Five GLG Ore Hill 2013-1 Ltd. Ratings Raised; Three Affirmed


  • We raised and removed from CreditWatch positive our ratings on the class B-1, B-2, C-1, C-2, and D notes from GLG Ore Hill 2013-1 Ltd.
  • We affirmed our ratings on the class A, E, and F notes from the same transaction and removed our rating on the class E notes from CreditWatch positive.
  • The upgrades reflect improved overcollateralization ratios because of senior note paydowns since our January 2017 rating actions.
  • The affirmed ratings reflect our belief that the credit support available is commensurate with the current rating level.
 
CENTENNIAL (S&P Global Ratings) March 13, 2019--S&P Global Ratings today 
raised its ratings on the class B-1, B-2, C-1, C-2, and D notes from GLG Ore 
Hill 2013-1 Ltd. We also removed these ratings from CreditWatch with positive 
implications, where we placed them on Dec. 20, 2018. At the same time, we 
affirmed our ratings on the class A, E, and F notes from the same transaction 
and removed our rating on the class E notes from CreditWatch positive (see 
list). 

Today's rating actions follow our review of the transaction's performance 
using data from the Feb. 1, 2019, trustee report.

The upgrades reflect the transaction's $196.53 million in paydowns to the 
class A notes since our Jan. 23, 2017, rating actions. These paydowns resulted 
in improved reported overcollateralization (O/C) ratios since the December 
2016 trustee report, which we used for our previous rating actions:

  • The senior class O/C ratio improved to 177.69% from 131.22%.
  • The class C O/C ratio improved to 142.68% from 120.71%.
  • The class D O/C ratio improved to 123.01% from 113.35%.
  • The class E O/C ratio improved to 110.92% from 108.13%.
The collateral portfolio's credit quality has remained stable since our last 
rating actions; however, it has become more concentrated overall. Collateral 
obligations with ratings in the 'CCC' category have decreased, with $23.10 
million reported as of the February 2019 trustee report, compared with $35.11 
million reported as of the December 2016 trustee report. Over the same period, 
the par amount of reported defaulted collateral has decreased only slightly to 
$1.52 million from $1.78 million. 

Although the 'CCC' category and defaulted collateral exposures by dollar value 
have improved, due to the rapid shrinking of the portfolio, the percent 
exposures to both have increased, with each now representing 11.62% and 0.77% 
of the collateral principal balance, respectively. The transaction has 
benefited from a decline in the weighted average life due to the underlying 
collateral's seasoning, with 3.36 years reported as of the February 2019 
trustee report, compared with 4.61 years reported at the time of our January 
2017 rating actions.

The upgrades reflect the improved credit support at the prior rating levels; 
the affirmation reflects our view that the credit support available is 
commensurate with the current rating level.

Although our cash flow analysis indicated higher ratings for the class C-1, 
C-2, and E notes, our rating actions consider the increased concentrations of 
'CCC' rated and defaulted obligations, increasing concentration risk of the 
portfolio, declining par balance of the portfolio beyond the amounts of the 
paydown, and exposure to obligations trading at distressed prices. The ratings 
reflect additional sensitivity analysis that considered these exposures and 
allowed for volatility in the underlying portfolio given that the transaction 
has been reinvesting some principal proceeds in the past few payment periods.

Although the cashflow results indicated a lower rating for the class F notes, 
we view the overall credit seasoning as an improvement to the transaction and 
also considered the stable overall credit quality, increased O/C ratios, and 
low exposure to defaulted obligations. We note that this class does not have 
coverage ratio tests but see that it is currently covered by performing 
collateral. However, any increase in defaults or par losses could lead to 
potential negative rating actions on the class F notes in the future.

Our review of this transaction included a cashflow analysis based on the 
portfolio and transaction as reflected in the aforementioned trustee report to 
estimate future performance. In line with our criteria, our cashflow scenarios 
applied forward-looking assumptions on the expected timing and pattern of 
defaults, and recoveries upon default, under various interest rate and 
macroeconomic scenarios. In addition, our analysis considered the 
transaction's ability to pay timely interest or ultimate principal or both to 
each of the rated tranches. The results of the cashflow analysis--and other 
qualitative factors as applicable--demonstrated, in our view, that all of the 
rated outstanding classes have adequate credit enhancement available at the 
rating levels associated with these rating actions.

We will continue to review whether, in our view, the ratings assigned to the 
notes remain consistent with the credit enhancement available to support them 
and will take rating actions as we deem necessary.
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