KBRA UK Assigns Preliminary Ratings to Six Classes of Notes Issued by RRE 26 Loan Management DAC CLO

KBRA UK has assigned preliminary credit ratings to six classes of notes issued by RRE 26 Loan Management DAC, a cash flow collateralized loan obligation backed primarily by a diversified portfolio of Euro-denominated corporate loans. The CLO is managed by Redding Ridge Asset Management (UK) LLP, with a reinvestment period of 4.5 years and a legal final maturity of 13 years.

1. Collateral and Portfolio Overview

• The CLO’s collateral consists mainly of broadly syndicated leveraged loans and bonds from corporate obligors across various sectors.
• The target portfolio size is €400 million, diversified across 127 obligors.
• The portfolio’s weighted average rating factor (K-WARF) is 2521, corresponding roughly to a “B” credit rating.

2. Manager Background

• RRAM UK is a UK-based subsidiary of Redding Ridge Asset Management LLC, founded and seeded by Apollo Global Credit Management, LLC in 2016.
• The manager currently oversees more than €8.2 billion in assets across eighteen European CLOs.

3. Ratings Assigned

• Ratings on Class A-1 and A-2 notes reflect the expectation of timely interest payments and ultimate principal repayment by stated maturity.
• Ratings on Class B, C-1, C-2, and D notes consider the ultimate payment of both interest and principal by stated maturity.

4. Credit Enhancement and Tests

• The ratings incorporate initial credit enhancement levels, coverage tests such as par value and interest coverage, excess spread, and a reinvestment overcollateralisation test.

5. Reports and Methodologies

• Access the full rating report [here].
• Ratings are based on methodologies including:
  • Structured Credit Global Rating Methodology
  • Global Structured Finance Counterparty Methodology
  • ESG Global Rating Methodology

6. Disclosures and Additional Information

• The rating report includes sensitivity analyses, key credit considerations, and ESG factors influencing the ratings.
• Further disclosures on sources, rating assumptions, and methodology are available in the Information Disclosure Forms [here].
• The credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the EU.
• Additional policy, methodology, and rating scale information can be found.
• Relevant relationships with shareholders or shareholder-related companies are disclosed per KBRA’s policies.

KBRA UK’s preliminary ratings on RRE 26 Loan Management DAC notes reflect a thorough assessment of credit quality, portfolio diversification, and structural protections. These ratings provide investors with insight into the expected performance of this Euro-denominated CLO over its lifecycle.