Ratings Assigned To Reset Cash Flow CLO Transaction Jubilee CLO 2014-XI

Stocks and Financial Services Press Releases Tuesday April 18, 2017 17:45
LONDON--18 Apr--S&P Global Ratings

LONDON (S&P Global Ratings) April 18, 2017--S&P Global Ratings today assigned its credit ratings to Jubilee CLO 2014-XI B.V.'s (Jubilee XI) class X, A-R, B-R, C-R, D-R, E-R, and F-R notes (see list below). The unrated subordinated notes initially issued were not redeemed at closing and remain outstanding, with an extended maturity to match thenewly issued notes.

The ratings assigned to the notes reflect our assessment of:

The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests.The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization.

The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading.

The transaction's legal structure, which is bankruptcy remote.We consider that the transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).

Under our structured finance ratings above the sovereign criteria, the transaction's exposure to country risk is limited at the assigned rating levels, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria (see "Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions," published on Aug. 8, 2016).

The transaction's legal structure is bankruptcy remote, in line with our legal criteria (see "Asset Isolation And Special-Purpose Entity Methodology," published on March 29, 2017). Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for each class of notes.

Jubilee XI is a European cash flow corporate collateralized loan obligation (CLO) securitization of a revolving pool, comprising euro-denominated senior secured loans and bonds issued mainly by European borrowers. Alcentra Ltd. is the collateral manager.


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