DBRS Morningstar Discontinues and Withdraws Ratings on Three Colonnade Global Transactions

DBRS Ratings Limited (DBRS Morningstar) discontinued the provisional ratings on the Colonnade Global 2017-2, Colonnade 2018-1, and Colonnade 2018-1X transactions at the request of Barclays Bank PLC (Barclays or the Beneficiary).

Prior to the discontinuation, the provisional ratings on the 10 tranches of the unexecuted and unfunded financial guarantee regarding the Colonnade Global 2017-2 portfolio were as follows:

--EUR 816,159,375 Tranche A at AAA (sf)
--EUR 11,475,000 Tranche B at AA (high) (sf)
--EUR 6,215,625 Tranche C at AA (sf)
--EUR 6,789,375 Tranche D at AA (low) (sf)
--EUR 9,849,375 Tranche E at A (high) (sf)
--EUR 2,581,875 Tranche F at A (sf)
--EUR 7,745,625 Tranche G at A (low) (sf)
--EUR 10,805,625 Tranche H at BBB (high) (sf)
--EUR 3,251,250 Tranche I at BBB (sf)
--EUR 4,876,875 Tranche J at BBB (low) (sf)

Prior to the discontinuation, the provisional ratings on the 11 tranches of the unexecuted and unfunded financial guarantee regarding the Colonnade Global 2018-1 portfolio were as follows:

--USD 325,340,000 Tranche A at AAA (sf)
--USD 6,240,000Tranche B at AA (high) (sf)
--USD 1,750,000 Tranche C at AA (sf)
--USD 2,350,000 Tranche D at AA (low) (sf)
--USD 6,800,000 Tranche E at A (high) (sf)
--USD 1,030,000 Tranche F at A (sf)
--USD 3,340,000 Tranche G at A (low) (sf)
--USD 6,560,000 Tranche H at BBB (high) (sf)
--USD 1,350,000 Tranche I at BBB (sf)
--USD 1,990,000 Tranche J at BBB (low) (sf)
--USD 6,724,402 Tranche K at BB (high) (sf)

Prior to the discontinuation, the provisional ratings on the 11 tranches of the unexecuted and unfunded financial guarantee regarding the Colonnade Global 2018-1X portfolio were as follows:

--USD 625,940,000 Tranche A at AAA (sf)
--USD 12,010,000 Tranche B at AA (high) (sf)
--USD 3,370,000 Tranche C at AA (sf)
--USD 4,510,000 Tranche D at AA (low) (sf)
--USD 13,080,000 Tranche E at A (high) (sf)
--USD 1,990,000 Tranche F at A (sf)
--USD 6,430,000 Tranche G at A (low) (sf)
--USD 12,620,000 Tranche H at BBB (high) (sf)
--USD 2,600,000 Tranche I at BBB (sf)
--USD 3,830,000 Tranche J at BBB (low) (sf)
--USD 12,936,248 Tranche K at BB (high) (sf)

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

DBRS Morningstar conducted a review on the potential risk exposure of CLOs to the coronavirus by examining sensitivity to potential company credit-quality rating downgrades in conjunction with its ongoing assessment of macroeconomic scenarios, as described in its commentary “CLO Risk Exposure to the Coronavirus Disease (COVID-19)”, https://www.dbrsmorningstar.com/research/361112/clo-risk-exposure-to-the-coronavirus-disease-covid-19, published on 18 May 2020.

In the case of the Colonnade Global 2017-2, DBRS Morningstar’s review found that 0.9% and 21.2% of the outstanding portfolio balance as of 4 May 2020, belonged to industries with medium and high risk, respectively.

In the case of the Colonnade Global 2018-1 and Colonnade Global 2018-1X, DBRS Morningstar found that 1.5% and 23.5% of the outstanding portfolio balances as of 18 May 2020, belonged to industries with medium and high risk, respectively.

Prior to the discontinuation of the ratings, the performance of each transaction was reviewed and considered to be within DBRS Morningstar’s initial expectations.

On 16 April 2020, the DBRS Morningstar Sovereign group published its outlook on the impact to key economic indicators for the 2020-22 time frame. These scenarios were updated on 1 June 2020. For details see the following commentaries: https://www.dbrsmorningstar.com/research/361867/global-macroeconomic-scenarios-june-update and https://www.dbrsmorningstar.com/research/359903/global-macroeconomic-scenarios-application-to-credit-ratings.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

Notes:
All figures are in euros for Colonnade Global 2017-2 and US dollars for Colonnade Global 2018-1 and Colonnade Global 2018-1X unless otherwise noted.

The principal methodology applicable to the ratings is “Rating Methodology for CLOs and CDOs of Large Corporate Credit” (28 February 2020).

In DBRS Morningstar’s opinion, a discontinued-withdrawn rating action does not warrant the application of the entire principal methodology.

A review of the transaction legal documents was not conducted as the legal documents have remained unchanged since the most recent rating action.

Other methodologies referenced in these transactions are listed at the end of this press release.

These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include information and a withdrawal request provided by Barclays.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on these transactions took place on 28 June 2019, when DBRS Morningstar confirmed the provisional ratings on the 10 tranches of Colonnade Global 2017-2 and on the 11 tranches of Colonnade Global 2018-1 and Colonnade Global 2018-1X.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As this is a discontinued-withdrawn rating action, a sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and U.S. regulations only.

Lead Analyst: Natalia Coman, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date for Colonnade Global 2017-2: 30 June 2017
Initial Rating Date for Colonnade Global 2018-1 and Colonnade Global 2018-1X: 29 June 2018

DBRS Ratings Limited
20 Fenchurch Street, 31st Floor,
London EC3M 3BY United Kingdom
Tel. +44 (0) 20 7855 6600
Registered and incorporated under the laws of England and Wales: Company No. 7139960

The rating methodologies used in the analysis of these transactions can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Rating CLOs and CDOs of Large Corporate Credit (28 February 2020) and CLO Asset Model v2.2.3
https://www.dbrsmorningstar.com/research/357452/rating-clos-and-cdos-of-large-corporate-credit
-- Master European Structured Finance Surveillance Methodology (22 April 2020) https://www.dbrsmorningstar.com/research/359884/master-european-structured-finance-surveillance-methodology.
-- Mapping Financial Institution Internal Ratings to DBRS Morningstar Ratings for Global Structured Credit Transactions (11 March 2020)
https://www.dbrsmorningstar.com/research/357853/mapping-financial-institution-internal-ratings-to-dbrs-morningstar-ratings-for-global-structured-credit-transactions
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019) https://www.dbrsmorningstar.com/research/351557/interest-rate-stresses-for-european-structured-finance-transactions.
-- Legal Criteria for European Structured Finance Transactions (11 September 2019) https://www.dbrsmorningstar.com/research/350234/legal-criteria-for-european-structured-finance-transactions.
-- Operational Risk Assessment for European Structured Finance Servicers (28 February 2020) https://www.dbrsmorningstar.com/research/357429/operational-risk-assessment-for-european-structured-finance-servicers.
-- Operational Risk Assessment for European Structured Finance Originators (28 February 2020) https://www.dbrsmorningstar.com/research/357430/operational-risk-assessment-for-european-structured-finance-originators.

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375

For more information on these credits or on this industry, visit www.dbrsmorningstar.com or contact us at info@dbrsmorningstar.com.