OREANDA-NEWS. S&P Global Ratings today raised all of its credit ratings in CELF Low Levered Partners PLC (see list below).

Today's upgrades follow our assessment of the transaction's performance using data from the trustee report, dated May 31, 2016, in addition to our credit and cash flow analysis. We have also taken into account recent developments in the transaction.

Since our previous review in 2013, we have observed that the class A-1, A-2, and A-3 notes have amortized by €136.9 million, while the portfolio balance that we consider to be performing has decreased by €143.7 million (see "RatingsRaised On All Classes Of Notes In CLO Transaction CELF Low Levered Partners Following Performance Review").

We have also observed an increase in credit enhancement for all classes of notes, along with positive ratings migration in the portfolio The proportion of assets that we consider to be rated in the 'CCC' category ('CCC+', 'CCC', and 'CCC-') has increased by 0.7%. However, the proportion of defaulted assets (rated 'CC', 'SD' [selective default], and 'D') in the pool has decreased significantly, to about €1 million from about €9.5 million. In addition, the average rating of the underlying portfolio has also improved.

Over the same time period, the pool's weighted-average spread has fallen to 3.59% from 3.95%.

We have subjected the capital structure to a cash flow analysis to determine the break-even default rate. In our analysis, we used the reported portfolio balance that we consider to be performing, the principal cash balance, the current weighted-average spread, and the weighted-average recovery rates that we considered to be appropriate. We incorporated various cash flow stress scenarios using various default patterns, levels, and timings for each liability rating category, in conjunction with different interest rate stress scenarios.

JP Morgan Chase Bank N. A. currently provides a currency swap for the pool's non-euro-denominated assets. Since the swap documents do not completely reflect our current counterparty criteria, the 'A+' long-term issuer credit rating on JP Morgan Chase Bank can support ratings up to 'AA - (sf)' under our criteria (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013).

We have therefore stressed non-euro-denominated assets in 'AA' scenarios and above. Since the portfolio contains only 3.6% of non-euro-denominated assets, the stress does not materially affect the results of our analysis.

Taking into account our credit and cash flow analysis, we consider the available credit enhancement for all classes of notes to be commensurate with higher rating levels. We have therefore raised our ratings on the class A-1, A-2, A-3, B, and C notes.

CELF Low Levered Partners is a cash flow collateralized loan obligation (CLO) transaction that securitizes loans to primarily speculative-grade corporate firms.