S&P: Ratings Affirmed In Cash Flow Corporate Loan CLO Transaction Herbert Park Following Review
Today's affirmations follow our analysis of the transaction's performance and the application of our relevant criteria (see "Related Criteria").
We subjected the capital structure to our cash flow analysis to determine the break-even default rate (BDR) for each class of notes at each rating level. The BDRs represent our estimate of the level of asset defaults that the notes can withstand and still fully pay interest and principal to the noteholders.
We have estimated future defaults in the portfolio in each rating scenario by applying our updated corporate collateralized debt obligation (CDO) criteria (see "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Sept. 17, 2015).
Our analysis indicates that the available credit enhancement for all of the rated classes of notes is still commensurate with the currently assigned ratings. Therefore, we have affirmed our ratings on the class A-1 to E notes.
Herbert Park is a cash flow collateralized loan obligation (CLO) transaction. A portfolio of loans to mainly speculative-grade corporates backs the transaction.
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