KBRA Assigns Preliminary Ratings to Guggenheim MM CLO 2021-3, Ltd.

Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to five classes of notes issued by Guggenheim MM CLO 2021-3, Ltd., a cash flow collateralized loan obligation (CLO) backed by a diversified portfolio of middle market and broadly syndicated corporate loans.

Guggenheim MM CLO 2021-3, Ltd. is managed by Guggenheim Corporate Funding, LLC (“GCF” or the “collateral manager”). The deal will have a four-year reinvestment period. The legal final maturity is on January 21, 2034. The ratings reflect initial credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.

The collateral will mainly consist of a mix of middle market and broadly syndicated leveraged loans issued by corporate obligors diversified across sectors. The total portfolio par amount is $400.0 million with exposure to 165 obligors. The obligors in the portfolio have a K-WARF of 3123, which represents a weighted average portfolio credit assessment of approximately B-. KBRA has also considered the potential for near to medium term negative portfolio credit deterioration.

Guggenheim Corporate Funding, LLC, (“GCF”), the registered investment advisor that focuses on private debt origination (and together with other affiliates, "Guggenheim Investments") will act as collateral manager for this transaction. As of June 30, 2021, Guggenheim Investments had more than $255 billion in assets under management (AUM), including $221 billion of fixed income AUM.

On the closing date, the Issuer is expected to merge with the Warehouse Borrower, Hobson Capital, LLC, a middle market loan warehouse managed by the collateral manager which initially closed in December 2019. KBRA maintains current ratings on the warehouse, which were affirmed in December 2020. The closing date merger contemplates the termination of the warehouse agreement and payment in full of all outstanding notes. As such, we expect to withdraw the ratings on Hobson Capital, LLC on the closing date.

The preliminary rating on the Class A and B Notes considers the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the preliminary ratings on the Class C, D, and E Notes consider the ultimate payment of interest and principal.

KBRA analyzed the transaction using the Structured Credit Global Rating Methodology, the Global Structured Finance Counterparty Methodology, and the ESG Global Rating Methodology.

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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 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.

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