TEXT-S&P rates WhiteHorse VI notes
OVERVIEW -- WhiteHorse VI Ltd./WhiteHorse VI LLC's issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. -- We assigned our ratings to the class A and B notes. -- The ratings reflect our view of the transaction's credit enhancement, legal structure, and diversified collateral portfolio, among other factors. NEW YORK (Standard & Poor's) Jan. 18, 2013--Standard & Poor's Ratings Services today assigned its ratings to WhiteHorse VI Ltd./WhiteHorse VI LLC's $379.5 million floating-rate notes (see list). The note issuance is a collateralized loan obligation securitization (CLO) backed by a revolving pool consisting primarily of broadly syndicated senior-secured loans. The ratings reflect our view of: -- The credit enhancement provided to the rated notes through the subordination of cash flows that are payable to the subordinated notes. -- 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. -- The transaction's legal structure, which we expect to be bankruptcy-remote. -- The diversified collateral portfolio, which consists primarily of broadly syndicated, speculative-grade, senior secured term loans. -- The asset manager's experienced management team. -- The timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.3105%-13.8391%. -- 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. -- The transaction's reinvestment overcollateralization test, a failure of which will lead to the reclassification of excess interest proceeds that are available prior to paying uncapped administrative expenses and fees, collateral manager incentive fees, and subordinated note payments to principal proceeds for the purchase of additional collateral assets during the reinvestment period. 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 -- Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions, Feb. 21, 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 -- Structured Finance Criteria Introduced For Cayman Islands Special-Purpose Entities, July 18, 2002 Related Research -- Presale: WhiteHorse VI Ltd./WhiteHorse VI LLC, 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 RATINGS ASSIGNED WhiteHorse VI Ltd./WhiteHorse VI LLC Class Rating Amount A-1L AAA (sf) 262.5 A-2L AA (sf) 36.0 A-3L (deferrable) A (sf) 36.0 B-1L (deferrable) BBB (sf) 18.5 B-2L (deferrable) BB- (sf) 17.5 B-3L (deferrable) B (sf) 9.0 Subordinated notes NR 36.0 NR--Not rated.
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