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Ratings Assigned To Reset European Cash Flow CLO Transaction Harvest CLO VII

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S&P Global Ratings--12 Apr--S&P Global Ratings
OVERVIEW
  • We have assigned our ratings to Harvest CLO VII's class X-R, A-R, B-R, C-R, D-R, E-R, and F-R notes.
  • The transaction is a reset of the already existing transaction with changes to the capital structure and underlying documentation incorporated in the assigned ratings.
  • Harvest CLO VII is a European cash flow CLO securitization of a revolving pool, comprising euro-denominated senior secured loans and bonds issued mainly by European borrowers.

LONDON (S&P Global Ratings) April 12, 2017--S&P Global Ratings today assigned its credit ratings to Harvest CLO VII DAC's class X-R, A-R, B-R, C-R, D-R, E-R, and F-R notes. An unrated subordinated class of notes initially issued in 2013 was not redeemed and remains outstanding with an extended maturity to match the newly issued notes (see list below).

The proceeds from the issuance of these notes were used to redeem the existing class A, B, C, D, and E notes. In addition to the redemption of the existing notes, the issuer uses the remaining funds to purchase additional collateral and to cover fees and expenses incurred during the reset period. The target par remains at €300 million. Concurrent with the new note issuance, the issuer also reset key transactional features, such as the weighted-average life and the reinvestment period.

The ratings assigned to Harvest CLO VII notes reflect our assessment of:
  • The diversified collateral pool, which consists primarily of broadly syndicated speculative-grade senior secured term loans and bonds that are governed by collateral quality tests.
  • The credit enhancement provided through the subordination of cash flows, excess spread, and overcollateralization.
  • The collateral manager's experienced team, which can affect the performance of the rated notes through collateral selection, ongoing portfolio management, and trading.
  • The transaction's legal structure, which is bankruptcy remote.

We consider that the transaction's documented counterparty replacement and remedy mechanisms adequately mitigate its exposure to counterparty risk under our current counterparty criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).

Following the application of our structured finance ratings above the sovereign criteria, we consider the transaction's exposure to country risk to be limited at the assigned rating levels, as the exposure to individual sovereigns does not exceed the diversification thresholds outlined in our criteria (see "Ratings Above The Sovereign - Structured Finance: Methodology And Assumptions," published on Aug. 8, 2016).

At closing, we consider that the transaction's legal structure is bankruptcy remote, in line with our European legal criteria (see "Asset Isolation And Special-Purpose Entity Methodology," published on March 29, 2017).

Following our analysis of the credit, cash flow, counterparty, operational, and legal risks, we believe that our ratings are commensurate with the available credit enhancement for each class of notes.

Harvest CLO VII is a European cash flow corporate loan collateralized loan obligation (CLO) securitization of a revolving pool, comprising euro-denominated senior secured loans and bonds issued mainly by European borrowers. Investcorp Credit Management EU Ltd. is the collateral manager.


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