KBRA Places Three Shawnee 2022-1 LLC Ratings on Watch Downgrade
23 Apr 2024 | New York
KBRA has placed the ratings of the Class D, E and Class F notes of Shawnee 2022-1 LLC (“Shawnee 2022-1”) on Watch Downgrade due to negative portfolio credit migration and tightening excess interest, both of which have resulted in a decrease in coverage test cushion.
Shawnee 2022-1 is serviced by Panagram Structured Asset Management, LLC (“Panagram” or the “servicer”). The CLO originally closed in April 2022. The portfolio is static and does not allow for reinvestments. The ratings reflect current credit enhancement levels, excess spread, coverage tests including overcollateralization ratio and interest coverage tests.
The table below displays the current capital structure and rating actions undertaken in this review. To date, the securities have received timely interest payments.
The collateral in Shawnee 2022-1 primarily consists of both middle market and broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. As of the March 2024 trustee report, the total portfolio par amount is $620.1 million with exposure to 39 obligors. Over the last year, the K-WARF of the portfolio has increased to 3285 from 3190 and the balance of defaulted obligations has increased to $59.4 million from $20 million. As of the March 2024 trustee report, the Class E OC test is failing and the Class D OC test is close to failing.
In performing the rating review, KBRA utilized its Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology and the ESG Global Rating Methodology.
KBRA will continue to monitor the performance of the transaction and update and/or resolve the Watch Placements within 90 days.
To access rating and relevant documents, click here.