issued unrated subordinated notes (see list below).
Carlyle Global Market Strategies Euro CLO 2015-3 is a cash flow collateralizedloan obligation (CLO) transaction securitizing a portfolio of primarily seniorsecured loans granted to speculative-grade European corporates. CELF AdvisorsLLP manages the transaction.
Under the transaction documents, the rated notes pay quarterly interest unlessthere is a frequency switch event. Following such an event, the notes wouldswitch to semiannual payment.
The portfolio's reinvestment period ends four years after the closing date,and the portfolio's maximum average maturity date is eight years after theclosing date.
At the end of the ramp-up period, we understand that the portfolio willrepresent a well-diversified pool of corporate credits, with a fairly uniformexposure to all of the credits. Therefore, we have conducted our credit andcash flow analysis by applying our criteria for corporate cash flowcollateralized debt obligations (CDOs; see "Global Methodologies AndAssumptions For Corporate Cash Flow And Synthetic CDOs," published on Sept.17, 2015).
In our cash flow analysis, we used the portfolio target par amount of €500million, the covenanted weighted-average spread (4.05%), the covenantedweighted-average coupon (5.50%), and the covenanted weighted-average recoveryrates at each rating level.
State Street Bank and Trust Co., Boston, MA is the bank account provider andcustodian. The participants' downgrade remedies are in line with our currentcounterparty criteria (see "Counterparty Risk Framework Methodology AndAssumptions," published on June 25, 2013).
The issuer is bankruptcy remote, in accordance with our European legalcriteria (see "Europe Asset Isolation And Special-Purpose EntityCriteria--Structured Finance," published on Sept. 13, 2013).
Following our analysis of the credit, cash flow, counterparty, operational,and legal risks, we believe our ratings are commensurate with the availablecredit enhancement for each class of notes.