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Rating Raised On Cash Flow CLO Transaction Strawinsky I’s Class D Notes Following Review; Class E Rating Affirmed

หน้าแรก > ข่าวธุรกิจ > Rating Raised On Cash Flow CLO Transaction Strawinsky I’s Class D Notes Following Review; Class E Rating Affirmed
ผู้โพส : Admin / วันที่โพส : 2018-08-10 13:15:08
คำค้นหา : Standard & Poor's Keyword: S&P S&P Global Ratings


Rating Raised On Cash Flow CLO Transaction Strawinsky I’s Class D Notes Following Review; Class E Rating Affirmed




          LONDON (S&P Global Ratings) Aug. 9, 2018--S&P Global Ratings today raised its credit rating on Strawinsky I PLC's class D notes. At the same time, we have affirmed our rating on the class E notes (see list below).
          Today's rating actions follow our assessment of the transaction's performance using data from the June 2018 trustee report and the application of our relevant criteria (see "Related Criteria"). 
          Based on the June 2018 report, the portfolio now only comprises one performing asset. As our corporate collateralized loan obligation (CLO) criteria do not cover a small concentration of corporate debt, we have applied these criteria as a starting point for our analysis (see "Criteria - Structured Finance - CDOs: Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Aug. 8, 2016). 
          We subjected the capital structure to a cash flow analysis to determine the break-even default rate (BDR) for each rated class at each rating level. The BDR represents our estimate of the maximum level of gross defaults, based on our stress assumptions, that a tranche can withstand and still fully repay the noteholders. In our analysis, we used the portfolio balance that we consider to be performing, the current weighted-average spread, and the weighted-average recovery rates, calculated in line with our corporate collateralized debt obligation (CDO) criteria. We applied various cash flow stresses, using our standard default patterns, in conjunction with different interest rate and currency stress scenarios.
          The aggregate collateral balance has decreased since our previous review, and in large part has been used to amortize and repay the rated classes of notes (see "Class D Notes In Cash Flow CLO Transaction Strawinsky I Upgraded After Performance Review; Class C And E Notes Affirmed," published on Feb. 28, 2017). The class C notes have been fully repaid and the class D notes have begun to amortize, with only EUR2.1 million remaining (representing less than 20% of the class D notes' initial balance). This has resulted in an increase in credit enhancement available to the class D notes.
          Strawinsky I's portfolio remains concentrated and comprises only one performing obligor, down from 11 at our previous review. This has also resulted in reduction in spread in the transaction needed to service the debt, which includes senior fees plus interest on the rated notes. With deleveraging, the cost of debt has increased in comparison to our previous review. 
          The transaction holds approximately EUR6.4 million of defaulted assets. In our view, the issuer will likely rely on the recovery proceeds from these defaults to pay off the transaction costs and the rated notes. 
          Our credit and cash flow analysis indicates that the class D notes can be rated higher than 'B- (sf)'. However, we concluded that this was driven by underlying cash flow assumptions, which consider corporate CLO criteria that are applicable to a well-diversified portfolio.
          For our analysis on the class D notes, we looked at the above developments when raising our rating to 'B- (sf)', rather than remaining in the 'CCC' rating category in accordance with our criteria (see "Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," published on Oct. 1, 2012). The issuer relies on one asset to service the transaction cost and pay down the notes. Furthermore, the transaction may further benefit if the issuer is able to generate recovery proceeds from the currently defaulted assets, resulting in increased available credit enhancement. Therefore, it is likely the class D notes would repay in full if the underlying asset does not default or incur a significant loss. 
          If, on the other hand, the only asset in the portfolio were to default, the class D notes would be exposed to the recovery value of this defaulted asset to be paid down after the payment of all senior expenses. Taking these factors into account, we have raised to 'B- (sf)' from 'CCC (sf)' our rating on the class D notes. 
          The class E notes continue to defer interest and are undercollateralized. In our view, there is a significant probability that these notes will not repay the entire principal amount due at maturity. We have therefore affirmed our 'CC (sf)' rating on the class E notes. 
          Strawinsky I is a cash flow CLO transaction that securitizes loans to primarily speculative-grade corporate firms. The transaction closed in August 2007 and its reinvestment period ended in August 2013. Dynamic Credit Partners Europe B.V. is the transaction's manager.
 
 
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