KBRA Assigns Rating to Ellington CLO IV, Ltd. In Connection with Refinancing

Kroll Bond Rating Agency (KBRA) assigns rating to one class of refinancing notes issued by Ellington CLO IV, Ltd. (Ellington IV), a cash flow collateralized loan obligation (CLO) which initially closed in March 2019. Ellington IV is being amended to refinance to the existing notes.

The original Class A, B, C, D-2, and E-2 Notes are being redeemed in accordance with the transaction documents which describe the note refinancing. KBRA’s rating on the original Class A Notes is being withdrawn in connection with the execution of the refinancing and redemption.

Ellington IV is managed by Ellington CLO Management, LLC (“Ellington” or the “collateral manager”) and is currently out of the reinvestment period. The legal final maturity is on April 15, 2029. The rating reflects credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.

The collateral in Ellington IV will mainly consist of broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $472.3 million with exposure to 114 obligors. The obligors in the portfolio have a K-WARF of 4028, which represents a weighted average portfolio credit assessment of approximately CCC+. KBRA has also considered the potential for near to medium term negative portfolio credit deterioration and the transactions sensitivity to macroeconomic shocks like that seen during the COVID-19 pandemic.

Ellington CLO Management, LLC is the CLO investing platform of Ellington Management Group. Ellington has $8.9 billion in assets under management as of February 2020. It was founded in 1994 and employs over 150 professionals including 65 portfolio management and research professionals.

The rating on the Class A-R 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, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.

Click here to view the report. To access ratings and relevant documents, click here.

Disclosures

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.

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

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.

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