Press Release

DBRS Morningstar Confirms Rating on the Class A Notes Issued by Signal Peak CLO 6, Ltd

Structured Credit
February 11, 2022

DBRS, Inc. (DBRS Morningstar) confirmed its rating of AAA (sf) on the Class A Notes (the Notes) issued by Signal Peak CLO 6, Ltd.

The rating on the Notes was issued pursuant to the Indenture, dated as of July 17, 2018, among Signal Peak CLO 6, Ltd as Issuer; Signal Peak CLO 6, LLC as Co-Issuer; and U.S. Bank National Association (rated AA (high) with a Stable trend by DBRS Morningstar) as Trustee.

The rating on the Notes addresses the timely payment of interest and the ultimate payment of principal in accordance with the terms of the Indenture referred to above.

The Notes are collateralized primarily by a portfolio of U.S. senior secured floating-rate broadly syndicated corporate loans. The collateralized loan obligation (CLO) is managed by ORIX Advisers LLC (ORIX), a wholly owned subsidiary of Mariner Investment Group, LLC, as Collateral Manager. DBRS Morningstar considers ORIX to be an acceptable CLO manager.

DBRS Morningstar confirmed the rating on the Notes pursuant to the application of its “Rating CLOs and CDOs of Large Corporate Credit,” “Cash Flow Assumptions for Corporate Credit Securitizations,” and “Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits” methodologies (collectively, the DBRS Morningstar CLO Methodologies). DBRS Morningstar will continue to monitor the rating in accordance with the DBRS Morningstar CLO Methodologies.

Accordingly, the above DBRS Morningstar rating reflects the following primary considerations:

(1) DBRS Morningstar’s application of its DBRS Morningstar CLO Methodologies, which set forth key analytical considerations and applicable analytics used when DBRS Morningstar assigns and monitors credit ratings.
(A) DBRS Morningstar uses a predictive model (the CLO Asset Model; to determine a ratings-based pool default rate (the Stressed Default Rate) that can be equated with a certain credit rating. Based on inputs into the predictive model, such as obligor credit quality, obligor and industry diversification, and term to maturity, the predictive model then generates a level of cumulative default stress appropriate for each rating category.
(B) DBRS Morningstar then performs cash flow analysis using a proprietary cash flow engine, which incorporates inputs, such as the Stressed Default Rate, as well as assumptions relating to principal amortization, amount of interest generated, default timing, recoveries, and movement in interest rate curves, among other considerations. The output of this cash flow analysis is referred to as the breakeven default rate (BDR).
(C) DBRS Morningstar assigns ratings based on a comparison of the BDR result of the cash flow analysis with the Stressed Default Rate output from the default probability model.

(2) DBRS Morningstar notes that a legal analysis, which included, but was not limited to, legal opinions and various transaction documents, was performed by Morningstar Credit Ratings, LLC (MCR), a former credit rating affiliate of DBRS Morningstar. MCR also engaged external counsel as part of its process of assigning new ratings to the CLOs on or prior to the closing date. DBRS Morningstar did not perform additional legal analysis for the purpose of assigning or monitoring ratings to the Notes, unless otherwise indicated in this press release.

(3) The Indenture, dated as of July 17, 2018, as amended from time to time.

(4) The integrity of the transaction structure.

(5) DBRS Morningstar’s assessment of the portfolio quality.

(6) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios.

(7) DBRS Morningstar’s assessment of the origination, servicing, and CLO management capabilities of ORIX as CLO Collateral Manager.

(8) DBRS Morningstar reviewed key transaction performance indicators reported in periodic remittance reports since the closing date.

For more information regarding DBRS Morningstar’s additional adjustment for select industries related to the coronavirus, please see its May 18, 2020, commentary, “CLO Risk Exposure to the Coronavirus Disease (COVID-19)” at

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework can be found in the DBRS Morningstar Criteria: Approach to Environmental, Social, and Governance Risk Factors in Credit Ratings at

All figures are in U.S. dollars unless otherwise noted.

The principal methodologies are Rating CLOs and CDOs of Large Corporate Credit (January 26, 2022) and Cash Flow Assumptions for Corporate Credit Securitizations (January 26, 2022), which can be found on under Methodologies & Criteria.

The DBRS Morningstar Sovereign group releases baseline macroeconomic scenarios for rated sovereigns. DBRS Morningstar analysis considered impacts consistent with the baseline scenarios as set forth in the following report:

The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.

For more information on this credit or on this industry, visit or contact us at [email protected].

DBRS, Inc.
140 Broadway, 43rd Floor
New York, NY 10005 USA
Tel. +1 212 806-3277