NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to four class of notes issued by HalseyPoint CLO I, Ltd (HalseyPoint I).
HalseyPoint I is a cash flow collateralized loan obligation (CLO) managed by HalseyPoint Asset Management, LLC (HalseyPoint or the collateral manager). The CLO will have a five-year reinvestment period and the legal final maturity is on Jan 20, 2033. The ratings reflect initial credit enhancement levels, four levels of coverage tests including par value and interest coverage tests, excess spread, and an interest diversion test.
The collateral in HalseyPoint I 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 2273, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is $450.0 million with exposures to over 200 obligors. The portfolio is currently 96.4% identified and is expected to be over 90% ramped at closing, with the remainder acquired before the transaction’s effective date.
This is the inaugural CLO for the collateral manager. HalseyPoint was founded in 2018 and is headquartered in Los Angeles, California. The management team, led by Lynn Hopton and Yvonne Stevens, has managed leverage loans and CLOs for 25 years, and have past experience in establishing and managing new CLO platforms. Their track record also includes managing over $12.5 billion in CLO AUM across 11 1.0-era CLOs and 11 2.0 transactions.
The Class A-1 Notes, comprised of Class A-1-A1, A-1-A2, and A-1-B Notes, are pari passu with Class A-2 Notes, which consist of Class A-2-A and A-2-B Notes. The Class A-1-A1 and A-1-A2 Notes are pari passu and each has par subordination of 38.5%. The Class A-2-A is senior to Class A-2-B and has par subordination of 40.0%. All three rated tranches have 10% cushion on the senior overcollateralization ratio test. The preliminary ratings on the Class A-1-A1, A-1-A2, and A-2-A Notes represent timely payment of interest and ultimate payment of principal by the applicable stated maturity date.
The preliminary rating on the Combination Notes is a principal only rating which represents ultimate payment of the initial principal amount by legal final maturity. The Combination Notes will hold the following components:
|
Class |
Notional Amount of Component |
|
Class C |
$25,000,000 |
|
Class D |
$26,550,000 |
|
Subordinated Notes |
$33,310,000 |
KBRA analyzed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018 and the Global Structured Finance Counterparty Methodology published on August 8, 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 |
|
Class A-1-A1 |
AAA (sf) |
$217,500,000 |
Principal and |
|
Class A-1-A2 |
AAA (sf) |
$8,000,000 |
Principal and |
|
Class A-2-A |
AAA (sf) |
$50,000,000 |
Principal and |
|
Combination Notes |
BBB- (sf) |
$84,860,000 |
Principal Only |
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- HalseyPoint CLO I, Ltd. Pre-Sale Report
- Structured Things: The Upside-Down Yield Curves
- KBRA’s Structured Credit 101: Collateralized Loan Obligations
- Global Structured Credit Rating Methodology
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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.
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