KBRA Assigns Ratings to Hildene TruPS Securitization 4, Ltd.

KBRA assigns ratings to three classes of notes issued by Hildene TruPS Securitization 4, Ltd. (Hitr 4), cash flow CDO managed by Hildene Structured Advisors, LLC (HSA), a relying advisor to Hildene Capital Management, LLC (Hildene).

Hitr 4 is a CDO of TruPS securities, surplus notes, and sub debt issued by community and regional banks and their holding companies along insurance companies and their holding companies. KBRA has public ratings on approximately half of the bank obligors in the portfolio and created credit estimates on the remaining. The K-WARF of the portfolio is 260, which is between BBB and BBB-, and the WAL is 12.3 years. Hitr 4 is a static transaction and will not allow for any reinvestments.

The ratings reflect the initial credit enhancement levels, coverage tests including overcollateralization ratio and interest coverage tests, excess spread, and a turbo payment that will amortize the Class A1 Notes beginning in the seventh year using 60% of the proceeds remaining in the interest waterfall prior to making a distribution to the Subordinated Notes. The legal final maturity is on the payment date in July 2042.

The ratings on the Class A1-A, Class A1-B, and Class A2 Notes consider the timely payment of interest and ultimate payment of 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.

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.

View source version on businesswire.com: https://www.businesswire.com/news/home/20220629005945/en/