Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to four classes of notes and loans issued by Guggenheim MM CLO 2021-4, Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of middle market and broadly syndicated corporate loans.
On the closing date, the Issuer is expected to merge with Guggenheim MM CLO 2019-2, Ltd., a middle market CLO managed by the collateral manager which initially closed in December 2019. The closing date merger will use the proceeds from the issuance of new notes to pay off all outstanding notes of Guggenheim MM CLO 2019-2, Ltd.
Guggenheim MM CLO 2021-4, Ltd. is managed by Guggenheim Corporate Funding, LLC ("GCF" or the "collateral manager"). The deal will have a four-year reinvestment period. The legal final maturity is on January 15, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.
The collateral will mainly consist of a mix of middle market and broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $417.0 million with exposure to 139 obligors. The obligors in the portfolio have a K-WARF of 3116, which represents a weighted average portfolio credit assessment of approximately B-. KBRA has also considered the potential for near to medium term negative portfolio credit deterioration.
Guggenheim Corporate Funding, LLC, ("GCF"), the registered investment advisor that focuses on private debt origination (and together with other affiliates, "Guggenheim Investments") will act as collateral manager for this transaction. As of September 30, 2021, Guggenheim Investments had more than $259 billion in assets under management (AUM), including $225 billion of fixed income AUM.
The preliminary ratings on the Class A Notes and Class A Loans consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the preliminary ratings on the Class D and E Notes consider the ultimate payment of interest and principal.
KBRA analyzed the transaction using the Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.
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Disclosures
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com
About KBRA
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. 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.
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Contacts:
Analytical
Jerry Jurcisin, Associate Director (Lead Analyst)
+1 (646) 731-2457
jerry.jurcisin@kbra.com
George Lyons, CFA, Senior Director
+1 (646) 731-3314
george.lyons@kbra.com
Steven Zheng, Associate
+1 (646) 731-3379
steven.zheng@kbra.com
Eric Hudson, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-3320
eric.hudson@kbra.com
Business Development
Jason Lilien, Managing Director
+1 (646) 731-2442
jason.lilien@kbra.com
