OREANDA-NEWS. S&P Global Ratings today raised its credit ratings on Garda CLO B. V.'s class B, C, D, E, and F notes. At the same time, we have affirmed our 'AAA (sf)' rating on the class A notes (see list below).

Today's rating actions follow our assessment of the transaction's performance using data from the July 29, 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, the weighted-average spread, 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 Aug. 8, 2016). We applied various cash flow stresses, using our standard default patterns, in conjunction with different interest rate stress scenarios.

The class A and E notes have amortized by €50.32 million and €0.69 million, respectively, since our previous review (see "Various Rating Actions Taken In Cash Flow CLO Transaction Garda CLO Following Performance Review," published on July 24, 2015). In our view, this has increased the available credit enhancement for all rated classes of notes. We have also observed that both the weighted-average spread and the concentration of 'CCC' category ('CCC+', 'CCC', and 'CCC-') rated assets has remained stable since our previous review.

Non-euro-denominated assets comprise 7.92% of the aggregate collateral balance. A cross-currency swap agreement hedges these assets. In our cash flow analysis, we considered scenarios where the hedging counterparty does not perform, and where the transaction is therefore exposed to changes in currency rates.

Taking into account the results of our credit and cash flow analysis and the application of our current counterparty criteria, we consider that the available credit enhancement for the class B, C, D, E, and F notes is commensurate with higher ratings than those currently assigned (see "Counterparty Risk Framework Methodology And Assumptions," published on June 25, 2013). We have therefore raised our ratings on these classes of notes.

Our analysis also indicates that the available credit enhancement for the class A notes remains commensurate with the currently assigned rating. We have therefore affirmed our 'AAA (sf)' rating on the class A notes.

Garda CLO is a cash flow collateralized loan obligation (CLO) transaction that securitizes loans to primarily speculative-grade corporate firms. The transaction closed in February 2007 and its reinvestment period ended in April 2013. 3i Debt Management Investments Ltd. is the transaction manager.