Home Madrid Economy KBRA Assigns Preliminary Ratings to Maranon Loan Funding 2020-1, Ltd.

KBRA Assigns Preliminary Ratings to Maranon Loan Funding 2020-1, Ltd.


NEW YORK–()–Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of bonds and one class of loans issued by Maranon Loan Funding 2020-1, Ltd. (Maranon 2020-1), a cash flow secured loan obligation (CLO) backed by a diversified portfolio of middle market corporate loans.

Maranon 2020-1 is managed by Maranon Capital, LP (Maranon or the Collateral Manager) and will have a three-year reinvestment period. The legal final maturity is January 15, 2034. The ratings reflect initial levels of credit enhancement, excess spreads and hedging tests, including overcollateralisation ratio and interest hedging tests.

Maranon’s 2020-1 collateral will consist primarily of mid-market leveraged loans issued by diversified corporate debtors across all industries. The total nominal amount of the portfolio is $350 million with exposure to 60 obligors. Portfolio obligors have a K-WARF of 2967, representing a weighted average portfolio rating of approximately B-. Due to the economic fallout from COVID-19, we expect pressure on the overall credit quality of the portfolio. Thus, it is likely that the K-WARF of the portfolio will increase in the short term. The KBRA took into account the impact of a possible credit migration.

Maranon Capital, LP is a private credit and CLO manager established in 2007 and a subsidiary of Eldridge Industries, LLC. As of September 30, 2020, Maranon had raised approximately $5.2 billion in private credit capital, including $1.7 billion in 4 US middle market CLOs. Senior management has extensive industry experience.

Preliminary ratings for Class A Notes, Class AL Loans, Class B-1 Notes and Class B-2 Notes reflect timely payment of interest and final payment of principal on the stated maturity date applicable, while the preliminary ratings of the Class C and D Notes take into account the ultimate payment of interest and principal.

KBRA analyzed the transaction using Global Structured Credit Rating Methodology published on November 19, 2020 and Global Structured Finance Counterparty Methodology published on August 8, 2018.

Click on here to view the report. To access relevant notes and documents, click here.

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Further information on key credit considerations, sensitivity analyzes that consider factors that may affect these credit ratings and how they could lead to an upgrade or downgrade, and ESG factors (where they are a key factor in changing the credit rating or rating outlook) can be viewed in the full rating report mentioned above.

A description of all substantially significant sources that were used to prepare the credit rating and information on the methodology(ies) (including all significant models and sensitivity analyzes of key relevant rating assumptions, if any) used to determine the credit rating are available. in the US Information Disclosure Form located here.

Information on the meaning of each rating category can be found here.

Additional information relating to this rating metric is available in the US Information Disclosure Form referenced above. Additional information regarding KBRA’s policies, methodologies, grading scales and disclosures is available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the United States Securities and Exchange Commission. In addition, KBRA is designated as the Designated Rating Agency 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a credit rating agency.