Nov 20 -
-- We have reviewed the performance of Green Park CDO by applying our
relevant criteria and conducting our credit and cash flow analysis.
-- Following our review, we have affirmed our ratings on the class A, B,
C, D, and E notes.
-- Green Park CDO is a cash flow collateralized loan obligation (CLO)
transaction that securitizes loans to primarily speculative-grade corporate
Standard & Poor's Ratings Services today affirmed its credit ratings on all rated classes of
notes in Green Park CDO B.V. (see list below).
Today's rating actions follow our assessment of the transaction's performance
using data from the latest available trustee report in addition to our credit
and cash flow analysis. We have taken into account recent developments in the
transaction and reviewed it under our relevant criteria.
Following our analysis, we have observed that the proportion of assets rated
in the 'CCC' category (i.e., rated 'CCC+', 'CCC', or 'CCC-') has decreased to
2.10% of the remaining pool, from 6.08% at the last review (see "Ratings
Raised On Green Park CDO's Class A, B, C, D, And E Notes Due To Increased
Credit Enhancement", published on Oct. 20, 2011). Over the same period, the
percentage of defaulted assets has increased to 2.40% from 0.00%. The credit
enhancement has slightly decreased for all rated classes of notes. The
transaction now has a shorter weighted-average life of 4.33 years and a higher
weighted-average spread of 4.025%.
We subjected the transaction's capital structure to a cash flow analysis to
determine the break-even default rate for each rated class at each rating
level. We incorporated various cash flow stress scenarios, using various
default patterns, in conjunction with different interest stress scenarios. The
transaction has material exposure to assets in Spain (BBB-/Negative/A-3),
Ireland (BBB+/Negative/A-2), and Italy (BBB+/Negative/A-2). We have therefore
applied additional stresses on assets in those countries (see "Nonsovereign
Ratings That Exceed EMU Sovereign Ratings: Methodology And Assumptions",
published on June 14, 2011) in our 'AAA' scenario. Following this analysis, we
have affirmed our ratings on the class A notes at 'AA+ (sf)', on the class B
notes at 'AA (sf)', and on the class C notes at 'A (sf)'.
Our ratings on the class D and E notes are constrained by the application of
the largest obligor test, a supplemental test that we introduced in our 2009
cash flow collateralized debt obligation (CDO) criteria (see "Update To Global
Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs,"
published on Sept. 17, 2009). This test addresses event and model risk that
might be present in the transaction. Although the break-even default rates
generated by our cash flow model indicated higher ratings, the largest obligor
test effectively capped the ratings on the class D notes at 'BB+ (sf)', and on
the class E notes at 'B+ (sf)'. We have therefore affirmed our ratings on the
class D and E notes at those levels.
The Bank of New York Mellon (AA-/Negative/A-1+) acts as an account bank and
custodian. In our view, the counterparty is appropriately rated to support the
ratings on these notes (see "Counterparty Risk Framework Methodology And
Assumptions," published on May 31, 2012).
Green Park CDO entered into a number of derivative agreements to mitigate
currency risks in the transaction. We consider that the documentation for
these derivatives does not fully comply with our 2012 criteria. Therefore, in
our cash flow analysis for scenarios above 'AA-', we have applied additional
foreign exchange stresses.
Green Park CDO is a cash flow collateralized loan obligation (CLO) transaction
that securitizes loans to primarily speculative-grade corporate firms.
RELATED CRITERIA AND RESEARCH
All articles listed below are available on RatingsDirect on the Global Credit
-- S&P Announcement: CDO Evaluator Version 6.0.1 Released, Aug. 7, 2012
-- 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 Green Park CDO's Class A, B, C, D, And E Notes Due
To Increased Credit Enhancement, Oct. 20, 2011
-- Nonsovereign Ratings That Exceed EMU Sovereign Ratings: Methodology
And Assumptions, June 14, 2011
-- Credit Rating Model: S&P Cash Flow Evaluator, 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
-- General Cash Flow Analytics for CDO Securitizations, Aug. 25, 2004
Green Park CDO B.V.
EUR462.6 Million Senior Secured Floating-Rate Notes
Class Name To
A AA+ (sf)
B AA (sf)
C A (sf)
D BB+ (sf)
E B+ (sf)