Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to two classes of notes issued by Insurance Private Credit I LLC (IPC I LLC), a direct lending facility that will originate and purchase middle market senior secured loans.
IPC I LLC is managed by Goldman Sachs Asset Management, L.P. (GSAM L.P. or the collateral manager) and will have a three-year reinvestment period. The legal final maturity is on May 17, 2034. The ratings reflect expected credit enhancement levels, excess spread, and coverage tests including overcollateralization ratio and interest coverage tests.
The portfolio will begin ramping primarily middle market senior secured term loans to corporate borrowers after the closing date. The convertible Subordinated Notes may be drawn upon after closing and prior to the Conversion Date. On the Conversion Date, the convertible Subordinated Notes will be converted into a principal amount of Class A and B Notes according to the Target Debt Ratio. Afterward, the structure will be drawn upon on a pro-rata basis to ramp the portfolio further. As debt is drawn to ramp the portfolio, a set of pre-determined tests will govern minimum portfolio credit quality (K-WARF), weighted-average spread (WAS), and weighted-average recovery rate (WARR) of the portfolio. While macroeconomic conditions may impact overall credit quality over time, each individual portfolio acquisition will be tested against the collateral quality tests.
GSAM L.P., through the GSAM Private Credit Group, is a middle market lender which has approximately $10.0 billion in capital under management and has invested in approximately 240 portfolio companies since inception.
The preliminary rating on the Class A Notes considers the timely payment of interest and ultimate payment of principal by the applicable stated maturity date, while the preliminary rating on the Class B Notes consider the ultimate payment of interest and principal.
KBRA analyzed the transaction using Structured Credit Global Rating Methodology and the Global Structured Finance Counterparty Methodology.
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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.
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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Sean Malone, CFA, Senior Director (Lead Analyst)
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Kathy Song, CFA, Associate Director
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George Lyons, Senior Director
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Eric Hudson, Senior Managing Director (Rating Committee Chair)
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Jason Lilien, Senior Managing Director
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