Presale: Barings Private Credit Corp. CLO 2023-1 Ltd./Barings Private Credit CLO 2023-1 LLC
| Preliminary ratings | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Class | Preliminary rating | Balance (mil. $) | Overcollateralization (%) | Subordination (%) | Par subordination (%) | Interest rate (%) | ||||||||
| A-1 | AAA (sf) | 300.00 | 166.67 | 39.58 | 40.00 | Three-month term SOFR + 2.40 | ||||||||
| A-2 | AA (sf) | 35.00 | 140.85 | 28.50 | 29.00 | Three-month term SOFR + 3.35 | ||||||||
| A-2L | AA (sf) | 20.00 | 140.85 | 28.50 | 29.00 | Three-month term SOFR + 3.35 | ||||||||
| B (deferrable) | A (sf) | 25.00 | 131.58 | 23.46 | 24.00 | Three-month term SOFR + 4.10 | ||||||||
| C (deferrable) | BBB (sf) | 22.50 | 124.22 | 18.93 | 19.50 | Three-month term SOFR + 6.35 | ||||||||
| Subordinated notes | NR | 94.00 | 0.00 | 0.00 | Residual | |||||||||
| Note: This presale report is based on information as of Aug. 8, 2023. The ratings shown are preliminary. This report does not constitute a recommendation to buy, hold, or sell securities. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings. SOFR--Secured overnight financing rate. NR--Not rated. N/A--Not applicable. | ||||||||||||||
Executive Summary
Barings Private Credit Corp. CLO 2023-1 Ltd. is a $496.5 million static middle market CLO serviced by Barings Private Credit Corp.
Based on provisions in the transaction documents and the portfolio characteristics:
- The transaction will be a static transaction, whereby the issuer has no ability to purchase obligations following the transaction's closing date, except in connection with an insolvency, bankruptcy, reorganization, restructuring, or workout of a collateral obligation. Any purchase of additional obligations would be limited to the use of interest proceeds and/or contributions and would be subject to additional conditions found in the transaction documentation.
- Of the identified underlying collateral obligations, 94.22% have credit ratings (which may include confidential ratings, private ratings, and credit estimates) assigned by S&P Global Ratings.
- Of the identified underlying collateral obligations, 0.36% have recovery ratings (which may include confidential and private ratings) assigned by S&P Global Ratings.
Key Credit Metrics
| Selected credit metrics | ||||
|---|---|---|---|---|
| Barings Private Credit Corp. CLO 2023-1 | ||||
| Total leverage (x)(i) | 4.28 | |||
| Par subordination ('AAA'/'BBB') (%) | 39.58/18.93 | |||
| WA cost of debt (%)(ii) | 2.86 | |||
| Portfolio WAS (excluding floors)(%) | 5.65 | |||
| Portfolio WAS (excluding floors) with SOFR credit spread adjustment of 10 bps (%) (iii) | 5.66 | |||
| SDR ('AAA'/'BBB') (%) | 71.26/49.98 | |||
| WA portfolio recovery ('AAA'/'BBB') (%) | 49.98/63.02 | |||
| ii)Total debt to equity (excluding any class X debt, if applicable). (ii)Spread over SOFR for all classes, excluding the subordinated notes and, if applicable, any class X debt (if there is a fixed-rate tranche, SOFR is subtracted from the fixed coupon in the calculation). (iii)Incorporates a 10 bps credit spread adjustment to the LIBOR based assets. WA--Weighted average. WAS--Weighted average spread. Bps--Basis points. SDR--Scenario default rate. SOFR--Secured overnight financing rate. N/A--Not applicable. | ||||
Transaction Timeline/Participants
| Transaction timeline | |
|---|---|
| Expected closing date | Aug. 23, 2023. |
| Effective date | Not applicable. |
| Debt payment frequency | Quarterly, beginning Jan. 15, 2024. |
| Non-call period end date | July 15, 2024. |
| Reinvestment period end date | Not applicable. |
| Stated maturity date | July 15, 2031. |
| Participants | |
|---|---|
| Collateral manager | Barings Private Credit Corporation. |
| Arranger | BNP Paribas Securities Corp. |
| Trustee | State Street Bank and Trust Co. |
Rationale
The preliminary ratings assigned to Barings Private Credit Corp. CLO 2023-1 Ltd./Barings Private Credit CLO 2023-1 LLC's floating-rate debt reflect our assessment of:
- The diversification of the collateral pool, which consists primarily of middle market speculative-grade (rated 'BB+' and lower) senior secured term loans.
