[SPSF] Repackaged CLO Series KK-2 Ltd.#s Notes Assigned #AAA# Rating

Stocks and Financial Services Press Releases Thursday September 14, 2017 09:11
TOKYO--14 Sep--S&P Global Ratings

TOKYO (S&P Global Ratings) Sept. 14, 2017--S&P Global SF Japan Inc. (SPSF) today said it has assigned its 'AAA' rating to the ¥25.036 billion floating-rate class A notes due 2029 issued by Repackaged CLO Series KK-2 Ltd. (the "Issuer"), a special-purpose company established in the Cayman Islands (see list below).

This is a repackaging of Marathon CLO X Ltd./ Marathon CLO X LLC's class A-1A collateralized loan obligation (CLO) senior notes, which have been assigned a 'AAA (sf)' rating.
The Issuer issued Japanese yen-denominated repackaged notes and purchased the U.S. dollar-denominated CLO notes.

The Issuer simultaneously entered into a balance guaranteed currency swap with Mitsubishi UFJ Morgan Stanley Securities Co. Ltd. The rating on the repackaged notes is linked to the rating on the underlying CLO notes.

The 'AAA' rating reflects our views primarily on: The transaction's compliance with our counterparty criteria, including the incorporation of replacement mechanisms (see "Counterparty Risk Framework Methodology And Assumptions," published June 25, 2013); The transaction's compliance with our global derivative agreement criteria (see "Global Derivative Agreement Criteria," published June 24, 2013);

The status of the Issuer as a special-purpose, bankruptcy-remote entity;The 'AAA (sf)' rating on the underlying CLO notes; andSufficient mitigation of the legal and structural issues that could disrupt or reduce cash flows.We published a request for comment on our proposed methodology for swaps (see " Request For Comment: Special-Purpose Vehicle Margin Requirements For Swaps--Methodology And Assumptions," published June 30, 2017).

Because we have not yet published the revised criteria, we did not apply the proposed criteria to our analysis of the transaction this time.

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