Carlyle Global Market Strategies CLO 2012-4 Ltd. Assigned Ratings In Connection With Refinancing


Rating Action Summary:

Trust metric by Artificial Intelligence: 92 out of 100 with 200 metrics

  • Carlyle Global Market Strategies CLO 2012-4 Ltd. refinanced its class A-R, B-R, C-1-R, C-2-R, D-R, and E-R notes on April 22, 2019, through an optional redemption and replacement note issuance.
  • After analyzing the changes to the transaction, we assigned our ratings to the replacement class A-1-RR, B-RR, C-RR, and D-RR notes, as well as to the new class X-RR notes. The replacement class A-2-RR and E-RR notes are not rated by S&P Global Ratings.
  • The ratings reflect our view of the transaction's portfolio characteristics and collateral manager, as well as the results of the collateral quality tests and our quantitative analysis, among other factors.
NEW YORK (S&P Global Ratings) April 22, 2019--S&P Global Ratings today 
assigned its ratings to the class A-1-RR, B-RR, C-RR, and D-RR replacement 
notes, as well as to the new class X-RR notes, from Carlyle Global Market 
Strategies CLO 2012-4 Ltd., a collateralized loan obligation (CLO) originally 
issued on Dec. 12, 2012, and managed by Carlyle CLO Management LLC. The 
replacement class A-2-RR and E-RR notes are not rated by S&P Global Ratings 
(see list). The replacement notes were issued via a third supplemental 
indenture. 

The ratings reflect our view of the transaction's portfolio characteristics 
and collateral manager, as well as the results of the collateral quality tests 
and our quantitative analysis, among other factors.

On the April 22, 2019, second refinancing date, the proceeds from the issuance 
of the replacement notes (combined with available proceeds in the transaction) 
were used to redeem the outstanding notes. Therefore, we withdrew the ratings 
on the outstanding notes and assigned ratings to the class A-1-RR, B-RR, C-RR, 
and D-RR replacement notes, as well as to the new class X-RR notes. The 
replacement class A-2-RR and E-RR notes are not rated by S&P Global Ratings.

The replacement notes were issued via a third supplemental indenture, which, 
in addition to outlining the terms of the replacement notes, will also: 
  • Amend the reinvestment period to April 22, 2024, from Jan. 20, 2021.
  • Extend the non-call period to April 22, 2021, from Jan. 20, 2019.
  • Extend the weighted average life test to nine years (calculated from the April 22, 2019, second refinancing date) from 8.25 years (calculated from the Oct. 20, 2016, first refinancing date).
  • Extend the legal final maturity date on the rated and subordinated notes to April 22, 2032, from Jan. 20, 2029.
  • Issue additional class X-RR senior secured floating-rate notes, which are expected to be paid down using interest proceeds in eight equal quarterly installments of $162,500, beginning with the second payment date following the second refinancing date.
  • Amend the minimum thresholds on the coverage tests, as well as add an additional class E interest coverage test.
A portion of the underlying collateral held in the transaction's principal 
collection account will be designated as interest proceeds for payment on the 
second refinancing date, with the remaining collateral following the April 
2019 second refinancing date totaling approximately $602.56 million.


REPLACEMENT AND ORIGINAL NOTE ISSUANCES

Second Refinancing Replacement Notes
                                
                     Amount                    Interest
Class              (mil. $)                    rate (%)
A-1-RR               372.00    Three-month LIBOR + 1.36
A-2-RR                12.00    Three-month LIBOR + 1.70
B-RR                  72.00    Three-month LIBOR + 1.90
C-RR                  39.00    Three-month LIBOR + 2.90
D-RR                  30.00    Three-month LIBOR + 3.90
E-RR                  27.00    Three-month LIBOR + 7.29
X-RR                   1.30    Three-month LIBOR + 0.75
Subordinated notes    61.55                         N/A


First Refinancing Replacement Notes

                     Amount                    Interest
Class              (mil. $)                    rate (%)
A-R                  377.50    Three-month LIBOR + 1.45
B-R                   80.50    Three-month LIBOR + 1.90
C-1-R                 41.90    Three-month LIBOR + 2.60
C-2-R                  5.00                        3.90
D-R                   27.80    Three-month LIBOR + 4.10
E-R                   26.00    Three-month LIBOR + 7.51
Subordinated notes    61.55                         N/A


Original Notes(i)

                     Amount                    Interest
Class              (mil. $)                    rate (%)
A                    377.50    Three-month LIBOR + 1.39
B-1                   60.50    Three-month LIBOR + 2.25
B-2                   20.00                      3.5696
C                     46.90    Three-month LIBOR + 3.25
D                     27.80    Three-month LIBOR + 4.50
E                     26.00    Three-month LIBOR + 5.50
Subordinated notes    61.55                         N/A

(i)All original notes other than the subordinated notes were redeemed on the 
Oct. 20, 2016, first refinancing date. N/A--Not applicable.


Our review of this transaction included a cash flow analysis, based on the 
portfolio and transaction as reflected in the trustee report, to estimate 
future performance. In line with our criteria, our cash flow 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. 

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 we will take further rating actions as we deem necessary.
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