- The credit enhancement provided through subordination, excess spread, and overcollateralization.
- The experience of the collateral manager's team, which can affect the performance of the rated debt through portfolio identification and ongoing management.
- The transaction's legal structure, which is expected to be bankruptcy remote.
We may choose to make qualitative adjustments to our analysis when rating CLO tranches to reflect the likelihood that changes to the underlying assets' credit profile may affect a portfolio's credit quality in the near term. This is consistent with paragraph 15 of our criteria for analyzing CLOs (see "Global Methodology And Assumptions For CLOs And Corporate CDOs," published June 21, 2019). To do this, we may review the likelihood of near-term changes to the portfolio's credit profile by evaluating the transaction's specific risk factors. Based on our review of these factors, we believe there is adequate cushion between this CLO tranches' break-even default rates (BDRs) and scenario default rates (SDRs) to address the possibility of near-term changes to the portfolio's credit quality.
Environmental, Social, And Governance (ESG) Factors
The transaction documents prohibit assets related to, or assets whose revenue is generated from, the following industries, based on the manager's interpretation of the relevant provisions:
- Controversial weapon production or trading, or controversial weapons for military purposes;
- Thermal coal;
- Speculative oil and gas extraction;
- Tobacco;
- Adult entertainment;
- Endangered wildlife trading; and
- Predatory lending.
Rating Considerations
In our analysis, we considered the factors in table 1, among others.
Table 1
| Rating considerations | ||||||
|---|---|---|---|---|---|---|
| Risk | Risk description | Mitigating factors | ||||
| Reduction in cash flow | Defaults, adverse interest rate movements, and low recoveries can reduce the cash flow generated by the underlying portfolio and affect the issuer's ability to meet its obligations in a timely manner. | S&P Global Ratings' quantitative analysis simulates various default patterns and interest rate movements under various stress scenarios, considering portfolio characteristics, payment mechanics, covenants, collateral quality tests, and excess spread. | ||||
| Divergence of the effective date portfolio from preliminary assumptions | Most underlying portfolios are not fully purchased by closing. Therefore, there is a risk that the fully ramped-up portfolio at the transaction's effective date will be materially different than the one presented to S&P Global Ratings for its preliminary analysis. | S&P Global Ratings offers collateral managers a formula-based version of its CDO Monitor at closing. This tool is intended to assist the collateral manager in maintaining a similar credit risk and cash flow profile to what was initially presented for our preliminary analysis. | ||||
| Exposure to covenant-lite loans | The collateral manager can purchase covenant-lite loans (those that do not contain regular financial maintenance covenants for the lending party's benefit). Exposure to these types of loans may reduce the transaction's recovery prospects. |
For covenant-lite loans that do not have an asset-specific recovery rating, we apply reduced recovery rates in our cash flow analysis (41.0% under a 'AAA' stress scenario versus 50.0% for a senior secured first-lien loan that is not covenant-lite). In addition, the transaction documents mandate that any loan that is pari passu with a non-covenant-lite loan of the same obligor, or that contains a cross-default provision with such loan, will also use the reduced recovery rates regardless of whether these pari passu or cross-defaulted loans are counted as covenant-lite for the purposes of portfolio concentration limits. For covenant-lite loans that do have an asset-specific recovery rating, the absence of financial maintenance covenants is factored into our recovery analysis and generally results in lower estimated recovery rates. |
||||
