KBRA Affirms Ratings for RRE 1 Loan Management DAC
27 Mar 2024 | London
KBRA UK (KBRA) affirms the ratings for five classes of notes issued by RRE 1 Loan Management DAC. All notes have received timely interest distributions since the transaction closed.
RRE 1 Loan Management DAC is a €602.5 million European cash flow CLO managed by Redding Ridge Asset Management (UK), LLP (“RRAM UK” or the “collateral manager”), an indirect wholly-owned subsidiary of Redding Ridge Asset Management LLC (“RRAM”). The CLO originally closed in April 2019. KBRA rated this transaction when the CLO reset certain terms, including the stated maturity, non-call period, reinvestment period, and note interest rates in April 2021. The CLO has one year of reinvestment period left. The ratings reflect current credit enhancement levels, excess spread, coverage tests including par value and interest coverage tests, and a reinvestment overcollateralization test.
As of the February 2024 trustee report, the aggregate principal balance of the collateral obligations is €604.03 million, with a negative principal-proceeds balance of €3.0 million. There are no defaulted assets and €3.87 million discount obligations in the portfolio, and the transaction complies with all portfolio profile tests. The current portfolio K-WARF is 2575 which represents a weighted average portfolio assessment of around B.
Since the 2023 surveillance date, the Class A Par Value Test has increased to 143.88% from 143.74%. The ratings on the Class A-1-R and A-2-R Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while ratings on the Class B-R, C-R, and D-R notes consider the ultimate payment of interest and principal.
To access rating and relevant documents, click here.
Click here to view the report.