DBRS Ratings Limited (DBRS Morningstar) discontinued the ratings on the Senior Funding Facility and the Mezzanine Funding Facility (the Facilities) provided to Man GLG Euro CLO VI DAC (the Borrower) by Barclays Bank plc (Barclays).
The discontinuation reflects the full redemption of the Facilities at the payment date on 27 March 2020. Prior to their repayment, the ratings and the outstanding principal balance of the Facilities were as follows:
-- Senior Funding Facility rated at A (low) (sf) with an outstanding principal balance of EUR 164,389,060.82.
-- Mezzanine Funding Facility rated at BB (high) (sf) with an outstanding principal balance of EUR 18,833,182.87.
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.
For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.
For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.
All figures are in euros unless otherwise noted.
The principal methodology applicable to the ratings is “Rating CLOs and CDOs of Large Corporate Credit” (28 February 2020).
In DBRS Morningstar’s opinion, a discontinued-repaid rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.
Other methodologies referenced in this transaction are listed at the end of this press release.
These may be found at: http://www.dbrsmorningstar.com/about/methodologies.
For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/350410/global-methodology-for-rating-sovereign-governments
The sources of data and information used for these ratings include an email notification provided by Barclays and a warehouse daily cash file provided by U.S. Bank Global Corporate Trust Services.
DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.
At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.
DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.
DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.
The last rating action on this transaction took place on 14 October 2019, when DBRS Morningstar finalised the provisional ratings of the Senior Funding Facility and the Mezzanine Funding Facility at A (low) (sf) and BB (high) (sf), respectively.
Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.
As this is a discontinued-repaid rating action, a sensitivity analysis is not applicable.
For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.
Ratings assigned by DBRS Ratings Limited are subject to EU and U.S. regulations only.
Lead Analyst: Francis Quagraine, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 31 January 2019
DBRS Ratings Limited
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London EC3M 3BY United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960
The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrsmorningstar.com/about/methodologies.
-- Rating CLOs and CDOs of Large Corporate Credit (28 February 2020) and CLO Asset Model version 2.2.3
-- Master European Structured Finance Surveillance Methodology (13 December 2019)
-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
-- Cash Flow Assumptions for Corporate Credit Securitizations (28 February 2020)
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019)
-- Operational Risk Assessment for (CLO) and (CDO) Managers of Large Corporate Credits (24 September 2019)
A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375.
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at firstname.lastname@example.org.