Ratings Assigned To Halcyon Loan Advisors European Funding 2014#s Class A To F Reset Cash Flow CLO Notes

Stocks and Financial Services Press Releases Tuesday April 18, 2017 17:40
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 Halcyon Loan Advisors European Funding 2014 B.V.'s (Halcyon 2014) class A-R, B-R, C-R, D-R, E-R, and F-R notes. The unrated subordinated notes initially issued were not redeemed and remain outstanding with an extended maturity to match the newly issued notes (see list below).

The ratings assigned to Halcyon 2014's 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.

In our view, 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).

The application of our structured finance ratings above the sovereign criteria indicates that 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).

We consider that the transaction's legal structure is bankruptcy remote, in line with our legal criteria (see "Structured Finance: Asset Isolation And Special-Purpose Entity Methodology," published on March 29, 2016). 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. The proceeds from the issuance of these notes were used to redeem the existing class A, B, C, D, E, and F notes.

Halcyon 2014 is a European cash flow corporate loan collateralized loan obligation (CLO) securitization of a revolving pool, comprising euro-denominated senior secured loans and bonds issued mainly by European borrowers. Halcyon Loan Advisors (UK) LLP is the collateral manager.

The transaction is a reset of an existing transaction, which closed in 2014 (see " Ratings Assigned To European Cash Flow CLO Transaction Halcyon Loan Advisors European Funding 2014," published on Dec. 17, 2014).


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