KBRA Affirms Four Ratings and Upgrades One Rating for Wind River 2020-1 CLO Ltd.
8 May 2024 | New York
KBRA affirms the ratings on Class A, B, D-1 and D-2 Notes and upgrades the rating on Class C notes issued by Wind River 2020-1 CLO Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans. Since the transaction closed, the rated notes have received timely distributions of interest payments.
Wind River 2020-1 CLO Ltd. is a $378.4 million cash flow collateralized loan obligation (“CLO”) managed by First Eagle Alternative Credit, LLC. (“collateral manager”). The notes were collateralized by a $400.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.
As of the April 2024 trustee report, the aggregate principal balance of the collateral obligations is $389.2 million and has a cash balance of $7.1 million in principal proceeds. There are two defaulted obligations and no discounted obligation in the portfolio. The adjusted collateral principal amount is $398.5 million. The transaction is in compliance with all portfolio profile tests. The par sub on the Class C notes has increased to 14.9% since closing due to amortization on the Class C notes.
The CLO closed in October 2020 and has approximately 1.5 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, and coverage tests. The current portfolio K-WARF is 2437, which represents a weighted average portfolio credit assessment of around B.
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