KBRA Affirms the Ratings for Carlyle Euro CLO 2019-2 DAC
12 Jul 2024 | London
KBRA UK (KBRA) affirms the ratings for seven classes of notes issued by Carlyle Euro CLO 2019-2 DAC, 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.
Carlyle Euro CLO 2019-2 DOC is a €408.6 million cash flow collateralized loan obligation (“CLO”) managed by CELF LLC (“collateral manager”). The notes were collateralized by a €396.2 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at refinancing.
The CLO closed in August 2019 and was partially refinanced in August 2021. The transaction exited its reinvestment period in February 2024, and the transaction is currently amortizing. The ratings reflect current credit enhancement levels, excess spread, and coverage tests.
As of the June 2024 trustee report, the aggregate principal balance of the collateral obligations is €389.1 million and there is currently a balance in the principal collection account of €5.1 million. There are no defaulted and no discount obligations in the portfolio. The transaction is in compliance with all portfolio profile tests. The current portfolio K-WARF is 2761, which represents a weighted average portfolio credit assessment of around B/B-.
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