Marathon CLO 2020-15 Ltd. Notes Assigned Ratings
OVERVIEW
- Marathon CLO 2020-15 Ltd.'s note issuance is a CLO transaction backed by broadly syndicated speculative-grade senior secured term loans.
- We assigned our ratings to the class A-1S, A-1J, A-2A, A-2B, B, C-1S, C-1J, and D notes.
- The ratings reflect our view of the collateral pool's diversification and the transaction's credit enhancement, pool characteristics, and legal structure, among other factors.
CENTENNIAL (S&P Global Ratings) Nov. 6, 2020--S&P Global Ratings today assigned its ratings to Marathon CLO 2020-15 Ltd.'s fixed- and floating-rate notes (see list).
The note issuance is a CLO transaction managed by Marathon Asset Management L.P. and backed by broadly syndicated speculative-grade (rated 'BB+' and lower) senior secured term loans that are governed by collateral quality tests.
The ratings reflect:
- The diversification of the collateral pool;
- The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization;
- The experience of the collateral manager's team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading; and
- The transaction's legal structure, which is expected to be bankruptcy remote.
Related Criteria
- Criteria | Structured Finance | General: Methodology To Derive Stressed Interest Rates In Structured Finance, Oct. 18, 2019
- Criteria | Structured Finance | CDOs: Global Methodology And Assumptions For CLOs And Corporate CDOs, June 21, 2019
- Criteria | Structured Finance | Legal: U.S. Structured Finance Asset Isolation And Special-Purpose Entity Criteria, May 15, 2019
- Criteria | Structured Finance | General: Counterparty Risk Framework: Methodology And Assumptions, March 8, 2019
- Criteria | Structured Finance | General: Incorporating Sovereign Risk In Rating Structured Finance Securities: Methodology And Assumptions, Jan. 30, 2019
- General Criteria: Guarantee Criteria, Oct. 21, 2016
- Criteria | Structured Finance | General: Global Framework For Assessing Operational Risk In Structured Finance Transactions, Oct. 9, 2014
- Criteria - Structured Finance - General: Global Framework For Cash Flow Analysis Of Structured Finance Securities, Oct. 9, 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
- General Criteria: Principles Of Credit Ratings, Feb. 16, 2011
- 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 | General: Structured Finance Criteria Introduced For Cayman Islands Special-Purpose Entities, July 18, 2002
Related Research
- S&P Global Ratings May Add Additional Qualitative Factors When Rating CLO Tranches Due To Changing Credit Dynamics, April 9, 2020
- CLO Spotlight: All You Need To Know About CDO Monitor, March 24, 2020
- S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version, June 21, 2019
- 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
- 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
Ratings Assigned
Marathon CLO 2020-15 Ltd./Marathon CLO 2020-15 LLC
- Class A-1S, $240.00 mil.: AAA (sf)
- Class A-1J, $10.00 mil.: AAA (sf)
- Class A-2A, $40.00 mil.: AA (sf)
- Class A-2B, $14.00 mil.: AA (sf)
- Class B (deferrable), $24.00 mil.: A (sf)
- Class C-1S (deferrable), $12.00 mil.: BBB+ (sf)
- Class C-1J (deferrable), $12.00 mil.: BBB- (sf)
- Class D (deferrable), $12.00 mil.: BB- (sf)
- Subordinated notes, $39.20 mil.: Not rated
European Endorsement Status
Global-scale credit rating(s) issued by S&P Global Ratings' affiliates based in the following jurisdictions [To read more, visit Endorsement of Credit Ratings] have been endorsed into the EU and/or the UK in accordance with the relevant CRA regulations. Note: Endorsements for U.S. Public Finance global-scale credit ratings are done per request. To review the endorsement status by credit rating, visit the spglobal.com/ratings website and search for the rated entity.
'sf' Identifier
The 'sf' identifier is assigned to ratings on structured finance or securitization instruments when required to comply with an applicable law or regulatory requirement or when S&P Global Ratings believes it appropriate. The addition of the 'sf' identifier to a rating does not change that rating's definition or our opinion about the issue's creditworthiness. For detailed information on the instruments assigned the 'sf' identifier, please see the appendix to "S&P Global Ratings Definitions" for the types of instruments that carry the 'sf' identifier. To see if a credit rating has a 'sf' identifier, visit the standardandpoors.com website and search for the rated entity.
Primary Credit Analyst: | Mark R Williams, CFA, Centennial (1) 303-721-4128; mark.williams@spglobal.com |
Secondary Contacts: | Lauren S Fastiggi, New York (1) 212-438-5223; lauren.fastiggi@spglobal.com |
Christopher R Davis, New York 1 (212) 4383019; christopher.davis@spglobal.com |
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