Five Preliminary Ratings Assigned To THL Credit Wind River CLO 2013-1 Ltd. In Connection With Proposed Refinancing
OVERVIEW
- We reviewed THL Credit Wind River 2013-1 CLO Ltd., which, based on its proposed supplemental indenture, is expected to refinance its class A-1, A-2A, A-2B, B, C, and D notes on July 20, 2017, through an optional redemption and replacement note issuance.
- After analyzing the changes to the transaction, we assigned our preliminary ratings to the replacement class A-1R, A-2R, B-R, C-R, and D-R notes.
- The original class A-1, A-2A, A-2B, B, C, and D notes are expected to be fully redeemed with the proceeds from the replacement note issuance on the July 20, 2017, refinancing date.
NEW YORK (S&P Global Ratings) June 27, 2017--S&P Global Ratings today assigned its preliminary ratings to the class A-1R, A-2R, B-R, C-R, and D-R replacement notes from THL Credit Wind River 2013-1 CLO Ltd., a collateralized loan obligation (CLO) originally issued in April 2013 that is managed by THL Credit Senior Loan Strategies LLC. The replacement notes will be issued via a proposed supplemental indenture. The preliminary ratings reflect our opinion that the credit support available is commensurate with the associated rating levels. The preliminary ratings are based on information as of June 27, 2017. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. On the July 20, 2017, refinancing date, the proceeds from the issuance of the replacement notes are expected to redeem the original notes. At that time, we anticipate withdrawing the ratings on the original notes and assigning ratings to the replacement notes. However, if the refinancing doesn't occur, we may affirm the ratings on the original notes and withdraw our preliminary ratings on the replacement notes. The replacement notes are being issued via a proposed supplemental indenture, which outlines the terms of the replacement notes. In addition, based on provisions in the supplemental indenture:
- There will be a revised capital structure.
- The non-call period, the reinvestment period, and the stated maturity will be extended to July 2019, July 2022, and July 2030, respectively. The weighted average life test has also been extended.
- Of the underlying collateral obligations, 97.72% have credit ratings assigned by S&P Global Ratings.
- Of the underlying collateral obligations, 95.30% have recovery ratings issued by S&P Global Ratings.
Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the trustee report, to estimate future performance. In line with our criteria, our cash flow scenarios applied forward-looking assumptions on the expected timing and pattern of defaults, and recoveries upon default, under various interest rate and macroeconomic scenarios. In addition, our analysis considered the transaction's ability to pay timely interest or ultimate principal, or both, to each of the rated tranches. 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 further rating actions as we deem necessary.
RELATED CRITERIA
- General Criteria: Guarantee Criteria, Oct. 21, 2016
- Criteria - Structured Finance - CDOs: Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Aug. 8, 2016
- Criteria - Structured Finance - General: Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions, Aug. 8, 2016
- General Criteria: Principles For Rating Debt Issues Based On Imputed Promises, Dec. 19, 2014
- Criteria - Structured Finance - CDOs: CDOs Of Project Finance Debt: Global Methodology And Assumptions, March 19, 2014
- General Criteria: Global Investment Criteria For Temporary Investments In Transaction Accounts, May 31, 2012
- Criteria - Structured Finance - CDOs: Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions, Feb. 21, 2012
- Criteria - Structured Finance - CDOs: Surveillance Methodology For Global Cash Flow And Hybrid CDOs Subject To Acceleration Or Liquidation After An EOD, Sept. 2, 2009
