KBRA Assigns Ratings to Refinancing Notes of Silver Rock CLO II, Ltd.
7 Mar 2025 | New York
KBRA assigns ratings to four classes of refinancing debt from Silver Rock CLO II, Ltd. ("Silver Rock CLO II"), a cash flow collateralized loan obligation (CLO) backed primarily by a diversified portfolio of broadly syndicated senior secured term loans to corporate borrowers.
On March 7, 2025, the transaction executed a partial refinancing of the existing Class A, B-1, C, D, and E Notes, which were fully redeemed using the proceeds from the issuance of the Class A-R, B-1-R, C-1-R, C-2-R, D-1-R, D-2-R, and E-R Notes. As a result of the partial refinancing, KBRA assigns ratings to the Class A-R, D-1-R, D-2-R, and E-R Notes. KBRA concurrently withdraws ratings on the Class A, D, and E Notes that were refinanced.
Silver Rock CLO II is currently a $416.1 million cash flow CLO managed by Silver Rock Management LLC. The CLO originally closed on December 16, 2021. The notes were collateralized by a $400.0 million portfolio of broadly syndicated senior secured term loans to corporate borrowers at closing. The current collateral portfolio has a K-WARF of 2446. The CLO has approximately 1.75 years remaining in the reinvestment period. The refinancing notes will have a one-year non-call period for optional redemption.
The rated notes benefit from internal credit enhancement through subordination, overcollateralization, and excess spread. The priority of interest payments includes an excess cash sweep for the deferrable Class D-1-R, D-2-R, and E-R Notes. Prior to the partial refinancing date, the original Class D Notes had repaid $25.4 million, or 57.7% of the initial principal balance, from excess interest proceeds. The issuance of the Class D-2-R Notes will re-lever the transaction and will set the post-refinancing credit enhancement levels close to those of the original closing structure.
KBRA's rating on the Class A-R Notes consider timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s ratings on the Class D-1-R, D-2-R, and E-R Notes consider ultimate payment of interest and principal by the applicable stated maturity date.
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