KBRA Assigns Preliminary Ratings to Maranon Loan Funding 2020-1, Ltd.

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of notes and one class of loans issued by Maranon Loan Funding 2020-1, Ltd. (Maranon 2020-1), a cash flow collateralized loan obligation (CLO) back by a diversified portfolio of middle market corporate loans.

Maranon 2020-1 is managed by Maranon Capital, L.P. (Maranon or the collateral manager) and will have a three-year reinvestment period. The legal final maturity is on Jan. 15, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.

The collateral in Maranon 2020-1 will mainly consist of middle market leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $350 million with exposure to 60 obligors. The obligors in the portfolio have a K-WARF of 2967, which represents a weighted average portfolio assessment of approximately B-. Due to the economic fallout from COVID-19, we expect pressure on overall portfolio credit quality. As such, it is likely that the portfolio’s K-WARF will increase in the near term. KBRA considered the impact of potential credit migration.

Maranon Capital, L.P. is a private credit and CLO manager established in 2007 and subsidiary of Eldridge Industries, LLC. As of September 30, 2020, Maranon has raised approximately $5.2 billion in private credit capital, including $1.7 billion across 4 U.S. middle market CLOs. The senior management has extensive industry experience.

The preliminary ratings on the Class A Notes, Class A-L Loans, Class B-1 Notes, and Class B-2 Notes consider the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the preliminary ratings on the Class C and D Notes consider the ultimate payment of interest and principal.

KBRA analyzed the transaction using Structured Credit Global Rating Methodology published on November 19, 2020 and the Global Structured Finance Counterparty Methodology published on August 8, 2018.

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

Related Publications

• Structured Credit 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 U.S. Information Disclosure Form 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 U.S. Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA

KBRA is a full-service credit rating agency registered as an NRSRO with the U.S. Securities and Exchange Commission. 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 and is a certified Credit Rating Agency (CRA) with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency Europe Limited is registered with ESMA as a CRA.

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