Ratings Assigned To Cash Flow CLO Transaction GLG Euro CLO IV

Stocks and Financial Services Press Releases Wednesday March 21, 2018 17:57
LONDON--21 Mar--S&P Global Ratings

LONDON (S&P Global Ratings) March 21, 2018--S&P Global Ratings today assigned credit ratings to GLG Euro CLO IV DAC's class A-1, A-2, B-1, B-2, C, D, E, and F notes. At closing, the issuer will issue unrated subordinated notes (see list below).

GLG Euro CLO IV is a cash flow collateralized loan obligation (CLO) transaction securitizing a portfolio of primarily senior secured loans granted to speculative-grade corporates. GLG Partners LP manages the transaction.

Under the transaction documents, the rated notes pay quarterly interest unless a frequency switch event occurs. Following this, the notes permanently switch to semiannual interest payments.

The portfolio's reinvestment period ends 4.2 years after closing, and the portfolio's maximum average maturity date is 8.5 years after closing. During the reinvestment period, the manager can reinvest principal proceeds as long as certain tests are met, mainly coverage, collateral quality (including S&P CDO Monitor), and portfolio profile tests.

On the effective date, we understand that the portfolio will represent a well-diversified pool of corporate credits, with a fairly uniform exposure to all of the credits. 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 have used the portfolio target par amount of EUR350 million, the covenanted weighted-average spread of 3.50%, and the expected weighted-average recovery rates at each rating level.

The U.K. branch of Elavon Financial Services DAC (AA-/Stable/A-1+) is the bank account provider and custodian. The participants' downgrade remedies are in line with our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).

The issuer is bankruptcy remote, in line with 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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