KBRA Assigns Ratings to Deerpath Newbury Partners LLC

NEW YORK–(BUSINESS WIRE)–Kroll Bond Rating Agency (KBRA) assigns ratings to two classes of notes issued by Deerpath Newbury Partners LLC (Deerpath Newbury), a delayed-drawn cash flow middle market collateralized loan obligation (CLO) that will originate and purchase middle market senior secured loans after closing.

Deerpath Newbury is managed by Deerpath Capital Management, LP (the investment manager) and will have a five-year reinvestment period. The legal final maturity is on Oct. 20, 2032. The ratings reflect initial credit enhancement levels, excess spread, coverage tests including two levels overcollateralization ratio and interest coverage tests.

The portfolio will begin ramping middle market senior secured term loans to corporate borrowers after the closing date. The notes will fund in a reverse sequential manner (initially via the Subordinated Notes and sequentially up through the Class A Notes). As debt is drawn to ramp the portfolio to the target $72.25 million, a pre-determined matrix will govern minimum portfolio credit quality (K-WARF), weighted-average spread (WAS), and weighted-average recovery rate (WARR) of the portfolio. While COVID-19 may impact overall credit quality over time, each individual portfolio acquisition will be tested against the matrix.

Deerpath Capital Management, LP is a non-bank lending institution and middle market CLO collateral manager founded in 2007. Since 2009, Deerpath has deployed over $3 billion in capital across 400 investments, and currently manages approximately $600 million in loan assets across two reinvesting middle market CLOs. The management team has a strong track record and an investment strategy which focuses on originating low-levered first lien senior secured loans to sponsor-backed borrowers.

KBRA’s rating on the Class A notes considers timely payment of interest and ultimate payment of principal by the applicable stated maturity date. KBRA’s rating on the Class B notes considers ultimate payment of interest and principal by the applicable stated maturity date.

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.

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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.

Contacts

Analytical Contacts

Sean Malone, CFA, Senior Director (Lead Analyst)

+1 (646) 731-2436

smalone@kbra.com

Steven Zheng, Senior Analyst

+1 (646) 731-3379

szheng@kbra.com

George Lyons, CFA, Senior Director

+1 (646) 731-3314

glyons@kbra.com

Eric Hudson, Senior Managing Director (Rating Committee Chair)

+1 (646) 731-3320

ehudson@kbra.com

Business Development Contact

Jason Lilien, Managing Director

+1 (646) 731-2442

jlilien@kbra.com

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