| Long-dated collateral obligations can introduce market value risk | A portfolio containing long-dated collateral obligations exposes a transaction to market value risk. To repay the debtholders at the transaction's maturity, the collateral manager will be forced to sell those obligations at the prevailing market price, which may be below par. | According to the transaction documents, the collateral manager cannot purchase any long-dated collateral obligations or, generally, may not vote in favor of any amendment that would extend a collateral obligation's maturity beyond the debt's stated maturity. Any long-dated collateral obligations will receive a haircut in the O/C numerator. The weighted average life test must generally be satisfied (or maintained or improved, subject to additional conditions found in the transaction documents) following any maturity amendment. | ||||
| Closing date participation transfers | A large portion of the collateral obligations identified for purchase on the closing date may initially be transferred to the issuer in the form of participations. When the issuer participates in the collateral obligations through a third-party selling institution, additional counterparty risk is introduced to the transaction and the participation seller's creditworthiness may generally be a risk to the rated debt; this is because if the participation seller files for bankruptcy, the participation seller's bankruptcy case may delay or otherwise disrupt the participation seller's ability to service the loan and forward loan proceeds to the participation buyer. A failure to elevate any participation to an assignment prolongs this risk to the rated debt. Generally, if we determine that a participation seller is a bankruptcy-remote entity, we do not consider whether its credit risk is mitigated because we consider that entity's bankruptcy risk to be sufficiently remote. | If closing date participation interests are not elevated to assignment by 60 days, participation interests will be carried at the lower of S&P Global Ratings' recovery and market value for purposes of the overcollateralization test calculation. | ||||
| O/C--Overcollateralization. BDR--Break-even default rate. SDR--Scenario default rate. WARR--Weighted average recovery rate. WAS--Weighted average spread. I/C--Interest coverage. Bps--Basis points. SOFR--Secured overnight financing rate. NRSRO--Nationally recognized statistical rating organization. | ||||||
Collateral Manager
Barings Private Credit Corp. is a publicly traded business development company managed by Barings LLC. Including non-CLO assets, Barings LLC has $362.0 billion in total assets under management. Barings LLC is a subsidiary of MassMutual.
Quantitative Analysis
In analyzing this transaction, S&P Global Ratings conducted a quantitative review consisting of two analyses: a portfolio analysis and a cash flow analysis.
Understanding our portfolio and cash flow analyses
For the portfolio analysis, S&P Global Ratings ran the portfolio presented to us through the CDO Evaluator model, which defaults portions of the underlying collateral based on the default probability and correlation assumptions defined in S&P Global Ratings criteria. This resulted in a set of SDRs that represent expected default levels for the portfolio under the different stress scenarios associated with each rating level (see chart 1).
For example, the 'AAA' stress scenario assumes an extreme level of stress, one similar to what was experienced during the Great Depression, while the 'BBB' stress scenario assumes a high, but less severe, level of stress that is more akin to the 2008 recession. As a result, the portfolio will experience a higher level of defaults in the 'AAA' stress scenario than the 'BBB' stress scenario.
For the cash flow analysis, we input the transaction-specific structural features presented to us into the Standard & Poor's Cash Flow Evaluator model to generate a base case set of cash flows. These cash flows are then subjected to various default timing and interest rate stress scenarios to arrive at a BDR for each rated class of debt (see chart 2).
For each class, the BDR represents the maximum amount of defaults that it can withstand while still being able to pay timely interest and ultimate principal to its noteholders. Classes with higher subordination typically have higher BDRs.
Chart 1
Chart 2
Connecting the portfolio and cash flow analyses
For a tranche to achieve a particular rating, it must be able to withstand the level of defaults projected by the CDO Evaluator and still pay timely interest and principal (see chart 3).
Chart 3
The results shown in table 3 indicate that the rated debt has sufficient credit enhancement to withstand our projected default levels. These results incorporate a 10 basis-point adjustment to the spread of the LIBOR based assets.
