Ratings Assigned To European Cash Flow CLO Transaction Aqueduct 1-2017

Stocks and Financial Services Press Releases Thursday June 29, 2017 17:01
LONDON--29 Jun--S&P Global Ratings

LONDON (S&P Global Ratings) June 29, 2017--S&P Global Ratings today assigned   its credit ratings to Aqueduct European CLO 1-2017 DAC (Aqueduct 1-2017)'s   class A, B, C, D, E, and F notes (see list below).

The ratings assigned to Aqueduct 1-2017'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.The transaction's counterparty risks.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).

Following the application of our structured finance ratings above the sovereign criteria, we consider the transaction's exposure to country risk to be 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 "Structured Finance: 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.
Aqueduct 1-2017 is a broadly syndicated collateralized loan obligation (CLO) transaction managed by HPS Investment Partners CLO (UK), LLP, which is a wholly owned subsidiary of HPS Investment PartnersLLC.

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