Ratings Affirmed In European Cash Flow CLO Transaction Lingfield 2014 I Following Review

Stocks and Financial Services Press Releases Friday August 18, 2017 17:00
LONDON--18 Aug--S&P Global Ratings
OVERVIEW
  • We have reviewed Lingfield 2014 I's performance following the extension of the reinvestment period.
  • Following our review, we have affirmed our ratings on the class A and B notes.
  • Lingfield 2014 I is a cash flow CLO transaction securitizing a portfolio of British pound sterling-denominated term loans, and revolving and delayed drawn facilities, originated by Lloyds Bank.
LONDON (S&P Global Ratings) Aug. 18, 2017--S&P Global Ratings today affirmed its credit ratings on Lingfield 2014 I PLC's class A and B notes (see list below).

In July 2017, Lloyds Bank PLC (the originator) extended the length of the replenishment period by three years, to July 2020. In our analysis, we have assumed that assets maturing before the end of the replenishment period will be reinvested in similar assets for an additional 3.5 years (i.e., the maximum portfolio weighted-average life according to the documented replenishment criteria).

Disregarding other changes in the portfolio, the extension of the replenishment period was detrimental to the scenario default rates, which increased by 7.5% and 6.8% at the 'A-' and 'BBB' levels, respectively.

In contrast, the extension of the replenishment period improved the break-even default rates (BDRs) as the notes benefit from more excess spread. Disregarding other changes in the portfolio, the BDRs increased by 1.2% for class A notes in a 'A-' scenario and by 1.1% for the class B notes in a 'BBB' scenario.

The portfolio has not experienced any asset default since closing in December 2014.

Lingfield 2014 I is a cash flow collateralized loan obligation (CLO) transaction securitizing a portfolio of British pound sterling-denominated term loans, and revolving and delayed drawn facilities, originated by Lloyds Bank. The transaction closed in December2014.


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