Table 3
| Credit enhancement | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Class | Preliminary rating | BDR (%) | SDR (%) | BDR cushion (%) | ||||||
| A-1 | AAA (sf) | 80.04 | 71.26 | 8.78 | ||||||
| A-2 | AA (sf) | 72.62 | 62.81 | 9.81 | ||||||
| A-2L | AA (sf) | 72.62 | 62.81 | 9.81 | ||||||
| B (deferrable) | A (sf) | 65.88 | 55.75 | 10.14 | ||||||
| C (deferrable) | BBB (sf) | 57.60 | 49.98 | 7.63 | ||||||
| BDR--Break-even default rate. SDR--Scenario default rate. | ||||||||||
Supplemental tests
We also conduct a largest-industry default test and a largest-obligor default test according to "Global Methodology And Assumptions For CLOs And Corporate CDOs," published June 21, 2019. Under these assumptions, the debt can withstand the loss amounts indicated in table 4 at their preliminary rating levels.
Table 4
| Supplemental tests | ||||||||||
|---|---|---|---|---|---|---|---|---|---|---|
| Class | Preliminary rating | Preliminary amount (mil. $) | Largest-industry default test loss amount (mil. $) | Largest-obligor default test loss amount (mil. $) | ||||||
| A-1 | AAA (sf) | 300.00 | 82.00 | 129.95 | ||||||
| A-2 | AA (sf) | 35.00 | 82.00 | 106.20 | ||||||
| A-2L | AA (sf) | 20.00 | 82.00 | 106.20 | ||||||
| B (deferrable) | A (sf) | 25.00 | N/A | 82.45 | ||||||
| C (deferrable) | BBB (sf) | 22.50 | N/A | 56.00 | ||||||
| N/A--Not applicable. | ||||||||||
Portfolio Characteristics
Metrics based on the portfolio presented to S&P Global Ratings and the level of ramp-up completion are shown in tables 5A and 5B.
Table 5A
| Target collateral obligations | ||||
|---|---|---|---|---|
| Target par balance (mil. $) | 500.00 | |||
| Par balance of identified collateral (mil. $) | 500.00 | |||
| Par balance of collateral not yet identified (mil. $) | 0.00 | |||
| S&P Global Ratings' ratings and confidential indications (% of identified collateral)(i) | 94.22 | |||
| (i)May include confidential ratings, private ratings, and credit estimates. | ||||
Table 5B
| Identified collateral obligations (obligors) | |
|---|---|
| No. of obligors | 75 |
| Avg. obligor holding (%) | 1.33 |
| Largest-obligor holding (%) | 3.00 |
| Smallest-obligor holding (%) | 0.12 |
In the portfolio data referenced for this analysis, the issuer identified approximately 100.00% of the portfolio's collateral. As the portfolio composition changes, the information and results presented in tables 6 and 7 and charts 4-7 are also likely to change.
Obligor concentration
Table 6 shows the top five obligor holdings of the underlying portfolio presented to S&P Global Ratings as of the date of this publication.
Table 6
| Top five obligor holdings | ||||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Notional amount (mil. $) | Notional amount (%) | |||||||||||||||||||
| Obligor reference | Industry | Security type | S&P Global Ratings' credit rating | S&P Global Ratings' implied rating | CreditWatch/Outlook | Obligor | Cumulative | Obligor | Cumulative | |||||||||||
| 1 | Interactive media and services | Senior secured | N/A | No | N/a | 15.00 | 15.00 | 3.00 | 3.00 | |||||||||||
| 2 | Air freight and logistics | Senior secured | N/A | No | N/a | 15.00 | 30.00 | 3.00 | 6.00 | |||||||||||
| 3 | Interactive media and services | Senior secured | N/A | No | N/a | 14.73 | 44.73 | 2.95 | 8.95 | |||||||||||
| 4 | Professional services | Senior secured | N/A | No | N/a | 14.21 | 58.94 | 2.84 | 11.79 | |||||||||||
| 5 | Machinery | Senior secured | N/A | No | N/a | 14.11 | 73.05 | 2.82 | 14.61 | |||||||||||
| N/A--Not applicable. | ||||||||||||||||||||
Industry and ratings distribution
Chart 4 shows the top five industry distribution in the portfolio, and chart 5 shows the ratings distribution in the portfolio.
