KBRA assigns preliminary ratings to four classes of notes issued by Anchorage Credit Funding 17, Ltd. (“Anchorage 17”), a cash flow collateralized debt obligation backed by a diversified portfolio of broadly syndicated corporate loans and high yield bonds.

Anchorage 17 is a $305.1 million cash flow collateralized debt obligation managed by Anchorage Collateral Management, LLC (“Anchorage” or the “collateral manager”). Proceeds from the issuance of the notes will be used to purchase a $300.0 million portfolio of broadly syndicated senior secured term loans and high yield bonds to corporate borrowers.

The deal will have a 5-year reinvestment period and the portfolio’s credit quality will be governed by a KBRA Asset Quality Matrix alongside KBRA’s Portfolio Analysis Tool (K-PAT). The legal final maturity is on October 22, 2042. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.

The collateral in Anchorage 17 will mainly consist of broadly syndicated leveraged loans and high yield bonds issued by corporate obligors diversified across sectors. The total portfolio par amount is $300.0 million with exposure to 186 obligors. The obligors in the portfolio have a K-WARF of 2564, which represents a weighted average portfolio credit assessment of approximately B / B-.

Anchorage, founded in 2003, is a global credit platform with over $22.5 billion in combined assets under management across evergreen funds, drawdown funds, CLOs & CDOs, and custom funds/accounts. This includes the performing credit and collateralized loan and debt obligation (“CLO/CDO”) platform, launched in 2012, which currently has $16.9 billion in structured credit AUM across 39 U.S. CLOs & CDOs and €2.9 billion AUM in 7 European CLOs. The CDOs managed by Anchorage are typically backed by a mix of corporate senior secured leveraged loans and high yield bonds.

The rating on the Class A Notes considers timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s ratings on the Class D-2, Class E and Class F Notes consider ultimate payment of interest and principal by the applicable stated maturity date.

KBRA analyzed the transaction using the Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.

To access rating and relevant documents, click here.

Click here to view the report.

Related Publication

• Anchorage Credit Funding 17, Ltd. Representations and Warranties Disclosure

Methodologies

• Structured Credit: Structured Credit Global Rating Methodology
• Structured Finance: Global Structured Finance Counterparty Methodology
• ESG Global Rating Methodology

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. 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.

Doc ID: 1006248

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