TEXT-S&P afrms all rtngs in CLO transaction RMF Euro CDO IV
OVERVIEW— We have assessed the current performance of RMF Euro CDO IV by
applying our 2010 counterparty criteria and conducting credit and cash flow
analyses.— Following our review, we believe that the level of credit enhancement
available is commensurate with our current ratings on the notes.— We have thus affirmed our ratings on all rated classes of notes in the
transaction.— RMF Euro CDO IV is a cash flow collateralized loan obligation (CLO)
transaction that securitizes loans to primarily speculative-grade corporate
firms.Standard & Poor’s Ratings Services today affirmed its credit ratings on all rated classes of
notes in RMF Euro CDO IV PLC.Today’s rating actions follow a review of RMF Euro CDO IV, which included the
application of our 2010 counterparty criteria, in addition to credit and cash
flow analyses.In our opinion, the current levels of credit support available to all classes
of notes are commensurate with our current ratings on the notes. We have
therefore affirmed our ratings on all classes of notes in this transaction.From our analysis, we have observed that overcollateralization test results,
the credit quality of the pool, and the weighted-average spread earned on the
collateral pool have all improved since our last rating action in December
2009, (see Transaction Update: RMF Euro CDO IV PLC, published on Dec. 17,
2009).We have also observed that the balance of the collateral pool and outstanding
balance of the class I notes have reduced. Overall, we have observed a small
improvement in the level of credit enhancement available to each rated class
of notes in the transaction as well as a small reduction in the stressed
default rate generated by our CDO Evaluator credit model. We have also noted
that the weighted-average recovery rates, which we consider to be appropriate,
have reduced since our last review in 2009.We subjected the capital structure to a cash flow analysis to determine the
break-even default rate for each rated class. We incorporated various cash
flow stress scenarios using various default patterns, levels, and timings for
each liability rating category, in conjunction with different interest stress
scenarios.In our opinion, the credit enhancement available to each tranche remains
consistent with the current ratings assigned to each class of notes, taking
into account our credit and cash flow analyses and our 2010 counterparty
criteria. We have therefore affirmed our ratings on all of the rated notes.None of the notes were constrained by the application of the largest obligor
default test, a supplemental stress test we introduced in our 2009 criteria
update for corporate collateralized debt obligations (CDOs) (see “Update to
Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic
CDOs,” published on Sept. 17, 2009).We have applied our 2010 counterparty criteria and, in our view, the
participants in the transaction are appropriately rated to support the ratings
on the notes (see “Counterparty And Supporting Obligations Methodology And
Assumptions,” published on Dec. 6, 2010).We will publish a transaction update on this transaction in due course.RELATED CRITERIA AND RESEARCH— Counterparty And Supporting Obligations Update, Jan. 13, 2011— Counterparty And Supporting Obligations Methodology And Assumptions,
Dec. 6, 2010— Update to Global Methodologies And Assumptions For Corporate Cash Flow
And Synthetic CDOs, Sept. 17, 2009— CDO Spotlight: Update to General Cash Flow Analytics Criteria For CDO
Securitizations, Oct. 17, 2006RATINGS LISTRMF Euro CDO IV PLCEUR444 Million Fixed- And Floating-Rate NotesRatings AffirmedClass RatingI AA+ (sf)II A+ (sf)III BBB+ (sf)IV-A BB+ (sf)IV-B BB+ (sf)V BB (sf)
