KBRA assigns preliminary ratings to financial institution Note Securitization 2019-1 Ltd

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NEW YORK–(COMMERCIAL THREAD) – Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to two categories of notes (the “Notes”) issued by Financial Institution Note Securitization 2019-1 Ltd (“FINS 2019-1”).

FINS 2019-1 is a cash flow CDO that will be fully increased at close. Preliminary ratings reflect initial credit enhancement levels, coverage tests including overcollateralisation ratio and interest coverage tests for all Notes, and excess spread.

The collateral in FINS 2019-1 consists mainly of subordinated debt issued by community and regional banks and their holding companies, as well as trusted preferred securities and senior unsecured debt. The debtors in the portfolio have a K-WARF of 479, which represents a weighted average portfolio valuation of around BBB-. The total nominal amount of the portfolio is $ 250.45 million with exposures to 45 banks. KBRA has public ratings on three of the banks.

EJF CDO Manager LLC, a subsidiary of EJF Capital LLC (“EJF Capital”), is the collateral manager. EJF Capital is headquartered in Arlington, Virginia, and is a registered investment advisor with the SEC. Founded in 2005 by Manny Friedman and Neal Wilson, it has more than $ 7.3 billion in assets in a diverse group of alternative asset strategies for managed funds and separately managed accounts and $ 3.1 billion in ‘assets as collateral manager for existing securitizations. EJF Capital focuses on investment opportunities in financial institutions, which include banks, insurance companies, REITs and specialist finance companies.

Structure

To classify

Initial amount ($)

Coupon Bf. Return the date1

Spread Af. Return the date1.2

By Sub

Class A

180,200,000

3.900%

[3mL+2.607%]

28.05%

Class B

27,600,000

5.366%

[3mL+3.950%]

17.03%

Preferred shares

50,550,000

Residual

Residual

1 Modeled interest rates. The liability will float on 20/07/2024 (date of conversion of interest rates)

2 3mL = Libor at three months

KBRA analyzed this transaction using the Global structured credit rating methodology published on August 7, 2018 and Global structured finance counterpart methodology published on August 8, 2018 and incorporated the Rating methodology for global banks and bank holding companies to analyze the underlying guarantee obligations.

To classify

Preliminary assessment

Initial capital ($)

Class A

AA- (sf)

180,200,000

Class B

BBB- (sf)

27,600,000

To access assessments, reports and disclosures, click on 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 United States Securities and Exchange Commission as an NRSRO. In addition, KBRA is appointed as the designated rating agency by the Ontario Securities Commission for issuers of asset-backed securities to file a simplified prospectus or a shelf prospectus. KBRA is also recognized by the National Association of Insurance Commissioners as a credit rating provider and is a credit rating agency (CRA) certified by the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a rating agency.



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