DBRS Morningstar Confirms Ratings on the Class A-1 Notes Issued by Garrison Funding 2018-2 Ltd.
The rating on the Class A-1R-R Notes addresses the timely payment of interest up to the Interest Rate Cap (as defined in the Indenture) and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture). The rating on the Class A-1R-R Notes does not address the payment of any Class A-1R Note Additional Amount (as defined in the Indenture). The rating on the Class A-1T-R Notes addresses the timely payment of interest and the ultimate payment of principal on or before the Stated Maturity (as defined in the Indenture).
The Secured Notes (as defined in the Indenture) issued by Garrison CLO are collateralized primarily by a portfolio of
On
The ratings reflect the following:
(1) The Indenture dated as ofOctober 18, 2018 ;
(2) The integrity of the transaction structure;
(3) DBRS Morningstar's assessment of the portfolio quality;
(4) Adequate credit enhancement to withstand projected collateral loss rates under various cash flow stress scenarios; and
(5) DBRS Morningstar's assessment of the origination, servicing, and collateralized loan obligation management capabilities of GCI, GCA, Garrison, PRFC, SCIM, andBC Partners .
To assess portfolio credit quality, DBRS Morningstar provides a credit estimate or internal assessment for each nonfinancial corporate obligor in the portfolio not rated by DBRS Morningstar. Credit estimates are not ratings; rather, they represent a model-driven default probability for each obligor that is used in assigning a rating to the facility.
The Events of Default (EOD) contain an EOD Overcollateralization Ratio trigger; however, the Assets securing the Secured Notes may not be sold unless the Trustee determines that the liquidation proceeds would be sufficient to repay all interest and principal on the Secured Notes, or Holders of at least a majority of each Class of Secured Notes (voting separately by Class) consent to and direct the sale and liquidation of the Assets (all capitalized terms as defined in the Indenture).
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.
As the Coronavirus Disease (COVID-19) spread around the world, certain countries imposed quarantines and lockdowns, including
In conjunction with DBRS Morningstar's commentary 'Global Macroeconomic Scenarios: Implications for Credit Ratings' published on
For CLOs, DBRS Morningstar ran an additional higher default adjustment on the weighted-average DBRS
For more information regarding DBRS Morningstar's simplified set of macroeconomic scenarios for select economies related to the coronavirus, please see its
https://www.dbrsmorningstar.com/research/364318, and its
https://www.dbrsmorningstar.com/research/366543.
For more information regarding DBRS Morningstar's additional adjustment for select industries related to the coronavirus, please see its
Notes:
All figures are in
The principal methodology is Rating CLOs and CDOs of Large Corporate Credit (
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
The rated entity or its related entities did participate in the rating process for this rating action. DBRS Morningstar had access to the accounts and other relevant internal documents of the rated entity or its related entities in connection with this rating action.
Please see the related appendix for additional information regarding the sensitivity of assumptions used in the rating process.
This rating is endorsed by
The last rating action on this transaction took place on
For further information on DBRS Morningstar historical default rates published by the
Lead Analyst:
Rating Committee Chair:
Initial Rating Date:
For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.
Tel. +1 212 806-3277
Rating CLOs and CDOs of Large Corporate Credit and CLO Asset Model Version 2.2.3 (
Operational Risk Assessment for Collateralized Loan Obligation (CLO) and Collateralized Debt Obligation (CDO) Managers of Large Corporate Credits (
https://www.dbrsmorningstar.com/research/366977/operational-risk-assessment-for-collateralized-loan-obligation-clo-and-collateralized-debt-obligation-cdo-managers-of-large-corporate-credits
Cash Flow Assumptions for Corporate Credit Securitizations (
https://www.dbrsmorningstar.com/research/364311/cash-flow-assumptions-for-corporate-credit-securitizations
Interest Rate Stresses for
https://www.dbrsmorningstar.com/research/361961/interest-rate-stresses-for-us-structured-finance-transactions
Legal Criteria for
https://www.dbrsmorningstar.com/research/355719/legal-criteria-for-us-structured-finance
Ratings
Date Issued Debt Rated Action Rating Trend Issued
i
US =
CA = Canada Issued, NRSRO
EU = EU Issued, NRSRO
E = EU endorsed
Unsolicited Participating With Access
Unsolicited Participating Without Access
Unsolicited Non-Participating
21-Oct-20 Class A-1R-R Notes ConfirmedAAA (sf) -- USE
21-Oct-20 Class A-1T-R Notes ConfirmedAAA (sf) -- USE
ALL DBRS RATINGS ARE SUBJECT TO DISCLAIMERS AND CERTAIN LIMITATIONS. PLEASE READ THESE DISCLAIMERS AND LIMITATIONS AND ADDITIONAL INFORMATION REGARDING DBRS RATINGS, INCLUDING DEFINITIONS, POLICIES, RATING SCALES AND METHODOLOGIES.
(C) 2020 Electronic News Publishing, source