DBRS Assigns Rating to the Senior Funding Facility of Rockford Tower CLO 2018-1, Ltd.

DBRS, Inc. (DBRS) assigned a AA (sf) rating to the Senior Funding Facility (the Facility) due January 2027 of Rockford Tower CLO 2018-1, Ltd.

The rating on the Facility is being assigned pursuant to the Warehouse Agreement, dated as of January 9, 2018, between Rockford Tower CLO 2018-1, Ltd. as Borrower; Barclays Bank PLC, New York Branch (Barclays) as Facility Agent; Rockford Tower Capital Management LLC (Rockford) as Collateral Manager; and U.S. Bank National Association as Collateral Administrator, Securities Intermediary and Security Agent.

The Borrower is a limited liability company incorporated under the laws of the Cayman Islands. This transaction is set up as a cash flow securitization, which will be collateralized by a portfolio of leveraged loans subject to Collateral Quality and Portfolio Profile Tests. As of the final rating date, the transaction portfolio consists of approximately $188 million of senior secured term loans to 52 unique obligors, and the Borrower will continue to draw on the Facility based on a predetermined schedule. Upon each drawing request, the Collateral Manager will comply with certain portfolio tests. The warehouse will have a reinvestment period end date in January 2019, followed by an amortization period. The warehouse will reach its maturity date at the earliest of: the CLO Closing Date; the Scheduled Maturity Date in January 2027, or the date upon which the final payment on the last of the collateral of the portfolio has been received.

An early maturity date can be caused by an Optional Early Maturity Date (no earlier than 12 months after the reinvestment period end date) or at the sole option of the Instructing Lender (Barclays) following an Event of Default (EOD). Under the Warehouse Agreement, upon an occurrence of (and during the continuation of) an EOD, the Instructing Lender (Barclays) may, in its sole option, elect to designate an Acceleration Date and liquidate the portfolio.

As the trades settle in the warehouse portfolio, under the drawing schedule, Barclays (as Senior and Mezzanine Lender) will continue to fund the Facilities upon the Borrower’s request. In its analysis, DBRS considered Barclays’ ability to fund the Facilities and will continue to monitor the transaction as part of its ongoing surveillance. Barclays Bank PLC currently has a public Long-Term Debt rating of “A” with a Stable trend by DBRS.

The rating on the Facility reflects the following primary considerations:

(1) The Warehouse Agreement dated as of January 9, 2018.

(2) The integrity of the transaction structure.

(3) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(4) DBRS’s assessment of the collateralized loan obligation management capabilities of Rockford.

The rating on the Facility addresses the timely payment of the Senior Base Interest Amount and Senior Additional Payment Amounts, and the ultimate payment of Senior Funding Amounts on or before the Scheduled Maturity Date in January 2027. For the avoidance of doubt, this rating does not address the Senior Additional Interest Amount.

To assess portfolio credit quality, DBRS will provide a credit estimate or internal assessment for each corporate obligor not publicly rated in the portfolio. Credit estimates are not ratings; rather, they represent a primarily model-driven default probability for each obligor that is used in assigning ratings to the transaction.

Notes:
All figures are in U.S. dollars unless otherwise noted.

The principal methodology is Rating Methodology for CLOs and CDOs of Large Corporate Credit, which can be found on dbrs.com under Methodologies.

This rating is endorsed by DBRS Ratings Limited for use in the European Union.

The rated entity or its related entities did participate in the rating process. DBRS had access to the accounts and other relevant internal documents of the rated entity or its related entities.

For more information on this credit or on this industry, visit www.dbrs.com, or contact us at info@dbrs.com.