-- CIFC Funding 2012-II Ltd./CIFC Funding 2012-II LLC's issuance is a CLO securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans.
-- We assigned our preliminary ratings to the class A and B notes.
-- The preliminary ratings reflect our view of the transaction's credit enhancement, legal structure, and timely interest and principal payments, among other factors. NEW YORK (Standard & Poor's) Nov. 8, 2012--Standard & Poor's Ratings Services today assigned its preliminary ratings to CIFC Funding 2012-II Ltd./CIFC Funding 2012-II LLC 's $676.5 million fixed- and floating-rate notes (see list).
The note issuance is a collateralized loan obligation securitization backed by a revolving pool consisting primarily of broadly syndicated senior secured loans. The preliminary ratings are based on information as of Nov. 8, 2012. Subsequent information may result in the assignment of final ratings that differ from the preliminary ratings.
The preliminary ratings reflect our view of:
-- The credit enhancement provided to the preliminary rated notes through the subordination of cash flows that are payable to the subordinated notes.
-- The transaction's credit enhancement, which is sufficient to withstand the defaults applicable for the supplemental tests (excluding excess spread) and cash flow structure, which can withstand the default rate projected by Standard & Poor's CDO Evaluator model, as assessed by Standard & Poor's using the assumptions and methods outlined in its corporate collateralized debt obligation (CDO) criteria (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published Sept. 17, 2009).
-- The transaction's legal structure, which is expected to be bankruptcy remote.
-- The diversified collateral portfolio, which consists primarily of broadly syndicated speculative-grade senior secured term loans.
-- The portfolio manager's experienced management team.
-- Our projections regarding the timely interest and ultimate principal payments on the preliminary rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned preliminary ratings under various interest rate scenarios, including LIBOR ranging from 0.30%-11.36%.
-- The transaction's overcollateralization and interest coverage tests, a failure of which will lead to the diversion of interest and principal proceeds to reduce the balance of the preliminary rated notes outstanding.
-- The transaction's principal proceeds recapture feature, which requires reclassifying excess interest proceeds as principal proceeds in an amount equal to the principal proceeds used to make interest payments on the deferrable notes.
SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities.
The Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at "".
RELATED CRITERIA AND RESEARCH Related criteria
-- Counterparty Risk Framework Methodology And Assumptions, May 31, 2012
-- Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions, Feb. 21, 2012
-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- Methodology For Analyzing Rating Confirmation Requests To Establish Subsidiary Special-Purpose Entities In CDOs, Dec. 9, 2009
-- The Use Of Rating-Based Haircuts In Event Of Default Overcollateralization Tests For CDOs, March 19, 2008
-- Qualification And Treatment Of Current-Pay Obligations In Global Cash Flow CLOs, July 11, 2007
-- Structured Finance Criteria Introduced for Cayman Islands Special-Purpose Entities, July 18, 2002
-- Global Cash Flow and Synthetic CDO Criteria: The CDO Product, March 21, 2002 Related research
-- Presale: CIFC Funding 2012-II Ltd./CIFC Funding 2012-II LLC, Nov. 8, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Comments Requested On Proposed Changes To Rating Agency Confirmation Approach, Aug. 16, 2010
CIFC Funding 2012-II Ltd./CIFC Funding 2012-II LLC
Class Rating Amount (mil. $)
A-1L AAA (sf) 464.0
A-2F AA (sf) 27.5
A-2L AA (sf) 40.0
A-3L (deferrable) A (sf) 59.5
B-1L (deferrable) BBB (sf) 34.0
B-2L (deferrable) BB- (sf) 37.0
B-3L (deferrable) B (sf) 14.50
Subordinated notes NR 71.42