KBRA Assigns Preliminary Ratings to Cedar Crest 2021-2 LLC

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to seven classes of notes issued by Cedar Crest 2021-2 LLC (Cedar Crest 2021-2), a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated and middle market corporate loans.

Cedar Crest 2021-2 is serviced by Panagram Structured Asset Management LLC (“Panagram” or the “servicer”) and will have a two-year reinvestment period. The legal final maturity is on January 17, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.

The collateral in Cedar Crest 2021-2 will primarily consist of both middle market and broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $884.5 million with exposure to 45 obligors. The obligors in the portfolio have a K-WARF of 2736, which represents a weighted average portfolio credit assessment of approximately B to B-. 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.

Panagram is a wholly owned subsidiary of Eldridge Industries, LLC, a diversified holdings company established in 2015. Panagram currently has approximately $13.2 billion assets under management (as of September 30, 2021). This is Panagram’s third CLO.

The preliminary rating on the Class A-FL, A-FX, and B Notes considers the timely payment of interest and the ultimate payment of principal by the applicable stated maturity date, while the preliminary ratings on the Class C, D, E and F Notes consider ultimate payment of interest and principal by the applicable stated maturity date.

KBRA analyzed the transaction using Structured Credit Global Rating Methodology, as well as 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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