Ratings Assigned To Reset European Cash Flow CLO Transaction Carlyle Global Market Strategies Euro CLO 2015-3

Stocks and Financial Services Press Releases Tuesday January 16, 2018 16:10
LONDON--16 Jan--S&P Global Ratings

LONDON (S&P Global Ratings) Jan. 16, 2018--S&P Global Ratings today assigned its credit ratings to Carlyle Global Market Strategies Euro CLO 2015-3 DAC's class X, A1-A, A1-B, A2-A, A2-B, B, C-1, C-2, D, and E notes (see list below).

The proceeds from the issuance of these notes were used to redeem the existing class A-1, A-2, B, C, D, E, and subordinated notes. Concurrent with the new note issuance, key transactional features such as the weighted-average life and the reinvestment period were also reset.

Carlyle Euro 2015-3 is a cash flow collateralized loan obligation (CLO) transaction securitizing a portfolio of primarily senior secured loans granted to speculative-grade European corporations. CELF Advisors LLP manages the transaction.

The portfolio represents a well-diversified pool of corporate borrowers, with a fairly uniform exposure to all of them at closing. Therefore, we have conducted our credit and cash flow analysis by applying our criteria for corporate cash flow collateralized debt obligations (see "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Aug. 8, 2016).

In our cash flow analysis, we used a portfolio target par amount of EUR600 million, using the covenanted weighted-average spread (3.70%) and weighted-average recovery rates at each rating level as provided to us by the issuer.

The issuer is bankruptcy remote under our legal criteria (see "Structured Finance: Asset Isolation And Special-Purpose Entity Methodology," published on March 29, 2017).
Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe our ratings are commensurate with the available credit enhancement for each class of notes.

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