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April 9, 2018
 
 
book_latest_research.pngLatest Publications From Our Structured Finance Analysts  

Sharing The Spoils: An Evolution Of CLO Income Distribution
Since the collateralized loan obligation (CLO) market revived in early 2013, primary market pricings on CLO liability coupons have fluctuated a lot. This was due to changes in the underlying weighted-average spread (WAS) of the collateral pool used to fund the cost of liabilities as well as changes in the relative demand for each of the CLO tranches as market perception of relative risk evolved. Click here to view the full report.

Favorable Credit Conditions Underpin Covered Bonds Growth In New Markets  
This study looks at the expansion of covered bonds in new markets. S&P Global Ratings believes the creation of a harmonized framework will contribute to further development of covered bonds in Europe and beyond and will raise the standards for asset quality, disclosure, and supervision. Click here to view the full report.


dartboard_rating_actions.pngNew Issues And Presales

Rating Assigned To Land Securities Capital Markets' Class A16 Fixed-Rate CMBS Notes; Other Ratings Affirmed
We have assigned a 'AA (sf)' rating to Land Securities Capital Markets' class A16 fixed-rate notes. At the same time, we have affirmed our 'AA (sf)' ratings on the transaction's outstanding notes. The notes are the seventh additional issuance from the funding platform, which can raise a combination of bank and capital markets debt. Land Securities Capital Markets is a CMBS transaction secured against over 100 U.K. commercial properties. Click here to view the full report.

New Issue: RMAC No. 1 PLC
S&P Global Ratings has assigned its credit ratings to RMAC No. 1 PLC's class A, B, C-Dfrd, D-Dfrd, X1, and X2 notes. At closing, RMAC No. 1 also issued unrated class Z1 and Z2 notes. At closing, the issuer purchased the beneficial interest in an initial portfolio of U.K. residential mortgages from the seller (Paratus AMC Ltd.), using the proceeds from the issuance of the rated notes and the unrated Z1 and Z2 notes (together, the class Z notes). Click here to view the full report.

Ratings Assigned To Bayport Securitisation (RF)'s Class A BAYA66 And BAYA67 South African ABS Notes 
We have assigned our long-term 'zaAA- (sf)' rating to Bayport Securitisation (RF)'s class A BAYA66 and BAYA67 notes. At the same time, we have affirmed our ratings on all of the outstanding class A notes issued previously. Bayport Securitisation (RF) securitizes a portfolio of South African consumer loan receivables that Bayport Financial Services 2010 (Pty) originated. Click here to view the full report.

New Issue: Penarth Master Issuer PLC (2018-1)  
S&P Global Ratings has assigned its 'AAA (sf)' ratings to Penarth Master Issuer PLC's class A1 and A2 asset-backed floating-rate series 2018-1 notes. At the same time, we have affirmed our 'AAA (sf)' ratings on all of the other outstanding class A notes, 'AA- (sf)' ratings on the class B notes, and 'A (sf)' ratings on the class C notes. The transaction uses a delinked issuance platform to issue these notes. Click here to view the full report.

New Issue: BL Consumer Issuance Platform S.A., Compartment BL Cards 2018   
S&P Global Ratings has assigned its credit ratings to BL Consumer Issuance Platform S.A., Compartment BL Cards 2018's (BL Cards 2018) class A, B, C, D, E, and F notes. At closing, BL Cards 2018 also issued unrated class G notes. BL Cards 2018 is a securitization of revolving credit receivables originated by Buy Way Personal Finance S.A./N.V. Click here to view the full report.

New Issue: Driver UK Multi-Compartment S.A., Compartment Private Driver UK 2018-1  
S&P Global Ratings has assigned credit ratings to Driver UK Multi-Compartment S.A., Compartment Private Driver UK 2018-1's (Private Driver UK 2018-1) class A and B notes. At closing, Private Driver UK 2018-1 also issued an unrated subordinated loan. Private Driver UK 2018-1 securitizes a portfolio of U.K. auto loan receivables, which Volkswagen Financial Services (UK) Ltd. originated and granted to its private and small-commercial customer base. Click here to view the full report.