Chart 4
Chart 5
Recovery rating and maturity distribution
Table 7 and chart 6 present a summary of identified portfolio S&P Global Ratings' loan recovery rates. Chart 7 shows the maturity distribution in the identified portfolio.
Table 7
| Performing identified collateral modeled WARR | ||||||
|---|---|---|---|---|---|---|
| Liability rating category | WARR (%) | Min. covenanted WARR (%) | ||||
| AAA (sf) | 49.98 | N/A | ||||
| AA (sf) | 55.00 | N/A | ||||
| A (sf) | 59.01 | N/A | ||||
| BBB (sf) | 63.02 | N/A | ||||
| WARR--Weighted average recovery rate. | ||||||
Chart 6
Chart 7
Debt Payment Considerations
Overcollateralization, interest coverage, and reinvestment overcollateralization tests
The rated debt benefits from certain structural features that require sequential mandatory redemption upon a breach of any overcollateralization or interest coverage test.
Table 10
| O/C and I/C tests | ||||||||
|---|---|---|---|---|---|---|---|---|
| Class | Actual O/C (%) | Min. O/C required (%) | Min. I/C required (%) | |||||
| A | 140.85 | 130.85 | 115.00 | |||||
| B | 131.58 | 123.08 | 105.00 | |||||
| C | 124.22 | 118.22 | N/A | |||||
| O/C--Overcollateralization. I/C--Interest coverage. N/A--Not applicable. | ||||||||
Payment priorities
Under the transaction documents, the collateral's interest and principal collections are payable according to separate payment priorities. On each payment date during and after the reinvestment period, unless an acceleration following an event of default occurs, the proceeds will be distributed in the priorities outlined in tables 12 and 13.
Table 12
| Interest waterfall payment priority | ||||
|---|---|---|---|---|
| Priority | Payment | |||
| 1 | Taxes and fees, then administrative expenses (capped). | |||
| 2 | Senior management fee, then, at election of manager, any deferred senior management fee as either interest or principal proceeds (capped), then any cumulative deferred senior collateral manager fee at the election of manager (capped as to not cause a non-payment of interst on any class of secured notes). | |||
| 3 | Hedge payments, if applicable, except for amounts due to termination (or partial termination), then hedge payments pursuant to an early termination (or partial termination). | |||
| 4 | Class A-1 note interest. | |||
| 5 | Class A-2 note and A-2 loan interest, pro rata. | |||
| 6 | Class A coverage tests(i)(ii) | |||
| 7 | Class B note interest. | |||
| 8 | Class B coverage tests(i)(ii). | |||
| 9 | Class B note deferred interest. | |||
| 10 | Class C note interest. | |||
| 11 | Class C coverage tests(i)(ii). | |||
| 12 | Class C note deferred interest. | |||
| 13 | Subordinated management fee, then, at election of manager, any deferred subordinated management fee as either interest or principal proceeds (capped) and then any cumulative deferred subordinated collateral management fee at the election of the manager. | |||
| 14 | Administrative expenses to the trustee and bank in each of its capacities in the transaction documents(uncapped), then administrative expenses to any other person, then hedge payments, then refinancing/re-pricing expenses. | |||
| 15 | At the direction of the manager, for deposit into the supplemental reserve accounts. | |||
| 16 | To the holders of the subordinated notes. | |||
| (i)If it fails, pay according to the debt payment sequence until each test is satisfied. (ii) Debt payment sequence: Class A-1 note interest, then class A-1 note principal, then class A-2 note and A-2 loan interest, pro rata, then class A-2 note and A-2 loan principal, pro rata, then class B note interest and deferred interest, then class B note principal, then class C note interest and deferred interest, then class C note principal. | ||||
Table 13
| Principal waterfall payment priority | ||||
|---|---|---|---|---|
| Priority | Payment | |||
| 1 | Items 1-5 of the interest waterfall. | |||
| 2 | Item 6 of the interest waterfall(i). | |||
| 3 | Item 7 of the interest waterfall(iii). | |||
