-- LCM XII L.P./LCM XII LLC's note issuance is a cash flow CLO securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans.
-- We assigned our ratings to class X and class A through E notes.
-- The ratings reflect our view of the transaction's credit enhancement, cash flow structure, and collateral portfolio, as well as our stress scenarios, among other factors.
NEW YORK (Standard & Poor's) Oct. 4, 2012--Standard & Poor's Ratings Services today assigned its ratings to LCM XII L.P./LCM XII LLC's $465.25 million floating-rate notes (see list).
The transaction is a cash flow collateralized loan obligation securitization of a revolving pool consisting primarily of broadly syndicated senior secured loans.
The ratings reflect our assessment of:
-- The credit enhancement provided to the 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 (not counting 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 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 asset manager's experienced management team.
-- Our projections regarding the timely interest and ultimate principal payments on the rated notes, which we assessed using our cash flow analysis and assumptions commensurate with the assigned ratings under various interest-rate scenarios, including LIBOR ranging from 0.34%-12.26%.
-- 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 rated notes outstanding.
-- The transaction's interest reinvestment test, a failure of which during the reinvestment period will lead to the reclassification of excess interest proceeds that are available prior to paying subordinated management fees, uncapped administrative expenses, and limited partnership certificate payments to principal proceeds for the purchase of collateral assets or, at the collateral manager's discretion, to reduce the balance of the rated notes outstanding sequentially.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT
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
-- Presale: LCM XII L.P./LCM XII LLC, Sept. 18, 2012
-- Counterparty Risk Framework Methodology and Assumptions, May 31, 2012
-- Global Investment Criteria For Temporary Investments in Transaction Accounts, May 31, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Methodology For Analyzing Rating Confirmation Requests To Establish Subsidiary Special-Purpose Entities in CDOs, Dec. 9, 2009
-- Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 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
-- CDO Spotlight: Update To General Cash Flow Analytics Criteria For CDO Securitizations, Oct. 17, 2006
-- 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 RATINGS ASSIGNED LCM XII L.P./LCM XII LLC Class Rating Amount (mil. $) X AAA (sf) 4.00 A AAA (sf) 321.25 B AA (sf) 62.50 C (deferrable) A (sf) 35.75 D (deferrable) BBB (sf) 23.75 E (deferrable) BB (sf) 18.00 L.P. certificates/equity NR 53.00
L.P.--Limited partnership. NR--Not rated.
(New York Ratings Team)