KBRA Assigns Preliminary Ratings to THL Credit Wind River 2019-3 CLO Secured Note Ltd.

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to one class
of notes (Secured Notes) issued by THL Credit Wind River 2019-3 Secured
Note Ltd. (THL 2019-3 Secured Note). The Secured Notes hold $5.00m of
Class B, $10.00m of Class C, $5.00m of Class D, and $5.0m of the
Subordinated Notes from THL Credit Wind River 2019-3 CLO Ltd., (THL
2019-3 CLO), a cash flow collateralized loan obligation (CLO) managed by
THL Credit Advisors LLC (THL).


THL 2019-3 CLO will have a five-year reinvestment period and the legal
final maturity is on April 15, 2031. The preliminary ratings on the
Secured Notes reflect the CLO’s initial credit enhancement levels, four
levels of coverage tests including par value and interest coverage
tests, excess spread, and a reinvestment diversion test. Portions of the
cash flows to the class B, C, D, and Subordinated Notes (Components) of
the CLO will be directed to amortize the initial principal amount of the
Secured Notes.


The collateral in THL 2019-3 CLO will mainly consist of broadly
syndicated leveraged loans issued by corporate obligors diversified
across sectors. The obligors in the portfolio have a K-WARF of 2227,
which represents a weighted average portfolio assessment of
approximately B. The total portfolio par amount is $600.0 million with
exposures to over 190 obligors. The portfolio is expected to be
approximately 85.2% ramped at closing, with the remainder acquired
before the transaction’s effective date.


THL, which was founded in 1999 and is headquartered in Boston,
Massachusetts, is the collateral manager. The management team, led by
Jim Fellows and Brian Good, has been managing CLOs for over 18 years.
THL Credit has a multi-faceted alternative credit product suite across
direct lending, broadly syndicated loans, and the CLO platform. The
investment team is made up of 51 investment professionals amongst a
larger team of 99 employees. THL has offices in Chicago, Dallas, Los
Angeles and New York. THL has more than $16 billion in total assets
under management, with approximately $12 billion under the CLO platform.
The credit team has issued 23 cash flow CLOs, including 18 via THL
Credit. The investment process combines traditional top down analysis
and bottom up research with qualitative analysis and a proprietary
quantitative credit system.


The Secured Notes will carry a principal only rating which represents
ultimate payment of the initial principal amount by legal final
maturity. The Secured Notes are combination notes and will hold the
following components:


Class


 


Notional Amount of Component


Class B


 


$5,000,000


Class C


 


$10,000,000


Class D


 


$5,000,000


Subordinated Notes


 


$5,000,000




 




KBRA analyzed the transaction using Global
Structured Credit Rating Methodology published on August 7, 2018.


The preliminary rating is based on information known to KBRA at the time
of this publication. Information received subsequent to this release
could result in the assignment of a final rating that differs from the
preliminary rating.


Class


 


Preliminary Rating


 


Initial Principal Amount


 


Certificate Type




Secured Notes


 


A- (sf)


 


$24,450,000


 


Principal Only






 




 




 






To access ratings, reports and disclosures, click here.


Related Publications: (available at www.kbra.com)


KBRA’s
Structured Credit 101: Collateralized Loan Obligations


KBRA’s
Structured Credit 401: Primer on Combination Notes


Global
Structured Credit Rating Methodology


Par
Wars: Attack on the Loans


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About KBRA and KBRA Europe


KBRA is a full-service credit rating agency registered with the U.S.
Securities and Exchange Commission as an NRSRO. 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, and
is a certified Credit Rating Agency (CRA) by the European Securities and
Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is
registered with ESMA as a CRA.


Contacts

Analytical Contacts:George
Lyons, CFA, Senior Director(646) 731-3314glyons@kbra.com
Sean
Malone, CFA, Director(646) 731-2436smalone@kbra.com
Steven
Zheng, Analyst(646) 731-3379szheng@kbra.com
Eric
Hudson, Managing Director(646) 731-3320ehudson@kbra.com