| 4 | Item 8 of the interest waterfall(i) | |||
| 5 | Item 9 of the interest waterfall(iii). | |||
| 6 | Item 10 of the interest waterfall(iii). | |||
| 7 | Item 11 of the interest waterfall(i) | |||
| 8 | Item 12 of the interest waterfall(iii). | |||
| 9 | On any redemption date (other a partial redemption or re-pricing), pay according to the note payment sequence(ii). | |||
| 10 | Pay in accordance with note payment sequence(ii). | |||
| 11 | Item 13 of the interest waterfall. | |||
| 12 | Administrative expenses (uncapped). | |||
| 13 | Hedge payments, if applicable. | |||
| 14 | Reserved. | |||
| 15 | To the holders of the subordinated notes. | |||
| (i)If it fails, pay according to the debt payment sequence until each test is satisfied. (ii)See table 11 footnotes for the debt payment sequence. (iii)In each case, only to the extent that the relevant class is the controlling class. | ||||
Surveillance
S&P Global Ratings will maintain active surveillance on the rated notes until the notes mature or are retired, or until its credit ratings on the transaction have been withdrawn. The purpose of surveillance is to assess whether the rated notes are performing within the initial parameters and assumptions applied to each rating category. The issuer is required under the terms of the transaction documents to supply periodic reports and notices to S&P Global Ratings to maintain continuous surveillance on the rated notes. For more information on our CLO surveillance process, see "S&P Global Ratings' Surveillance Process For Monitoring CLO Transactions," published date October 14, 2022.
Related Criteria
- General Criteria: Environmental, Social, And Governance Principles In Credit Ratings , Oct. 10, 2021
- Criteria | Structured Finance | General: Global Framework For Payment Structure And Cash Flow Analysis Of Structured Finance Securities , Dec. 22, 2020
- 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
- Legal Criteria: Structured Finance: Asset Isolation And Special-Purpose Entity Methodology , March 29, 2017
- 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 | 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
Related Research
- Global Structured Finance 2023 Outlook, Jan. 11, 2023
- ESG Credit Indicator Report Card: Global CLOs, Nov. 24, 2022
- Scenario Analysis: How Resilient Are Middle-Market CLO Ratings (2022 Update), Oct. 19, 2022
- CLO Spotlight: S&P Global Ratings' Surveillance Process For Monitoring CLO Transactions, Oct. 14, 2022
- Scenario Analysis: How The Next Downturn Could Affect U.S. BSL CLO Ratings (2022 Update), Aug. 4, 2022
- Credit FAQ: Anatomy Of A Credit Estimate: What It Means And How We Do It, Jan. 14, 2021
- All You Need To Know About CDO Monitor, March 26, 2020
- Credit FAQ: Understanding S&P Global Ratings' Updated CLO And Corporate CDO Criteria, June 26, 2019
- CLO Spotlight: S&P Global Ratings' Updated Assumptions For CDO Monitor Non-Model Version, June 21, 2019
- Credit FAQ: Key Considerations For September 2018 Updates To CDO Evaluator Industry Codes, Sept. 26, 2018
- Global Structured Finance Scenario And Sensitivity Analysis 2016: The Effects Of The Top Five Macroeconomic Factors, Dec. 16, 2016
- New Version Of CDO Evaluator (7.1) Includes Updated Corporate Industry Codes, Sept. 13, 2016
- CLO Spotlight: How S&P Global Ratings Assesses Operational And Administrative Risks Of CLO Collateral Managers, April 19, 2016
- S&P Adds Transparency To Its Effective Date Process For CLOs, April 20, 2015
- How Typical CLO Document Provisions Affect Maintenance Of Collateral Characteristics For Managed CLOs, Nov. 6, 2013
- CDO Spotlight: How Deferrable Assets In CLOs Are Treated Under Standard & Poor's Methodology, Oct. 1, 2012
| Primary Credit Analyst: | Christopher R Davis, New York + 1 (212) 4383019; christopher.davis@spglobal.com |
| Secondary Contact: | Cesar Torres, CFA, Chicago (1) 312-233-7090; cesar.torres@spglobal.com |
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