Kroll Bond Rating Agency assigned preliminary ratings to three classes of notes issued by Carlyle US CLO 2021-3S (Carlyle 2021-3S), a cash flow collateralized loan obligation back by a portfolio of broadly syndicated corporate loans.
Carlyle 2021-3S is managed by Carlyle US CLO 2021-3S (Carlyle 2021-3S or the collateral manager) and will have a five-year reinvestment period. The legal final maturity is on April 15, 2034. The ratings reflect initial credit enhancement levels, excess spread and coverage tests, including overcollateralization ratio and interest coverage tests.
The collateral in Carlyle 2021-3S will mainly consist of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $500 million with exposure to 303 obligors. The obligors in the portfolio have a K-WARF of 2411, which represents a weighted average portfolio credit assessment of approximately B. Due to the economic fallout from the COVID-19 pandemic, there may be pressure on overall portfolio credit quality. As such, the portfolio’s K-WARF may increase in the near term. KBRA considered the impact of potential credit migration.
Carlyle CLO Management is a CLO manager within the liquid credit platform of Carlyle Global Credit, which has $56 billion in global credit assets under management, including approximately $27.9 billion across 32 U.S. CLOs as of December 2020.
The preliminary rating on the Class A-1 notes considers the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the preliminary ratings on the Class C and D notes consider the ultimate payment of interest and principal.