Ratings Assigned To European Cash Flow CLO Transaction Jubilee CLO 2015-XV After Refinancing

Stocks and Financial Services Press Releases Thursday October 12, 2017 16:56
LONDON--12 Oct--S&P Global Ratings

LONDON (S&P Global Ratings) Oct. 12, 2017--S&P Global Ratings today assigned its credit ratings to the class A-R, B-R, C-R, and D-R notes from Jubilee CLO 2015-XV B.V., a collateralized loan obligation (CLO) managed by Alcentra Ltd. At the same time, we have withdrawn our ratings on the class A, B, C, and D notes, and have affirmed our ratings on the class E and F notes (see list below). The replacement notes were issued via a supplemental trust deed.

The replacement notes were issued at a lower spread over Euro Interbank Offered Rate (EURIBOR) than the original notes they replace. The cash flow analysis demonstrates, in our view, that the replacement notes have adequate credit enhancement available to support the ratings assigned.

As part of the refinance, the maximum weighted-average life test was also lengthened by 15 months, which we have incorporated in our analysis.

The transaction has experienced overall stable performance since our previous review (see "Ratings Affirmed In Jubilee CLO 2015-XV Cash Flow CLO Following Performance Review," published on March 2, 2017). The transaction's reinvestment period ends in July 2019, and all coverage ratios are well above the minimum triggers.

On refinancing, the proceeds from the issuance of the replacement notes redeemed the original notes, upon which we withdrew the ratings on the original notes and assigned ratings to the replacement notes. Our final rating analysis incorporated the final pricing achieved on the replacement notes and our analysis of any changes to the transaction's supporting documentation.

At the same time, we have affirmed our ratings on the class E and F notes as the available credit for these classes of notes remains commensurate with the currently assigned ratings.
CAPITAL STRUCTURE
Current date after refinancing
Class Amount Interest
(mil. EUR) rate (%)
A-R 252.75 3ME +0.84
B-R 60.25 3ME +1.35
C-R 26.00 3ME +1.75
D-R 23.50 3ME +3.00
E 27.00 3ME +4.95
F 15.25 3ME +5.98
Current date before refinancing
Class Amount Interest
(mil. EUR) rate (%)
A 252.75 3ME +1.30
B 60.25 3ME +2.00
C 26.00 3ME +2.90
D 23.50 3ME +3.65
E 27.00 3ME +4.95
F 15.25 3ME +5.98
3ME--Three-month EURIBOR.

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