- Criteria - Structured Finance - CDOs: Revised CDO Current-Pay Criteria Assumptions For Corporate Debt When Issuers Announce A Distressed Exchange Or Buyback, May 18, 2009
- Criteria - Structured Finance - CDOs: The Use Of Rating-Based Haircuts In Event Of Default Overcollateralization Tests For CDOs, March 19, 2008
- Criteria - Structured Finance - CDOs: Qualification And Treatment Of Current-Pay Obligations In Global Cash Flow CLOs, July 11, 2007
- Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Special-Purpose Entities, Oct. 1, 2006
- Legal Criteria: Legal Criteria For U.S. Structured Finance Transactions: Appendix III: Revised UCC Article 9 Criteria, Oct. 1, 2006
- Criteria - Structured Finance - General: Structured Finance Criteria Introduced For Cayman Islands Special-Purpose Entities, July 18, 2002
RELATED RESEARCH
- Presale: THL Credit Wind River 2013-1 CLO Ltd. (Refinancing And Extension) , June 27, 2017
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- S&P Global Ratings' Surveillance Process For Monitoring U.S. Cash Flow CLO Transactions, Oct. 19, 2016
- New Version Of CDO Evaluator (7.1) Includes Updated Corporate Industry Codes, Sept. 13, 2016
- How Standard & Poor's Assesses Operational And Administrative Risks Of CLO Collateral Managers, April 19, 2016
- Global Corporate Rating Trends 2016: Largest Negative Swing Since 2009, Jan. 11, 2016
- Items Updated In Corporate CDO Criteria Used To Rate CLO Transactions, Sept. 17, 2015
- S&P Adds Transparency To Its Effective Date Process For CLOs, April 20, 2015
- CDO Monitor Non-Model Approach General Definitions, March 11, 2015
- Standard & Poor's Introduces Non-Model Version Of CDO Monitor, Dec. 8, 2014
- Use Of CDO Monitor Simplified, April 7, 2014
- Presale: THL Credit Wind River 2013-1 CLO Ltd./THL Credit Wind River 2013-1 CLO LLC, April 15, 2013
- How Typical CLO Document Provisions Affect Maintenance Of Collateral Characteristics For Managed CLOs, Nov. 6, 2013
- How Deferrable Assets In CLOs Are Treated Under Standard & Poor's Methodology, Oct. 1, 2012
- CDO Spotlight: The Relationship Between Long-Dated Assets And Market Value Risk In U.S. Cash Flow CLOs, April 26, 2012
- Credit FAQ: What Are Credit Estimates And How Do They Differ From Ratings? April 6, 2011
- CLO Collateral Managers' Treatment Of First-Lien-Last-Out Loans Could Affect Payments To Investors, Oct. 14, 2010
- Standard & Poor's Provides Guidance For Collateral Managers And Trustees Regarding CDO Monitor, Nov. 11, 2009
In addition to the criteria specific to this type of security (listed above), the following criteria articles, which are generally applicable to all ratings, may have affected this rating action: "Post-Default Ratings Methodology: When Does Standard & Poor's Raise A Rating From 'D' Or 'SD'?," March 23, 2015; "Global Framework For Assessing Operational Risk In Structured Finance Transactions," Oct. 9, 2014; "Methodology: Timeliness of Payments: Grace Periods, Guarantees, And Use of 'D' And 'SD' Ratings," Oct. 24, 2013; " Counterparty Risk Framework Methodology And Assumptions," June 25, 2013; " Criteria For Assigning 'CCC+', 'CCC', 'CCC-', And 'CC' Ratings," Oct. 1, 2012; "Methodology: Credit Stability Criteria," May 3, 2010; and "Use of CreditWatch And Outlooks," Sept. 14, 2009. PRELIMINARY RATINGS ASSIGNED THL Credit Wind River 2013-1 CLO Ltd. Replacement class Rating Amount (mil. $) A-1R AAA (sf) 289.30 A-2R AA (sf) 52.00 B-R (deferrable) A (sf) 29.40 C-R (deferrable) BBB (sf) 24.80 D-R (deferrable) BB (sf) 20.20 Subordinated notes NR 51.50 NR--Not rated.
Primary Credit Analyst: | Daniel Hu, FRM, New York (1) 212-438-2206; daniel.hu@spglobal.com |
Secondary Contact: | Jimmy N Kobylinski, New York (1) 212-438-6314; jimmy.kobylinski@spglobal.com |
Lead Analytical Manager, U.S. Commercial Credit: | Stephen A Anderberg, New York (1) 212-438-8991; stephen.anderberg@spglobal.com |
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