European CLO Performance Index Report Q4 2013: The Market Experiences A Revival With Default Rates Staying Low

STRUCTURED FINANCE RESEARCH
European CLO Performance Index Report Q4 2013: The Market Experiences A Revival With Default Rates Staying Low
Primary Credit Analyst: Ruslan Akhmetshin, London (44) 20-7176-3968; ruslan.akhmetshin@standardandpoors.com Secondary Contacts: Matthew Jones, London (44) 20-7176-3591; matthew_jones@standardandpoors.com Emanuele Tamburrano, London (44) 20-7176-3825; emanuele.tamburrano@standardandpoors.com Sandeep Chana, London (44) 20-7176-3923; sandeep_chana@standardandpoors.com Research Contributors: Ian R Chandler, New York (1) 212-438-1538; ian.chandler@standardandpoors.com Rakshadevi S Tawde, Mumbai; rakshadevi_tawde@standardandpoors.com
Table Of Contents
A Typical European CLO 2.0 And Structural Features Default Rates In European CLO 1.0 Transactions 'CCC' Rated Assets Defaulted Assets Senior OC Ratios Subordinate OC Ratios Notes Related Criteria And Research
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Since Standard & Poor's Ratings Services published its Q3 2013 European CLO Performance Index Report, a further seven new collateralized loan obligation (CLO) transactions have closed in Europe (Carlyle Global Market Strategies Euro CLO 2013-2 Ltd., Avoca Capital CLO X Ltd., St. Paul's CLO III Ltd., Grosvenor Place 2013-1 B.V., Euro-Galaxy III CLO B.V., Dryden 29 Euro CLO 2013 B.V., and North Westerly CLO IV 2013 B.V.). In 2013, 20 CLOs closed in Europe, including five in December alone, bringing total issuance for the year to 7.15 billion. We rated 18 European CLO transactions in 2013 (see table 1). In this report, we analyze these transactions' structures and their evolution over time. Overview We rated 18 European CLO transactions in 2013. We have analyzed their credit enhancement, 'AAA' spreads, and some of the structural features present in several European CLO 2.0 transactions. This edition of our index report also considers European CLO 1.0 default rates and compares them with the LCD S&P European Leveraged Loan Index. Default rates in European CLO 1.0 transactions were consistently lower than LCD S&P ELLI default rates since Q3 2011. Senior OC ratios increased across all of the vintages tracked in our index. With the exception of the 2005 cohort, the subordinate OC ratio test cushions showed improved performance for European CLO cohorts.
Credit enhancement for the 'AAA' tranche is a key characteristic of a CLO as it shows the extent of protection available to the 'AAA' noteholders from the subordination of the junior tranches in the structure. Chart 1 shows the available credit enhancement distribution for these tranches in the CLO transactions that we rated in 2013. Out of 18 transactions, 11 have available credit enhancement of between 39.1% and 42.0%. This is significantly higher than the typical 30% that European CLOs had before the financial crisis.
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Chart 1
The distribution is positively skewed, with two transactions exhibiting much higher available credit enhancement than the others (GoldenTree Credit Opportunities European CLO 2013-1 B.V. with 55.00% and Euro-Galaxy III CLO with 50.88%). GoldenTree 2013-1 was the first multicurrency CLO 2.0 transaction to be issued in Europe. One of the senior tranches was issued in British pound sterling, with the intention to invest in a comparable amount of GBP assets, thereby forming a natural hedge. The higher available credit enhancement aims to account for the inherent foreign exchange risk in the transaction because no counterparty is involved in foreign exchange hedging arrangements. In Euro-Galaxy III, the 'AAA'-rated tranches did not rank pari passu with each other at closing. The senior tranches within this category therefore benefit from higher credit enhancement. The break-even default rate (BDR) cushion for these tranches was 11.87% at closing (the BDR cushion is the excess of the tranche BDR above the scenario default rate at the assigned rating for a given class of rated notes). The junior tranche has available credit enhancement of 38.67% and had a BDR cushion of 1.05% at closing. Most European CLO 2.0 transactions that closed in 2013 had spreads of 135 basis points (bps) for the senior 'AAA' tranche (see chart 2). Almost all of the spreads are between 125 bps and 145 bps, with just one outlierHayfin Ruby II
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Luxembourg S.C.A., which pays 155 bps on its class A1 and A2 notes.
Chart 2
Spreads on the senior floating-rate notes in European CLOs started at about 130 bps in 2013 and increased moderately over the year, with later transactions closing at about 140 bps (see chart 3). There are two outliersHayfin Ruby II at 155 bps and Cairn CLO III B.V. (the inaugural European CLO 2.0), at 140 bps. Factors that may have contributed to the widening spreads include a shortage of 'AAA' investors, regulatory initiatives (e.g., the Foreign Account Tax Compliance Act [FATCA], and the 5% risk retention rule), and difficulties in asset sourcing. The Volcker Rule for CLOs may contribute to this trend in the future as well. Any further widening of spreads in 2014 without corresponding increases in asset spreads could constrain arbitrage and equity returns.
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Chart 3
A Typical European CLO 2.0 And Structural Features

