Press Release|Structured Credit

KBRA Affirms Four Ratings and Upgrades One Rating for Wind River 2020-1 CLO Ltd.

8 May 2024   |   New York


KBRA affirms the ratings on Class A, B, D-1 and D-2 Notes and upgrades the rating on Class C notes issued by Wind River 2020-1 CLO Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans. Since the transaction closed, the rated notes have received timely distributions of interest payments.

Wind River 2020-1 CLO Ltd. is a $378.4 million cash flow collateralized loan obligation (“CLO”) managed by First Eagle Alternative Credit, LLC. (“collateral manager”). The notes were collateralized by a $400.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.

As of the April 2024 trustee report, the aggregate principal balance of the collateral obligations is $389.2 million and has a cash balance of $7.1 million in principal proceeds. There are two defaulted obligations and no discounted obligation in the portfolio. The adjusted collateral principal amount is $398.5 million. The transaction is in compliance with all portfolio profile tests. The par sub on the Class C notes has increased to 14.9% since closing due to amortization on the Class C notes.

The CLO closed in October 2020 and has approximately 1.5 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, and coverage tests. The current portfolio K-WARF is 2437, which represents a weighted average portfolio credit assessment of around B.

To access rating and relevant documents, click here.

Click here to view the report.

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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

About KBRA

Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency 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 by the Ontario Securities Commission for issuers of asset-backed securities to file a short form prospectus or shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a Credit Rating Provider.

Doc ID: 1004256

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