OREANDA-NEWS. S&P Global Ratings today affirmed its credit ratings on Jubilee CLO 2013-X B. V.'s class A to E notes (see list below).

Today's affirmations follow our assessment of the transaction's performance using data from the June 2016 trustee report and the application of our relevant criteria (see "Related Criteria").

We subjected the capital structure to a cash flow analysis to determine the break-even default rate (BDR) for each rated class at each rating level. The BDR represents our estimate of the maximum level of gross defaults, based on our stress assumptions, that a tranche can withstand and still fully repay the noteholders. In our analysis, we used the portfolio balance that we consider to be performing (€396,173,585), the current weighted-average spread (4.69%), and the weighted-average recovery rates calculated in line with our corporate collateralized debt obligation (CDO) criteria (see "Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Sept. 17, 2015). We applied various cash flow stresses, using our standard default patterns, in conjunction with different interest rate stress scenarios.

Since our effective date analysis in January 2014, the aggregate collateral balance has increased by about €1.5 million (see "Transaction Update: Jubilee CLO 2013-X B. V.," published on Jan. 21, 2014). In our view, this has increased the available credit enhancement for all of the rated classes of notes. We have also observed that there are no longer any assets in the 'CCC' category ('CCC+', 'CCC', and 'CCC-') and no assets classified as defaulted.

We have observed that non-euro-denominated assets currently make up 3.6% of the aggregate collateral balance. A cross-currency swap agreement hedges these assets.

The exposure to obligors based in countries rated below 'A-' is lower than 10% of the aggregate collateral balance (6.4%).

Taking into account the results of our credit and cash flow analysis and the application of our current counterparty criteria and our nonsovereign ratings criteria, we consider that the available credit enhancement for all classes of notes is commensurate with the currently assigned ratings. We have therefore affirmed our ratings on all classes of notes.

Jubilee CLO 2013-X is a cash flow collateralized loan (CLO) obligation (CLO) transaction that securitizes loans to primarily speculative-grade corporate firms. The transaction closed in July 2013 and is managed by Alcentra Ltd.