In 2013, the European CLO market reemerged, with early structures being relatively simple and less leveraged than their pre-crisis counterparts. A typical European CLO 2.0 is a single currency, semiannual transaction, with a 300 to 400 million target par balance, a four-year reinvestment period, and a two-year noncall period. It also has 40% available credit enhancement, no fixed-rate tranches, a 4% weighted-average spread, a 6.5% weighted-average coupon, an eight-year maximum weighted-average life, and a 37% minimum 'AAA' weighted-average recovery rate. The majority of 2013 CLOs comply with the 5% retention rule by holding a horizontal slice of the equity in the capital structure. The most common concentration limits for a European CLO 2.0 include: 90% minimum senior secured loans and bonds; 5% assets paying interest at least semiannually; 10% maximum fixed-rate assets; no limit on covenant-lite loans; 5% maximum current pay assets; 5% maximum debtor-in-possession (DIP)/corporate rescue loans; and a maximum of 10% of assets in countries that have a long-term 'A-' rating. Most transactions do not allow the purchase of project finance loans, synthetic securities, structured finance, and long-dated assets.
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Typical senior and subordinated manager fees are 15 bps and 35 bps, respectively. We have observed that most equity hurdle rates (the required rate of return before incentive management fee) are equal to 12%. The most frequent incentive management fee is 10%, but 20% fees have been more common in recent transactions. We have observed that CLO 2.0 transaction structures continued to evolve in 2013 and include some of our observations below. We may see further evolution in these areas in 2014 as investors seek greater flexibility and more customized investment solutions, and arrangers seek to increase the number of investors in the most senior parts of the capital structure.
Multicurrency transactions
Only two European CLOs 2.0 that we rate are multicurrency transactionsGoldenTree 2013-1 and Hayfin Ruby II. Both transactions have both pound sterling-denominated and euro-denominated tranches. While this attracts a broader investor base and offers more flexibility, it also introduces a foreign exchange risk into the structure, arising from a currency mismatch between the assets and liabilities. Attempts by arrangers and collateral managers to mitigate this risk include offering higher available credit enhancementas is the case in GoldenTree 2013-1or adding foreign exchange options provided by a derivative counterparty, like in Hayfin Ruby II.
Variable funding notes

In 2013, we rated two CLO 2.0 transactions that have variable funding notes (VFNs)Hayfin Ruby II and Euro-Galaxy CLO III. VFNs rank pro rata and pari passu with the most senior notes in the structure and have 'AAA (sf)' ratings. VFNs give the collateral manager additional flexibility to purchase collateral debt obligations during the VFN drawing period (as outlined in the transaction documentation), if the opportunity arises.
Quarterly transactions
Three CLO 2.0 transactions that we rate pay interest quarterlyAres European CLO VI B.V., Carlyle Global Market Strategies Euro CLO 2013-2, and Euro-Galaxy CLO III. While quarterly interest is desirable for some investors to gain more liquidity, its practical implementation in Europe can be challenging. This is a result of reset riskresetting interest payment dates in the underlying loan documents. Substantial reset risk in European CLOs that are backed by a leveraged loan portfolio became known after the financial crisis, when a significant number of European leveraged loans became distressed. In the aforementioned CLO 2.0 transactions, arrangers and collateral managers implemented a dual mechanism as a mitigant. An interest smoothing account retains an appropriate portion of interest from assets paying less frequently than quarterly, and sets it aside for the next payment date. In addition, a liquidity facility is in place to cover any potential shortfalls that may occur on the entire rated capital structure if the assets were to reset.
Fixed-rate tranches
CLO 2.0 transactions that we rated in 2013 containing fixed-rate tranches include: Dryden XXVII Euro CLO 2013 B.V.; Carlyle Global Market Strategies Euro CLO 2013-1 B.V.; GoldenTree Credit Opportunities European CLO 2013-1; Carlyle Global Market Strategies Euro CLO 2013-2; Euro-Galaxy CLO III; Dryden 29 Euro CLO 2013; and North Westerly CLO IV 2013.
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Specifically, fixed-rate tranches comprise a large part of the capital structure in transactions managed by Pramerica Investment Management Ltd.30% in Dryden XXVII and 24% in Dryden 29. Fixed-rate tranches generally offer higher interest income for investors. However, they are exposed to additional interest rate risk if the low interest rate environment were to end. In addition, there is an inherent interest rate risk in some transactions, given the presence of higher buckets for bond purchases in the collateral quality tests.
Derivatives
The use of derivatives in CLO 2.0 transactions has been relatively small, and is mostly limited to perfect asset swaps intended to hedge the foreign exchange risk of non-euro assets in the portfolios of single-currency euro transactions. So far, three counterparties have been active as perfect asset swap providers in European CLO 2.0 transactions. In addition, as mentioned previously, FX options have been used in Hayfin Ruby II to hedge the currency mismatch between liabilities and assets.
Table 1
List Of Transactions Rated By S&P In 2013

