Press Release|Structured Credit
View PDF

KBRA Affirms the Ratings for Silver Rock CLO II, Ltd.

27 Sep 2024   |   New York

Contacts

KBRA affirms three ratings of the notes issued by Silver Rock CLO II, Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of broadly syndicated senior secured leveraged loans. Since the transaction closed, the rated notes have received timely distributions of interest payments.

Silver Rock CLO II, Ltd. is a $402.5 million cash flow CLO managed by Silver Rock Management LLC. The notes were collateralized by a $400.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing.

The CLO was closed in December 2021 and currently has approximately 2.4 years remaining in the reinvestment period. The ratings reflect current credit enhancement levels, excess spread, and coverage tests.

As of the August 2024 trustee report, the aggregate principal balance of collateral obligations is $406.1 million, and there is a negative principal proceed of $6.4 million. There is one defaulted obligation in the portfolio. The adjusted collateral principal balance of the transaction is $400.3 million. The transaction is in compliance with all portfolio profile tests. The current portfolio K-WARF is 2562, which represents a weighted average portfolio credit assessment of around B.

To access rating and relevant documents, click here.

Click here to view the report.

Related Publication

Methodologies

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: 1006146

CONNECT WITH KBRA
805 Third Avenue
29th Floor
New York, NY 10022
+1 (212) 702-0707
Contact Us

© 2010-2025 Kroll Bond Rating Agency, LLC. All Rights Reserved. Kroll Bond Rating Agency, LLC is not affiliated with Kroll Inc., Kroll Associates Inc., KrollOnTrack Inc., or their affiliated businesses.

Sitemap•Terms of Use•Privacy Notice•Cookie Policy••Regulatory