KBRA Assigns Final Ratings to Ellington CLO IV, Ltd.

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Kroll Bond Rating Agency (KBRA) assigns final ratings to two classes of notes issued by Ellington CLO IV, Ltd. (Ellington CLO IV).

Ellington CLO IV is cash flow collateralized loan obligation (CLO) managed by Ellington CLO Management LLC (the collateral manager), it has a two-year reinvestment period and the legal final maturity is April 15, 2029. The ratings reflect the initial credit enhancement levels, four levels of coverage tests including par value and interest coverage tests, excess spread, and an interest diversion test.

The collateral in Ellington CLO IV will mainly consist of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The expected total portfolio par amount is $475 million. The collateral manager has identified 100% of the collateral for the target portfolio which has exposures to 100 obligors with a K-WARF of 3566. This represents a weighted average portfolio assessment of approximately B-. The expected average life of the portfolio is approximately six years when adjusting for reinvestments. The portfolio is expected to have at least 85% first lien senior secured notes and a maximum of 15% second lien or senior unsecured loans.

Ellington CLO Management LLC was formed on February 1, 2017 and serves as a collateral manager for three other CLOs. The collateral manager is an affiliate of Ellington Management Group, LLC (EMG), which will provide services to the collateral manager. EMG has $7.4 billion in assets under management as of October 2018. It was founded in 1994 and currently employs over 160 professionals including 65 portfolio management and research professionals. EMG’s core strategies include RMBS, CMBS, leveraged loans, CLOs, mortgage derivatives, consumer loans, and non-performing loans. It is headquartered in Old Greenwich, CT with offices in London and New York.

The Class A Notes have par subordination of 50% and 15% cushion on the senior overcollateralization test. The preliminary rating on the Class A Notes represents timely interest and ultimate principal.

The Combination Notes carry a principal only rating which represents ultimate payment of the initial principal amount by legal final maturity. The Combination Notes hold the following components:

Class       Initial Amount
Class D-2       $5,700,000
Class E-2       $3,050,000
Class F-2       $150,000
Subordinated Notes       $1,620,000

KBRA analyzed the transaction using Global Structured Credit Rating Methodology published on August 7, 2018.


Preliminary Rating

  Initial Principal Amount   Certificate Type
Class A   AAA (sf)   $237,500,000   Principal and Interest
Combination Notes   BBB+ (sf)   $10,000,000   Principal Only

To access the ratings and disclosures, click here.

Related Publications: (available at www.kbra.com)


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About KBRA and KBRA Europe

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, is 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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Business Wire: 19:31 GMT Friday 8th March 2019

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