OREANDA-NEWS. S&P Global Ratings today raised its ratings on the class B, C, and D notes and affirmed its ratings on the class A and E notes from JFIN MM CLO 2014 Ltd., a U. S. collateralized loan obligation (CLO) transaction that closed in April 2014 and is managed by Jefferies Finance LLC (see list).

Today's rating actions follow our review of the transaction's performance, using data from the September 2016 trustee report. The transaction is scheduled to remain in its reinvestment period until April 2017.

The upgrades primarily reflect credit quality stability in the underlying collateral and collateral seasoning since our effective date rating affirmations in June 2015.

Collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has increased from the May 2015 effective date report used for our previous review. The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 3.81 years from 4.49 years in May 2015. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings. In addition, the number of issuers in the portfolio has increased during this period, which has increased diversification.

The transaction has experienced an increase in both defaults and assets rated 'CCC+' and below since the May 2015 effective date report. Specifically, the amount of defaulted assets increased to $10.25 million (3.55% of the aggregate principal balance) as of September 2016 from $1.96 million as of the effective date report. The level of assets rated 'CCC+' and below increased to $23.94 million (8.28% of the aggregate principal balance) from $22.00 million over the same period. Overall, the increase in defaulted assets and assets rated 'CCC+' and below has been largely offset by the decline in the collateral portfolio's weighted average life. The increase in defaulted assets, as well as other factors, has affected the level of credit support available to all tranches, as seen by the mild decline in the overcollateralization (O/C) ratios:The class A/B O/C ratio was 156.39%, down from 158.29%.The class C O/C ratio was 140.13%, down from 141.84%. The class D O/C ratio was 129.38%, down from 130.95%.The class E O/C ratio was 118.05%, down from 119.49%.However, the current coverage test ratios are all passing and well above their minimum threshold values.

Although our cash flow analysis indicated higher ratings for the class B, C, D, and E notes, our rating actions consider additional sensitivity runs that considered the exposure to specific distressed industries and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period.

The affirmations of the ratings on the class A and E notes reflect our belief that the credit support available is commensurate with the current rating levels.

Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the aforementioned 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 and/or ultimate principal to each of the rated tranches. The results of the cash flow analysis 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.