KBRA Europe Places Seven SBOLT Classes of Notes On Watch Owing To COVID-19 Performance Concerns

Kroll Bond Rating Agency Europe Limited (KBRA) places three classes of Small Business Origination Loan Trust 2018-1 DAC (“SBOLT 2018-1”) on Watch Developing and four classes of Small Business Origination Loan Trust 2019-1 DAC (“SBOLT 2019-1”) on Watch Downgrade. The Watch Placements are owing to the economic effects of the coronavirus disease (COVID-19).

Small businesses in the United Kingdom (UK) are directly impacted by COVID-19 containment measures and their actions are contributing to a broader economic slowdown. Businesses have responded to the slower economic activity and reduced revenue by cutting costs, laying off staff, or closing their doors temporarily (in many cases being forced to do so). Because of these recent and ongoing events, KBRA expects the two referenced transactions to be negatively impacted.

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Related Publications

• Small Business Origination Loan Trust (SBOLT) transactions, 2018-1 DAC and 2019-1 DAC Surveillance Report (March 2020)
• Small Business Origination Loan Trust 2018-1 DAC (SBOLT 2018-1) Surveillance Report (May 2019)
• Small Business Origination Loan Trust 2019-1 DAC New Issue Report (April 2019)
• Small Business Origination Loan Trust 2018-1 DAC New Issue Report (May 2018)

Disclosures

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 EU Information Disclosure Form located here and here.

Information on the meaning of each rating category can be located here.

Further disclosures relating to this rating action are available in the EU Information Disclosure Form referenced above. Additional information regarding KBRA policies, methodologies, rating scales and disclosures are available at www.kbra.com.

About KBRA Europe

KBRA Europe is a full-service credit rating agency (CRA) registered with the European Securities and Markets Authority (ESMA). Kroll Bond Rating Agency, Inc. (KBRA) is a CRA registered as an NRSRO with the U.S. Securities and Exchange Commission and is a certified CRA with ESMA. KBRA is also recognized by the U.S. National Association of Insurance Commissioners as a Credit Rating Provider and 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. Kroll Bond Rating Agency Europe Limited is located at 6-8 College Green, Dublin 2, Ireland.

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