Ratings Assigned To Carlyle Global Market Strategies Euro CLO 2015-1 After Refinancing

Stocks and Financial Services Press Releases Tuesday April 18, 2017 17:36
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 the class A1-A-R, A1-B-R, A2-A-R, A2-B-R, B-R, and C-R notes from Carlyle Global Market Strategies Euro CLO 2015-1 DAC, a collateralized loan obligation (CLO) managed by CELF Advisors LLP. At the same time, we have withdrawn our ratings on the class A1-A, A1-B, A2-A, A2-B, B, and C notes, and have affirmed our ratings on the class D and E notes (see list below).

The replacement notes were issued via a supplemental trust deed. The replacement notes were issued at a lower spread over Euro Interbank Offered Rate (EURIBOR) or lower fixed rate than the original notes they replace. The cash flow analysis demonstrates, in our view, that the replacement notes have adequate credit enhancement available to support higher ratings than those currently assigned.

The transaction has experienced overall stable performance since it closed in March 2015 (see "Ratings Assigned To Cash Flow CLO Transaction Carlyle Global Market Strategies Euro CLO 2015-1's Notes," published on March 12, 2015). The transaction's reinvestment period will end in April 2019, and all coverage ratios are well above the minimum triggers.

Based on the assumed pricing levels, the post-refinance structure has improved our cash flow results. However, we note that due to improved scenario default rates (SDRs), the transaction benefits from improved results even without taking into account the transaction's refinancing. The tables below show the improved performance of the transaction, which is in part attributable to the lower cost of funding.

On refinancing, the proceeds from the issuance of the replacement notes redeemed the original notes, upon which we withdrew the ratings on the original notes and assigned ratings to the replacement notes. Our final rating analysis incorporates the final pricing achieved on the notes and our analysis of any changes to the transaction's supporting documentation.

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