Presale: BlueMountain EUR CLO 2016-1 DAC (Reset)  
BlueMountain EUR CLO 2016-1 DAC is a €400.00 million cash flow collateralized debt obligation (CLO) securitizing primarily broadly syndicated speculative-grade senior secured term loans and senior secured bonds. The transaction manager is BlueMountain Fuji Management LLC. The original class A1, A2, B1, B2, C, D, E, and F notes are expected to be fully redeemed with the proceeds from the issuance of the replacement notes on the April 25, 2018 closing date. Click here to view the full report.

New Issue: Toro European CLO 5 DAC 
Toro European CLO 5 DAC is a European cash flow collateralized loan obligation (CLO), securitizing a portfolio of primarily senior secured euro-denominated leveraged loans and bonds mainly issued by European borrowers. Chenavari Credit Partners LLP is the collateral manager. Based on provisions in the transaction documents: The transaction is mainly collateralized by senior secured loans and bonds accounting for at least 90.00% of the aggregate collateral balance. Click here to view the full report.

Preliminary Ratings Assigned To Reset European Cash Flow CLO Transaction BlueMountain EUR CLO 2016-1      
We have assigned preliminary ratings to BlueMountain EUR CLO 2016-1's class X-R, A-R, B-R, C-R, D-R, E-R, and F-R notes. The original class A1, A2, B1, B2, C, D, E, and F notes are expected to be fully redeemed with the proceeds from the issuance of the replacement notes on the April 25, 2018 refinancing date. BlueMountain EUR CLO 2016-1 is a cash flow CLO transaction securitizing primarily broadly syndicated speculative-grade senior secured term loans and senior secured bonds. Click here to view the full report.

Voya Euro CLO I DAC Class A To F Notes Assigned Preliminary Ratings   
We have assigned our preliminary ratings to Voya Euro CLO I DAC's class A to F notes. The transaction is a cash flow CLO, securitizing a portfolio of primarily senior secured leveraged loans and bonds managed by Voya Alternative Asset Management LLC. Click here to view the full report.

New Issue: Barings Euro CLO 2018-1 B.V.      
Barings Euro CLO 2018-1 B.V. is a broadly syndicated collateralized loan obligation (CLO) managed by Barings (U.K.) Ltd. (Barings). Based on provisions in the transaction documents: The transaction is collateralized by at least 96.0% senior secured loans and bonds (of which at least 70% are senior secured loans and a maximum of 30% are senior secured notes). Click here to view the full report.

Presale: Aurium CLO IV DAC   
Aurium CLO IV DAC is a broadly syndicated collateralized loan obligation (CLO) managed by Spire Management Ltd. Based on provisions in the transaction documents: The transaction will be collateralized by at least 90.0% senior secured loans and bonds. A maximum of 30.0% of the loans in the collateral pool can be covenant-lite. A maximum of 10.0% of the assets in the collateral can be fixed rate. Click here to view the full report.


dartboard_rating_actions.pngLatest Rating Actions

Ratings Raised On Seven Spanish Mortgage Covered Bond Programs After Similar Action On Spain; Outlooks Remain Positive  
On March 23, 2018, we raised our unsolicited long-term sovereign credit rating on Spain to 'A-' from 'BBB+'. Following this upgrade and the application of our criteria, we have raised our ratings on seven Spanish mortgage covered bond programs. The positive outlook on our ratings on all of these programs reflects the outlook on our unsolicited long-term rating on Spain. Click here to view the full report.  

Ratings Raised On STORM 2014-II's Class B To D Dutch RMBS Notes Following Review; Class A2 Rating Affirmed   
We have raised our ratings on STORM 2014-II's class B to D notes following our review of the transaction, using our credit and cash flow analysis under our relevant criteria. We have also affirmed our rating on the class A2 notes. STORM 2014-II is a Dutch RMBS transaction, which closed in June 2014, and securitizes first-ranking mortgage loans originated by Obvion. Click here to view the full report.  

