NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns a preliminary rating to one class of notes issued by AIG CLO 2019-2, Ltd (AIG CLO 2019-2).
AIG CLO 2019-2 is a cash flow collateralized loan obligation (CLO) managed by AIG Asset Management EU CLO, LLC (the collateral manager). The CLO will have a five-year reinvestment period and the legal final maturity is October 2032. The ratings reflect initial credit enhancement levels, excess spread, four levels of coverage tests including overcollateralization ratio and interest coverage tests, and an interest diversion test.
The collateral in AIG CLO 2019-2 mainly consists of broadly syndicated leveraged loans issued by corporate obligors diversified across many sectors. The obligors in the portfolio have a K-WARF of 2375, which represents a weighted average portfolio assessment of approximately B. The total portfolio par amount is $500 million with expected exposures to over 250 obligors when the transaction is fully invested. The portfolio is 38% ramped as of October 9, 2019 and the manager has identified 78% of the target portfolio. The remainder will be mostly new issue collateral and will be acquired before the transaction’s effective date.
The collateral manager is a relying adviser to AIG Asset Management (U.S.), LLC (AMG). American International Group, Inc. (AIG) is the ultimate parent for both the collateral manager and AMG. As of June 30, 2019, AMG is responsible for approximately $348 billion of assets under management. AIG purchased Covenant Credit Partners, led by Marc Boatwright in May 2018 and he is responsible for portfolio construction at the collateral manager. AIG has committed to supporting the growth of its CLO business. AIG has issued two CLOs with this new platform and has $15 billion of AUM across structured credit, leveraged capital, and syndicated bank loans.
The Class A Notes have par subordination of 38.0% and 10% cushion on the senior overcollateralization ratio test. The ratings on the Class A Notes represent timely interest and ultimate principal.
KBRA analyzed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018 and the Global Structured Finance Counterparty Methodology published on August 8, 2018.
The ratings are based on information known to KBRA at the time of this publication.
3mL + 1.36%
To access ratings, reports and disclosures, click here.
Related Publications: (available at www.kbra.com)
- CBAM 2019-11 Ltd. Pre-Sale Report
- Structured Things: The Upside-Down Yield Curves
- KBRA’s Structured Credit 101: Collateralized Loan Obligations
- Global Structured Credit Rating Methodology
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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. KBRA is also 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.
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