DBRS Morningstar Comments on Colonnade Global 2017-3 Following Amendment

DBRS Ratings Limited (DBRS Morningstar) found no rating impact on the provisional ratings of 11 tranches of the unexecuted, unfunded financial guarantee regarding the Colonnade Global 2017-3 portfolio, following an amendment to this transaction executed on 27 September 2019.

The amendment serves to reduce the Guarantee size to USD 80 million from USD 140 million, while maintaining the attachment and detachment points of the 11 rated tranches at the same percentage levels. DBRS Morningstar views this reduction as neutral as its rating analysis is based on the losses sustainable at each of these attachment and detachment points. As a result of this reduction, the Maximum Guaranteed Portfolio Amount has decreased to USD 941 million from USD 1,647 million and the rated tranches have also decreased to the amounts below:

-- Tranche A reduced to USD 779,670,588 from USD 1,364,423,529
-- Tranche B reduced to USD 12,611,765 from USD 22,070,588
-- Tranche C reduced to USD 4,894,118 from USD 8,564,706
-- Tranche D reduced to USD 5,835,294 from USD 10,211,765
-- Tranche E reduced to USD 11,294,118 from USD 19,764,706
-- Tranche F reduced to USD 3,388,235 from USD 5,929,412
-- Tranche G reduced to USD 8,847,059 from USD 15,482,353
-- Tranche H reduced to USD 12,235,294 from USD 21,411,765
-- Tranche I reduced to USD 4,047,059 from USD 7,082,353
-- Tranche J reduced to USD 5,458,823 from USD 9,552,941
-- Tranche K reduced to USD 12,894,118 from USD 22,564,706

The last rating action on this transaction took place on 5 September 2019, when the provisional ratings were confirmed as follows:

-- Tranche A at AAA (sf)
-- Tranche B at AA (high) (sf)
-- Tranche C at AA (sf)
-- Tranche D at AA (low) (sf)
-- Tranche E at A (high) (sf)
-- Tranche F at A (sf)
-- Tranche G at A (low) (sf)
-- Tranche H at BBB (high) (sf)
-- Tranche I at BBB (sf)
-- Tranche J at BBB (low) (sf)
-- Tranche K at BB (high) (sf)

The transaction is a synthetic balance-sheet collateralised loan obligation structured in the form of a financial guarantee. The tranches are collateralised by a portfolio of corporate loans and credit facilities originated by Barclays Bank PLC. The rated tranches are unfunded, and the senior guarantee remains unexecuted.

As of the latest information provided as of 3 October 2019, the Guaranteed Portfolio of Colonnade Global 2017-3 had no defaults recorded to date.

Please refer to the following link for more information on the transaction: https://www.dbrs.com/issuers/22722.

Notes:
All figures are in U.S. dollars unless otherwise noted.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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