Closing date 20/03/2013 09/05/2013 15/05/2013 05/06/2013 17/06/2013 11/07/2013 15/07/2013 24/07/2013 30/08/2013 05/09/2013 12/09/2013 12/09/2013 01/10/2013 26/11/2013 04/12/2013 17/12/2013 19/12/2013 19/12/2013 Transaction Cairn CLO III B.V. Dryden XXVII Euro CLO 2013 B.V. ALME Loan Funding 2013-1 Ltd. Grand Harbour I B.V. Carlyle Global Market Strategies Euro CLO 2013-1 B.V. Goldentree Credit Opportunities European CLO 2013-1 B.V. Jubilee CLO 2013-X B.V. St Pauls CLO II Ltd. Hayfin Ruby II SCA Ares European CLO VI B.V. Harvest CLO VII Ltd. Herbert Park B.V. CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 2013-2 Ltd. Avoca Capital CLO X Ltd. St Paul's CLO III Ltd. Euro-Galaxy CLO III B.V. Dryden 29 Euro CLO 2013 B.V. North Westerly CLO IV 2013 B.V. Collateral manager Cairn Capital Ltd. Pramerica Investment Management Ltd. Apollo Credit Management (CLO), LLC Blackstone/GSO Debt Funds Europe Ltd. CELF Advisors LLP GoldenTree Asset Management LP Alcentra Ltd. Intermediate Capital Managers Ltd. Haymarket Financial LLP Ares Management Ltd. 3i Debt Management Investments Ltd. Blackstone/GSO Debt Funds Europe Ltd. CELF Advisors LLP Avoca Capital Holdings Intermediate Capital Managers Ltd. PineBridge Investments Europe Ltd. Pramerica Investment Management Ltd. NIBC Bank N.V.
Default Rates In European CLO 1.0 Transactions

This edition of our index report also introduces our analysis of the asset default rates for European CLO 1.0 transactions that we rate (see chart 4). Generally, all European cohorts exhibit similar 12-month default rate patterns. This is explained by a degree of overlap in their portfolio composition for all issuance years (see "Portfolio Overlap in European CLOs Means Changes in Corporate Creditworthiness Can Have A Widespread Effect," published on Oct. 10, 2011).
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However, chart 4 also shows that transactions from earlier vintages tend to exhibit larger default rates than those from later ones. This is a result of their amortization over several yearstheir portfolios are reducing in size and becoming more concentrated. As a result, a single obligor default may represent a higher percentage of the total amount of assets outstanding. The default rates decreased steadily between Q1 2010 and Q3 2011, increased slightly between Q3 2011 and Q3 2012, and then decreased. This pattern reflects general market movements over this period. For example, borrowers now have a greater ability to refinance and roll over their obligations, which has contributed to decreasing default rates.
Chart 4
We have aggregated the results for all cohorts and compared them with the LCD S&P European Leveraged Loan Index (ELLI). At the outset of the financial crisis and shortly after, a significant number of loans in CLO 1.0 transactions became distressed and had high default rates. However, since mid-2011, default rates have been consistently lower than the S&P ELLI benchmark. They increased to some extent between Q3 2011 and Q3 2012, but decreased after. This pattern is similar to the LCD S&P ELLI default rates over the same period, but default rates in European CLO 1.0 transactions were consistently lower than the ELLI default rates since Q3 2011. In our view, this reflects CLO managers' ability to use credit selection to outperform the leveraged loan market.
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The decline in both European CLO 1.0 default rates and the ELLI default rates suggests improving credit conditions and a greater amount of available liquidity for refinancing. Although most of the CLOs are now amortizing, they are still being managed subject to reinvestment criteria restrictions. Collateral managers have attempted to shift out the maturities of underlying loans via amend-to-extend (A-2-E) transactions (see "European CLOs: Life After The Reinvestment Period," published on May 14, 2013). This may have contributed to the decrease in default rates. The default rates for European CLO 1.0 transactions and the LCD S&P ELLI index are calculated by adding the par amount of the defaulted assets in the 12 months prior to the date of a data point, and dividing it by the total amount outstanding at the beginning of such 12-month period. As of the beginning of January 2013, the par amount of European CLO 1.0 transactions that we rate outstanding was 66 billion and the par amount of loans tracked in the S&P ELLI index was 103 billion.
Chart 5
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'CCC' Rated Assets

