TEXT-S&P Assigns CIT CLO 2012-1 Ltd. Notes Preliminary Ratings
NEW YORK (Standard & Poor's) Dec. 17, 2012--Standard & Poor's Ratings Services today assigned its preliminary ratings to CIT CLO 2012-1 Ltd.'s $207.54 million floating-rate notes (see list). The note issuance is a collateralized loan obligation securitization backed by a static pool consisting primarily of broadly syndicated and middle-market senior secured loans. The preliminary ratings are based on information as of Dec. 17, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
-- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the preference shares.
-- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (not counting excess spread), and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009).
-- The transaction's legal structure, which is expected to be bankruptcy remote.
-- The diversified collateral portfolio, which consists primarily of broadly syndicated and middle-market speculative-grade senior secured term loans.
-- The timely interest and ultimate principal payments on the preliminary rated notes, which we assessed using our cash-flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-13.84%.
-- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the rated notes outstanding. STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at
RELATED CRITERIA AND RESEARCH Related Criteria
-- Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012
-- Methodology For Analyzing Rating Confirmation Requests To Establish Subsidiary Special-Purpose Entities in CDOs, Dec. 9, 2009
-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- Surveillance Methodology For Global Cash Flow And Hybrid CDOs Subject To Acceleration Or Liquidation After An EOD, Sept. 2, 2009
-- The Use Of Rating-Based Haircuts In Event Of Default Overcollateralization Tests For CDOs, March 19, 2008
-- Qualification And Treatment Of Current-Pay Obligations In Global Cash Flow CLOs, July 11, 2007
-- CDO Spotlight: Update To General Cash Flow Analytics Criteria For CDO Securitizations, Oct. 17, 2006
-- Structured Finance Criteria Introduced For Cayman Islands Special-Purpose Entities, July 18, 2002
-- Global Cash Flow And Synthetic CDO Criteria: The CDO Product, March 21, 2002 Related Research
-- Presale: CIT CLO 2012-1 Ltd., Dec. 17, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- CDO Spotlight: Standard & Poor's Surveillance Process For Monitoring U.S. Cash Flow CLO Transactions, April 14, 2011
PRELIMINARY RATINGS ASSIGNED CIT CLO 2012-1 Ltd. Class Rating Amount (mil. $) A AAA (sf) 172.68 B AA (sf) 17.43 C (deferrable) A (sf) 17.43 Preference shares NR 109.30 NR--Not rated. Primary Credit Analyst: Jaiho Cho, New York (1) 212-438-1000; firstname.lastname@example.org Secondary Contact: Alexander Dennis, CFA, Chicago (1) 312-233-7069; email@example.com Analytical Manager, U.S. Structured Credit New Issuance: Winston W Chang, New York (1) 212-438-1000; firstname.lastname@example.org
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