TEXT-S&P Raises 1, Affirms 5 Ratings From Schiller Park CLO Ltd.
-- We raised our rating on the class C notes from Schiller Park CLO Ltd., a cash flow CLO transaction, and removed it from CreditWatch positive.
-- At the same time, we affirmed and removed our ratings on four other classes from CreditWatch positive.
-- We also affirmed our rating on the transaction's class A-1-A notes.
-- The upgrade reflects the improved credit quality available to support the notes.
NEW YORK (Standard & Poor's) Jan. 17, 2013--Standard & Poor's Ratings Services today raised its rating on the class C notes from Schiller Park CLO Ltd., a collateralized loan obligation transaction managed by Deerfield Capital Management LLC, and removed it from CreditWatch with positive implications, where we placed it on Oct. 29, 2012. At the same time, we affirmed and removed the ratings on the class A-1-B, A-2, B, and D notes from CreditWatch positive. We also affirmed our 'AAA (sf)' rating on the class A-1-A notes from the transaction (see list).
This transaction is currently in its reinvestment phase and will begin to amortize in April 2013.
Today's upgrade reflects the improved credit quality since our December 2011 review. The 'CCC' rated assets have decreased to $6.6 million, per the December 2012 trustee report, from $18.1 million in the November 2011 trustee report (which we used in our December 2011 review). The weighted-average spread also increased to 4.55% from 4.12% since our review. Due to these and other factors, the overcollateralization ratio for the class B notes has increased.
The affirmations reflect the availability of adequate credit support at the current rating levels.
We will continue to review our ratings on the notes and assess whether, in our view, the ratings remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary.
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 Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at ""
RELATED CRITERIA AND RESEARCH Related Criteria
-- Principles Of Credit Ratings, Feb. 16, 2011
-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- Application Of Supplemental Tests For Rating Global Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- General Criteria: Understanding Standard & Poor's Rating Definitions, June 3, 2009
-- CDO Spotlight: General Cash Flow Analytics For CDO Securitizations, Aug. 25, 2004 Related Research
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
RATING AND CREDITWATCH ACTIONS
Schiller Park CLO Ltd.
Class To From
A-1-B AA+ (sf) AA+ (sf)/Watch Pos
A-2 AA+ (sf) AA+ (sf)/Watch Pos
B AA (sf) AA (sf)/Watch Pos
C A (sf) A- (sf)/Watch Pos
D BBB (sf) BBB (sf)/Watch Pos
Schiller Park CLO Ltd.
A-1-A AAA (sf)
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