'CCC' rated assets are an important measure of European CLO performance as an increase in 'CCC' rated assets can indicate a reduction in the credit quality of the collateral portfolio. The level of 'CCC' assets can also have the effect of reducing overcollateralization (OC) test results as 'CCC' rated assets may not be carried at their full par value. From September 2013 to November 2013, the percentage of assets rated in the 'CCC' category ('CCC+', 'CCC', or 'CCC-') has shown mixed performance for various European CLO cohorts (see chart 6). By vintage, the reported level of 'CCC' rated assets in European cash flow CLOs, as a percentage of total assets in November 2013, was as follows: 2004 vintage CLOs: 12.83% of total assets (up from 10.18% in August 2013); 2005 vintage CLOs: 7.44% of total assets (up from 6.84% in August 2013); 2006 vintage CLOs: 5.04% of total assets (down from 5.15% in August 2013); 2007 vintage CLOs: 3.91% of total assets (down from 4.28% in August 2013); and 2008 vintage CLOs: 6.21% of total assets (down from 7.07% in August 2013).
The changes in 'CCC'-rated assets are explained by rating migration in the underlying portfolio, they depend on the pool composition of individual transactions. In addition, all else being equal, the percentage of 'CCC'-rated assets increases as the portfolios become smaller in size and more concentrated, due to deleveraging. Deleveraging has a greater effect on the 2004 and 2005 vintages, showing the highest percentages of 'CCC'-rated assets.
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Chart 6
Defaulted Assets
Defaulted assets are a key indicator of CLO performance as a defaulted asset may result in a loss of principal to the CLO and a corresponding decline in credit enhancement. From September 2013 to November 2013, the percentage of defaulted assets (i.e., assets from obligors rated 'CC', 'C', 'SD' [selective default], or 'D') in collateral portfolios increased for all of the European CLO cohorts. As of November 2013 , the percentage of defaulted assets in each underlying collateral portfolio was as follows: 2004 vintage CLOs: 6.13% of total assets (up from 5.94% in August 2013); 2005 vintage CLOs: 4.34% of total assets (up from 3.22% in August 2013); 2006 vintage CLOs: 3.20% of total assets (up from 2.81% in August 2013); 2007 vintage CLOs: 2.27% of total assets (up from 1.91% in August 2013); and 2008 vintage CLOs: 2.47% of total assets (up from 1.16% in August 2013).
These calculations show the proportion of assets that are currently in default, over total assets (not including principal cash). All else being equal, the percentage of defaulted assets increases as the portfolios become smaller in size and
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more concentrated, due to deleveraging. The data shows that the defaulted assets now constitute a higher percentage of all CLO cohortsa trend that is mostly explained by deleveraging and by the presence of assets reported as defaulted for several periods in a row.
Chart 7
Senior OC Ratios
The senior OC ratio test is a par value test to protect senior noteholders. Declines in the senior OC ratio test results can indicate decreasing credit quality of the CLO. The senior OC ratio test cushions signaled improved performance (based on transaction trustee reports) across European CLO cohorts since August 2013. The cushions increased for all cohorts included in our index (see chart 8). The senior OC ratio test cushions (based on reported information) as of November 2013 were as follows: 2004 vintage CLOs: 62.32% of total assets (up from 56.37% in August 2013); 2005 vintage CLOs: 32.31% of total assets (up from 24.87% in August 2013); 2006 vintage CLOs: 21.49% of total assets (up from 17.75% in August 2013); 2007 vintage CLOs: 15.95% of total assets (up from 14.62% in August 2013); and
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European CLO Performance Index Report Q4 2013: The Market Experiences A Revival With Default Rates Staying Low 2008 vintage CLOs: 51.43% of total assets (up from 45.23% in August 2013). The increase in senior OC ratios can be partially attributed to the fact that many European CLOs included in our index are now beyond their reinvestment period. As the CLO deleverages, the senior OC ratio will increase.
Chart 8
Subordinate OC Ratios
The subordinate OC ratio test is the par value test for the junior notes in the CLO. Failure to satisfy this test would cause interest and principal to be redirected to pay down the most senior class of notes until the test is satisfied. With the exception of the 2005 cohort, the subordinate OC ratio test cushions showed improved performance for European CLO cohorts, since August 2013. As of November 2013, the subordinate OC ratio test cushions (based on reported information) were as follows: 2004 vintage CLOs: -2.85% of total assets (up from -4.93% in August 2013); 2005 vintage CLOs: 0.56% of total assets (down from 1.42% in August 2013); 2006 vintage CLOs: 1.23% of total assets (up from 0.82% in August 2013);
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European CLO Performance Index Report Q4 2013: The Market Experiences A Revival With Default Rates Staying Low 2007 vintage CLOs: 0.87% of total assets (up from 0.75% in August 2013); and 2008 vintage CLOs: 2.24% of total assets (up from 1.44% in August 2013). Again, as CLOs deleverage, this can increase subordinate OC ratios. However, for certain vintages, the deleveraging has been offset by defaults and junior notes deferring interest, causing the junior OC ratios to decrease.
Chart 9
Notes
Due to the timing of transaction trustee reports, our Q4 2013 data take into account September 2013, October 2013, and November 2013. For specific definitions of the performance fields used in this report, see "Glossary Of Cash Flow CLO Performance Index Fields," published on Jan. 30, 2009. For the list of transactions this report tracks, see "List Of European CLO Transactions Included In CLO Performance Index Report (As Of February 2013)," published on Feb. 13, 2013. Our European CLO Performance Index Report provides aggregate performance statistics across most of our rated European cash flow CLO transactions backed primarily by corporate loans. We provide this information to help market participants track the overall performance of European cash flow CLO transactions and to benchmark the performance
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of the transactions they follow against the performance of cohorts of similar transactions. Our quarterly European CLO Index Report highlights what we view as a number of key risk areas for the transactions, and which we use as part of our analysis of the credit quality of securitized portfolios and of the transactions' payment structure and cash flow mechanics. These include rating migration within the underlying collateral portfolios, as well as other information relevant to the sector. We divide the performance information in the CLO indexes into five cohorts, each containing data for most of the European CLO transactions we rated and issued in a specific vintage year from 2004 through 2008. We collect the performance information from transaction-level performance data in our collateralized debt obligation (CDO) surveillance databases. Information prior to the most recent 12 months is available on CDO Interface, Standard & Poor's Web-based portal for CDO performance information, at www.cdointerface.com. To generate, view, and download data from the CDO indexes, log onto CDO Interface, and then select the "Indexes" tab.
Related Criteria And Research

