NEW YORK--(BUSINESS WIRE)--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to two classes of notes (the “Notes”) issued by Credit Suisse ABS Repackaging Trust 2018-PS1 (“CSRT 2018-PS1”).
CSRT 2018-PS1 is a static cash flow CDO and will not allow for any reinvestments. The preliminary ratings reflect the initial credit enhancement levels of 30.0% for the Class A Notes and 10.0% for the Class B Notes. Additional enhancement is comprised of overcollateralization and interest rate tests for all Notes, excess spread, and a turbo payment that will amortize the Class A Notes beginning in the eighth year.
The collateral in CSRT 2018-PS1 will mainly consist of trust preferred securities (“TruPS”) and subordinated notes issued by community and regional banks and their holding companies along with a senior unsecured note issued by an insurance holding company. The obligors in the portfolio have a K-WARF of 194, which represents a weighted average portfolio assessment of approximately BBB. The total portfolio par amount is $271.99 million with exposures to 29 banks and one insurance company. The portfolio is expected to be fully ramped at closing.
KBRA analyzed the transaction using the General Rating Methodology for Asset-Backed Securities published on November 28, 2017 and incorporated the Global Insurer & Insurance Holding Company Rating Methodology and Global Bank and Bank Holding Company Rating Methodology for analyzing the underlying collateral obligations.
For complete details on the analysis, please see KBRA’s pre-sale report, Credit Suisse ABS Repackaging Trust 2018-PS1 Pre-Sale Report, which was published at www.kbra.com.
The preliminary ratings are based on information known to KBRA at the time of this publication. Information received subsequent to this release could result in the assignment of final rating that differ from the preliminary rating.
| Class | Preliminary Rating | Initial Principal Amount | ||||||
| Class A Notes | AA- (sf) | $190,393,000 | ||||||
| Class B Notes | B+ (sf) | $54,398,000 |
Representations & Warranties Disclosure
All Nationally Recognized Statistical Rating Organizations are required, pursuant to SEC Rule 17g-7, to provide a description of a transaction’s representations, warranties and enforcement mechanisms that are available to investors when issuing credit ratings. KBRA’s disclosure for this transaction can be found in the report available here.
Related Publications: (available at www.kbra.com)
- General Rating Methodology for Asset-Backed Securities
- Global Insurer & Insurance Holding Company Rating Methodology
- Global Bank and Bank Holding Company Rating Methodology
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KBRA is a full service credit rating agency registered with the U.S. Securities and Exchange Commission as an NRSRO. In addition, KBRA is recognized by the National Association of Insurance Commissioners as a Credit Rating Provider and 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.