Rating On Russian RMBS Transaction 'Mortgage Agent Absolut 3' Placed On CreditWatch Positive Following Sovereign Upgrade   
On Feb. 23, 2018, we raised our foreign currency sovereign rating on Russia. Following the sovereign upgrade, on March 6, 2018, we also raised our credit rating on Russia-based VTB Bank JSC, the bank account provider in this transaction. Following these rating actions, we have placed on CreditWatch positive our rating on the class A notes issued by 'Mortgage Agent Absolut 3'. The transaction securitizes a portfolio of ruble-denominated mortgage loans originated in Russia. Click here to view the full report.  


light_bulb_thought_leadership.png Publications From Other Sectors

Credit Conditions: EMEA March 2018--Trade And Market Volatility Threaten To Overshadow Brexit   
Credit quality continues to benefit from the broad-based recovery in Europe, albeit with some Brexit-related headwinds in the U.K. However, as the credit cycle turns, the risk of policy mistakes increases, especially as global political relations are becoming more fractious. Click here to view the full report.  

Spain Long-Term Ratings Raised To 'A-' On Economic Growth And Budgetary Consolidation; Outlook Positive      
Spain's overall economic and budgetary performance has not been hampered by political tensions in Catalonia. We expect Spain's GDP will expand faster than the eurozone average over 2018-2021, and that the government's budget deficit will continue to shrink. As a result, we are raising our unsolicited long-term sovereign credit ratings on Spain to 'A-' from 'BBB+' and assigning a positive outlook, while affirming our unsolicited 'A-2' short-term sovereign credit ratings. Click here to view the full report.  

Latitude Australia Credit Card Loan Note Trust - Series 2018-1 Assigned Rating; Series 2017-1, 2017-2 Ratings Affirmed   
MELBOURNE (S&P Global Ratings) March 27, 2018--S&P Global Ratings today said it has assigned its 'AAA (sf)' rating to the class A1 notes issued by Perpetual Corporate Trust Ltd. as trustee for Latitude Australia Credit Card Loan Note Trust - Series 2018-1. At the same time, we affirmed our 'AAA (sf)' rating on the outstanding class A1 notes of Latitude Australia Credit Card Loan Note Trust - Series 2017-1 and the class A1 notes issued by Latitude Australia Credit Card Loan Note Trust - Series 2017-2. Click here to view the full report.  

Presale: Driver Australia Five Trust      
This is the fifth closed-pool term transaction backed by collateral originated by Volkswagen Financial Services Australia Pty Ltd. (VWFS Australia). The preliminary ratings assigned to the notes to be issued by Perpetual Corporate Trust Ltd. as trustee of the Driver Australia five Trust (the issuer) reflect the following factors: The credit risk of the underlying collateral portfolio and the credit support available are commensurate with the preliminary ratings assigned. Click here to view the full report.  


Join Our Analysts At Upcoming Events

S&P Global Ratings is a lead sponsor. The programme will feature extensive coverage on outlook for issuance in 2018, structural and legal considerations, relative value from a research analyst and investor perspective, ratings methodology for CLOs, and more.
Date: Wednesday, 11th April 2018
Venue: Hilton Park Lane, 22 Park Ln, Mayfair, London W1K 1BE
Speakers:
09:00 – The European CLO Market: Maintaining a Healthy Pipeline After a Record Setting 2017 – Moderator: Chris Porter
13:10 – Setting up Shop in Europe: How Foreign Entrants to the Market are Finding their Stride? – Moderator: Aleem Akhtar
13:55 – Loan & Recovery Ratings – Panelist: David Gillmor
16:30 – Assessing Investor Appetite: Is AAA Paper still the Most Popular Item on the Menu? – Panelist: Brian Nolan

Date: Thursday, 19th April 2018
Time: 9:30am until 11:00am (registration from 9am)
Location: S&P Global Ratings' Office, OpernTurm, Bockenheimer Landstraße 2, Frankfurt, Germany 60306

For more on our latest upcoming events, please visit Webcasts and Events.


For access to more of our research and insights, please visit our dedicated Structured Finance website. If you have any questions regarding the reports included in this email, or would like to get in touch with one of our analysts, please contact us.

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Kind regards,
 Matthew Jones
Head of EMEA Structured Finance
Commercial

S&P Global Ratings


 
 
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Commercial
+44 207 176 3591

Content Distribution
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+49 69 3399 9220

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