S&P: Venture XIV CLO Ltd. Ratings Affirmed On Two Classes
Today's rating actions follow our review of the transaction's performance using data from the June 2016 trustee report. The transaction is scheduled to remain in its reinvestment period until August 2017.
Since the transaction's effective date, the trustee-reported collateral portfolio's weighted average life has decreased to 4.51 years from 5.55 years. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. In addition, the number of obligors in the portfolio has increased during this period, which contributed to the portfolio's increased diversification.
The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the November 2013 effective date report. Specifically, the amount of defaulted assets increased to $13.63 million (2.41% of the aggregate principal balance) as of June 2016, from none as of the effective date report. The level of assets rated 'CCC+' and below increased to $28.50 million (5.03% of the aggregate principal balance) from $7.86 million over thesame period.
According to the June 2016 trustee report that we used for this review, the overcollateralization (O/C) ratios for each class have exhibited mild declinessince the November 2013 trustee report, which we used for our rating affirmations:
The class A/B O/C ratio was 138.96%, down from 140.20%.
The class C O/C ratio was 122.45%, down from 123.34%.
The class D O/C ratio was 113.86%, down from 114.87%.
The class E O/C ratio was 107.00%, down from 107.95%.
Even with the decline in credit support, all coverage tests are currently passing and are above the minimum requirements.
Overall, the increase in defaulted assets has been largely offset by the decline in the weighted average life. As such, the affirmed ratings reflect our belief that the credit support available is commensurate with the current rating levels.
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 rating actions as we deem necessary.
Комментарии