KBRA Assigns Preliminary Rating to THL Credit Wind River 2015-1 CLO Ltd.

Kroll Bond Rating Agency (KBRA) assigns a preliminary rating to one class of notes (the Notes) issued by THL Credit Wind River 2015-1 CLO Ltd. (THL 2015-1).

THL 2015-1 is a reinvesting cash flow collateralized loan obligation (CLO) managed by THL Credit Advisors LLC (THL). The preliminary rating reflects the initial credit enhancement levels, coverage tests including par value and interest coverage tests for all Notes, excess spread, and a reinvestment diversion test. The CLO originally closed in July 2015 and was partially refinanced in August 2017. This transaction will reset the terms of the CLO, including the stated maturity, non-call period, reinvestment period, and note interest rates.

The collateral in THL 2015-1 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 2350, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is $603.5 million with exposures to over 250 obligors. The portfolio is expected to be approximately 80% ramped at closing, with the remainder acquired before the transactions 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 $15 billion in total assets under management, with approximately $12 billion under the CLO platform. The credit team has issued 20 cash flow CLOs, including 15 via THL Credit. The investment process combines traditional top down analysis and bottom up research with qualitative analysis and a proprietary quantitative credit system.

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Class     Initial Amount     Interest Rate    

Par Subordination

   

O/C Trigger

   

O/C Cushion

Class A-1-RR     $370,050,000     3mL + 1.16%     38.68%     123.31%     9.71%
 

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
Class A-1 AAA (sf) $370,050,000
 

To access the ratings, pre-sale report and disclosures, click here.

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

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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, is 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.

Kroll Bond Rating Agency
Analytical
Contacts:

George Lyons, CFA, Director
(646) 731-3314
[email protected]
or
Sean
Malone, CFA, Director
(646) 731-2436
[email protected]
or
Steven
Zheng, Analyst
(646) 731-3379
[email protected]
or
Eric
Hudson, Managing Director
(646) 731-3320
[email protected]

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