Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to one class of notes issued by Golub Capital Partners TALF 2020-1, L.P. (Golub Capital Partners TALF 2020-1), a cash flow collateralized loan obligation (CLO) backed by a static portfolio of middle market corporate loans.
Golub Capital Partners TALF 2020-1, L.P. is managed by GC Investment Management LLC (GCIM or the collateral manager). The legal final maturity is on Oct. 20, 2029. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.
The collateral in Golub Capital Partners TALF 2020-1, L.P. will mainly consist of middle market leveraged loans issued by corporate obligors diversified across sectors. The obligors in the static portfolio have a K-WARF of 3550, which represents a weighted average portfolio assessment of approximately B-/CCC+. The total portfolio par amount is $700 million with exposures to 45 obligors. The portfolio is expected to be fully ramped at closing. Due to the economic fallout from COVID-19, we expect pressure on overall portfolio credit quality. As such, it is likely that the portfolio’s K-WARF will increase in the near-term. KBRA considered the impact of potential credit migration.
GC Investment Management LLC, an investment adviser established in 2010, will originate the initial portfolio. Through services agreements, the collateral manager will leverage the Golub Capital platform, including its investment professionals and other resources. Golub Capital is an experienced middle market loan originator and CLO manager, with over $14 billion in assets under management across 21 outstanding middle market CLOs.
The preliminary rating on the Class A Notes considers the timely payment of interest and ultimate payment of principal by the applicable stated maturity date.
KBRA analyzed the transaction using Structured Credit Global Rating Methodology published on March 13, 2020 and the Global Structured Finance Counterparty Methodology published on August 8, 2018.
Further information on key credit considerations, sensitivity analyses that consider what factors can affect these credit ratings and how they could lead to an upgrade or a downgrade, and ESG factors (where they are a key driver behind the change to the credit rating or rating outlook) can be found in the full rating report referenced above.
A description of all substantially material sources that were used to prepare the credit rating and information on the methodology(ies) (inclusive of any material models and sensitivity analyses of the relevant key rating assumptions, as applicable) used in determining the credit rating is available in the U.S. Information Disclosure Form located here.
Information on the meaning of each rating category can be located here.
Further disclosures relating to this rating action are available in the U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.
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