TEXT-S&P takes various rating actions in Euro-Galaxy II CLO
We have subjected the rated notes to various cash flow scenarios, incorporating different default patterns, as well as interest rate curves, to determine each tranche's break-even default rate at each rating level.
Following the developments in maturity and spread, and in light of our credit and cash flow analysis, we consider that the credit enhancement available to the class A, B, and C notes are now commensurate with higher ratings than we previously assigned. Accordingly, we have raised our ratings on these classes of notes to 'AA+ (sf)', 'AA- (sf)', and 'BBB+ (sf)' respectively.
Our credit and cash flow analysis indicates that the credit enhancement available to the class D notes remains commensurate with our current rating. Accordingly, we have affirmed our 'BB+ (sf)' rating on this class of notes.
Our rating on the class E notes is constrained by the application of our largest obligor default test (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Sept. 17, 2009). Therefore, we have lowered our rating on the class E notes to 'CCC+ (sf)'.
Morgan Stanley & Co. International PLC (A/Negative/A-1) currently provides currency hedging on approximately 10% of the transaction's collateral. We consider that the exposure to Morgan Stanley & Co. International is sufficiently limited so that the counterparty's failure to perform would not affect our ratings on class A and B notes. In our opinion, Morgan Stanley & Co. International is adequately rated to support our ratings on class C, D, and E notes (see "Counterparty Risk Framework Methodology And Assumptions," published on May 31, 2012).
Euro-Galaxy II CLO is a cash flow collateralized loan obligation (CLO) transaction that closed in August 2007. The portfolio of loans to speculative-grade European and U.S. corporate firms is managed by Pinebridge Investments Europe Ltd.
-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
-- Credit Rating Model: CDO Evaluator 6.0, March 19, 2012
-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Ratings Raised On Cash Flow CLO Transaction Euro-Galaxy II CLO's Class A To E Notes, May 19, 2011
-- Credit Rating Model: S&P Cash Flow Evaluator, Aug. 17, 2010
-- Credit Rating Model: Extreme Value Theory Foreign Exchange Model, Aug. 17, 2010
-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- Understanding Standard & Poor's Rating Definitions, June 3, 2009
-- The Use Of Rating-Based Haircuts In Event Of Default Overcollateralization Tests For CDOs, March 19, 2008
-- General Cash Flow Analytics For CDO Securitizations, Aug. 25, 2004
Euro-Galaxy II CLO B.V.
EUR415 Million Senior Secured Floating-Rate Notes
A AA+ (sf) AA (sf)
B AA- (sf) A (sf)
C BBB+ (sf) BBB (sf)
D BB+ (sf)
E CCC+ (sf) B+ (sf)
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