Preliminary Ratings Assigned To Five Classes From Palmer Square CLO 2015-1 Ltd. In Connection With Proposed Refinancing

Stocks and Financial Services Press Releases Friday May 19, 2017 09:11
NEW YORK--19 May--S&P Global Ratings

NEW YORK (S&P Global Ratings) May 18, 2017--S&P Global Ratings today assigned its preliminary ratings to the class A-1-R, A-2-R, B-R, C-R, and D-R replacement notes from Palmer Square CLO 2015-1 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by Palmer Square Capital Management LLC. The replacement notes will be issued via a proposed supplemental indenture.

The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. The replacement class A-1-R, A-2-R, and B-R notes are expected to be issued at lower spreads than the original notes; and the class C-R and D-R notes are expected to be issued at higher spreads than the original notes. The preliminary ratings are based on information as of May 18, 2017.

Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the May 22, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes.

At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes.

The replacement notes are being issued via a proposed supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also: Extend the non-call period, the reinvestment period, and the stated maturity to May 2019, May 2021, and May 2029, respectively.

Incorporate the formula version of Standard & Poor's CDO Monitor tool.
Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance (see table).

In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios.

In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches.

We will continue to review whether, in our view, the ratings assigned to the notes remain consistent with the credit enhancement available to support them, and we will take further rating actions as we deem necessary.


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