Kroll Bond Rating Agency UK Limited (KBRA) affirms the ratings for five classes of notes issued by Zinnia Finance DAC. Since the transaction closed, the rated notes have received timely distributions of interest payments.
Zinnia Finance DAC is a CLO managed by Redding Ridge Asset Management (UK) LLC (RRAM UK or the collateral manager). The CLO has a remaining two-year reinvestment period. The ratings reflect current credit enhancement levels, excess spread, coverage tests including par value and interest coverage tests, and a reinvestment overcollateralisation test.
The collateral in Zinnia Finance DAC mainly consists of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. As of the most recent trustee report, the aggregate principal balance of the collateral obligations is €312.7 million, however this amount includes a principal proceeds negative balance of €11.1 million. The resulting adjusted collateral principal amount is €301.6 million. The current portfolio K-WARF is 2512, which represents a weighted average portfolio assessment of around B.
Since the closing date, the Senior Par Value Ratio has improved by 0.8% points to 155.44%. The ratings on the Class A-1 and A-2 Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while its ratings on the Class B, C, and D notes consider the ultimate payment of interest and principal.
The ratings for this transaction were first issued by Kroll Bond Rating Agency Europe Limited (KBRA Europe) which is registered by ESMA as a Credit Rating Agency in the EU and a credit rating affiliate of KBRA UK. The ratings have been transferred to KBRA UK as a result of regulatory requirements that came into force on 31 December 2020.
KBRA analyzed the transaction using Structured Credit Global Rating Methodology and the Global Structured Finance Counterparty Methodology.
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 Information Disclosure Form(s) located here.
Information on the meaning of each rating category can be located here.
This credit rating is endorsed by Kroll Bond Rating Agency Europe Limited for use in the European Union. Information on a credit rating’s endorsement status is available on its rating page at KBRA.com.
Further disclosures relating to this rating action are available in the Information Disclosure Form(s) referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.
About KBRA UK
Kroll Bond Rating Agency, LLC (KBRA) is a full-service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. Kroll Bond Rating Agency Europe Limited is registered as a CRA with the European Securities and Markets Authority. Kroll Bond Rating Agency UK Limited is registered as a CRA with the UK Financial Conduct Authority pursuant to the Temporary Registration Regime. 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. Kroll Bond Rating Agency UK is located at Augustine House, Austin Friars, London, EC2N 2HA, United Kingdom.
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Gabriele Gramazio, Director (Lead Analyst)
+44 208 148 1001
Kathy Song, CFA, Associate Director
+1 (646) 731-1209
Eric Hudson, Senior Managing Director (Rating Committee Chair)
+1 (646) 731-3320
Mauricio Noé, Co-Head of Europe
+44 208 148 1010
Miten Amin, Managing Director
+44 208 148 1002