KBRA Affirms the Ratings for CBAM 2020-12, Ltd.
18 Jun 2024 | New York
KBRA affirms three ratings of the notes issued by CBAM 2020-12, 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.
CBAM 2020-12, Ltd. is a $467.3 million cash flow CLO managed by CBAM Partners, LLC (“collateral manager”), which was acquired by Carlyle Group Inc. (“Carlyle”) in March 2022. The notes were collateralized by a $500.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.
The CLO was reset in July 2021 and has approximately 2.24 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, and coverage tests.
As of the May 2024 trustee report, the aggregate principal balance of the collateral obligations is $487.4 million, and there is a positive balance in the principal collection account of $8.3 million. There are one defaulted obligation and no discount obligations in the portfolio. The transaction is in compliance with all portfolio profile tests. The current portfolio K-WARF is 2471, which represents a weighted average portfolio credit assessment of around B.
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