CarVal CLO VII-C Ltd. Debt Rated In Connection With Refinancing
Overview
- CarVal CLO VII-C Ltd. refinanced its class A-1, A-2, B-1, B-2, C, D, and E debt on July 22, 2024, through an optional redemption and replacement debt issuance.
- After analyzing the changes to the transaction, we assigned ratings to the replacement class A-1-R, A-2-R, B-R, C-R, D-1R, D-2R, and E-R debt. At the same time, we withdrew our ratings on the original class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full.
- The ratings reflect our view of the credit support available to the refinanced debt after examining the new capital structure and payment mechanics.
NEW YORK (S&P Global Ratings) July 22, 2024--S&P Global Ratings today assigned its ratings to the class A-1-R, A-2-R, B-R, C-R, D-1R, D-2R, and E-R replacement debt from CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC, a CLO originally issued in February 2023 that is managed by CarVal CLO Management LLC. At the same time, we withdrew our ratings on the original class A-1, A-2, B-1, B-2, C, D, and E debt following payment in full on the July 22, 2024, refinancing date. (See ratings list.)
The replacement debt was issued via a supplemental indenture, which outlines the terms of the replacement debt. According to the supplemental indenture:
- The non-call period was extended to July 20, 2026.
- The reinvestment period was extended to July 20, 2029.
- The legal final maturity dates (for the replacement debt and the existing subordinated notes) were extended by approximately 2.5 years to July 20, 2037.
- The target initial par amount remains at $500 million. There was no additional effective date or ramp-up period, and the first payment date following the refinancing is Oct. 20, 2024.
- The required minimum overcollateralization and interest coverage ratios were amended.
- No additional subordinated notes were issued on the refinancing date.
Our review of this transaction included a cash flow analysis, based on the portfolio and transaction data 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 the recoveries upon default under various interest rate and macroeconomic scenarios. Our analysis also considered the transaction's ability to pay timely interest and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis (and other qualitative factors, as applicable) demonstrated, in our view, that the outstanding rated classes all have adequate credit enhancement available at the rating levels associated with the rating actions.
We will continue to review whether, in our view, the ratings assigned to the debt remain consistent with the credit enhancement available to support them and take rating actions as we deem necessary.
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
- Criteria | Structured Finance | General: Structured Finance Criteria Introduced For Cayman Islands Special-Purpose Entities, July 18, 2002
Related Research
- Presale: CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC (Refinancing And Extension), July 17, 2024
- Credit FAQ: A Closer Look At Uptier Priming And Asset Drop-Down Provisions In U.S. CLOs, July 26, 2023
- 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
Ratings Assigned
CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC
- Class A-1-R, $310.00 million: AAA (sf)
- Class A-2-R, $15.00 million: AAA (sf)
- Class B-R, $55.00 million: AA (sf)
- Class C-R (deferrable), $30.00 million: A (sf)
- Class D-1R (deferrable), $30.00 million: BBB- (sf)
- Class D-2R (deferrable), $5.00 million: BBB- (sf)
- Class E-R (deferrable), $15.00 million: BB- (sf)
Ratings Withdrawn
CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC
- Class A-1 to NR from 'AAA (sf)'
- Class A-2 to NR from 'AAA (sf)'
- Class B-1 to NR from 'AA (sf)'
- Class B-2 to NR from 'AA (sf)'
- Class C (deferrable) to NR from 'A (sf)'
- Class D (deferrable) to NR from 'BBB- (sf)'
- Class E (deferrable) to NR from 'BB- (sf)'
Other Debt
CarVal CLO VII-C Ltd./CarVal CLO VII-C LLC
- Subordinated notes, $52.30 million: Not rated
- NR--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: | Jordyn N Auge, New York +1 2124380336; jordyn.auge@spglobal.com |
| Secondary Contact: | Joel M Omansky, New York +1 (212) 438 0984; joel.omansky@spglobal.com |
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