New Issue: North Westerly CLO IV 2013 B.V., Dec. 19, 2013 New Issue: Dryden 29 Euro CLO 2013 B.V., Dec. 19, 2013 New Issue: Euro-Galaxy III CLO B.V., Dec. 17, 2013 New Issue: St. Paul's CLO III Ltd., Dec. 4, 2013 New Issue: Avoca Capital CLO X Ltd., Nov. 26, 2013 New Issue: Carlyle Global Market Strategies Euro CLO 2013-2 Ltd., Oct. 1, 2013 European CLOs: Life After The Reinvestment Period, May 14, 2013 List Of European CLO Transactions Included In CLO Performance Index Report (As Of February 2013), Feb. 13, 2013 Portfolio Overlap in European CLOs Means Changes in Corporate Creditworthiness Can Have A Widespread Effect, Oct. 10, 2011 Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009 Glossary Of Cash Flow CLO Performance Index Fields, Jan. 30, 2009
Additional Contact: Structured Finance Europe; StructuredFinanceEurope@standardandpoors.com
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European CLO Performance Index Report Q4 2013: The Market Experiences A Revival With Default Rates Staying Low

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STRUCTURED FINANCE RESEARCH

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A Typical European CLO 2.0 And Structural Features

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Variable funding notes

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List Of Transactions Rated By S&P In 2013

Default Rates In European CLO 1.0 Transactions

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'CCC' Rated Assets

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Related Criteria And Research

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