Moody's Assigns Aaa (sf) Rating to Class A-1 Notes in KKR CLO 61 Ltd.

Strategic Insights -

Moody's Investors Service has assigned a rating to one class of notes issued by KKR CLO 61 Ltd., a managed cash flow collateralized loan obligation. The Class A-1 Senior Secured Floating Rate Notes due 2037, with a principal amount of $256,000,000, have been assigned an Aaa (sf) rating. This rating is based on Moody's methodology, considering relevant risks, particularly those associated with the CLO's portfolio and structure.

Key Takeaways:

  • The Class A-1 Notes have a principal amount of $256,000,000 and are due in 2037.
  • The transaction incorporates interest and par coverage tests that divert interest and principal proceeds to pay down the notes in order of seniority.
  • The portfolio is approximately 70% ramped as of the closing date and consists primarily of broadly syndicated senior secured corporate loans.
  • The Manager, KKR Financial Advisors II, LLC, will direct the selection, acquisition, and disposition of assets and may engage in trading activity during the three-year reinvestment period.
  • The transaction incorporates a cash flow model based on the Binomial Expansion Technique.
  • The base-case assumptions used in modeling include a par amount of $400,000,000, a Diversity Score of 75, a Weighted Average Rating Factor (WARF) of 3169, and a Weighted Average Spread (WAS) of 3.00%.
  • The rating is subject to uncertainty and sensitive to the performance of the underlying portfolio, which depends on economic and credit conditions that may change.

Statistics:

  • $256,000,000: Principal amount of the Class A-1 Notes
  • 2037: Due date of the Class A-1 Notes
  • 70%: Portfolio rallpment as of the closing date
  • $400,000,000: Par amount used in modeling
  • 75: Diversity Score
  • 3169: Weighted Average Rating Factor (WARF)
  • 3.00%: Weighted Average Spread (WAS)
  • 6.50%: Weighted Average Coupon (WAC)
  • 46.00%: Weighted Average Recovery Rate (WARR)
  • 7.0 years: Weighted Average Life (WAL)
  • 3 years: Reinvestment period

Sources:

  • "Moody's Global Approach to Rating Collateralized Loan Obligations" rating methodology published in May 2024
  • https://ratings.moodys.com/rmc-documents/420962
  • https://ratings.moodys.com for a copy of the Rating Methodologies page