment of principal. While the rating assigned to the Class B reflects KBRA’s opinion regarding the likelihood of ultimate payment of interest and principal. KBRA does not rate the Classes C1, C2, C3 or D Notes.
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