KBRA Affirms the Ratings for Bastille Euro CLO 2020-3 DAC
21 Oct 2024 | London
KBRA UK (KBRA) affirms the ratings for six classes of notes issued by Bastille Euro CLO 2020-3 DAC. Since the transaction closed, the rated notes have received timely distributions of interest payments.
Bastille Euro CLO 2020-3 DAC is a €301.2 million cash flow CLO managed by Carlyle CLO Management Europe, LLC (“Carlyle Europe” or the “collateral manager”). The CLO originally closed in November 2020. The transaction exited its reinvestment period in August 2024. The ratings reflect current credit enhancement levels, excess spread, coverage tests including par value and interest coverage tests, and a reinvestment overcollateralization test.
The collateral in Bastille Euro CLO 2020-3 DAC mainly consists of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. As of the October 2024 trustee report, the aggregate principal balance of the collateral obligations is €291.4 million and there is a principal proceeds balance of €3.1 million. There are no defaulted obligations or discount obligations in the portfolio. The transaction is currently in breach of its WAL test, but all the other collateral quality tests and portfolio profile tests are in compliance. The current portfolio K-WARF is 2697, which represents a weighted average portfolio assessment of around B/B-.
Since the 2023 surveillance date, the Class A/B Par Value Test has decreased to 138.26% from 139.06%. The ratings on the Class A, B-1 and B-2 Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the ratings on the Class C, D and E notes consider the ultimate payment of interest and principal.
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Click here to view the report.