OREANDA-NEWS. S&P Global Ratings today raised its ratings on the class B-1, B-2, C, and D notes and affirmed its ratings on the class A and E notes from Symphony CLO XI Ltd. Partnership, a U. S. collateralized loan obligation (CLO) transaction that closed in February 2013 and is managed by Symphony Asset Management LLC.

Today's rating actions follow our review of the transaction's performance, using data from the July 7, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until January 2017.

The upgrades primarily reflect credit quality improvement in the underlying collateral and an increase in credit support since our effective date rating affirmations in December 2013, which referenced the April 2013 trustee report.

Collateral with an S&P Global Ratings' credit rating of 'BB-' or higher has increased significantly from the April 2013 effective date report used for our previous review. The purchasing of this higher-rated collateral has raised the portfolio's weighted average rating to 'B+' from 'B'.

The transaction has also benefited from collateral seasoning, with the reported weighted average life decreasing to 4.57 years from 5.61 years in April 2013. This seasoning, combined with the improved credit quality, has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche ratings.

Additionally, par gain in the underlying portfolio since the effective date has led to a modest increase in the overcollateralization (O/C) ratios from the April 2013 trustee report:The class A/B O/C ratio was 137.14%, up from the 136.92% reported in April 2013.The class C O/C ratio was 123.73%, up from 123.54%. The class D O/C ratio was 116.18%, up from 116.00%.The class E O/C ratio was 109.88%, up from 109.71%.Although our cash flow analysis indicated higher ratings for the class E notes, our rating actions consider additional sensitivity runs that considered the exposure to specific distressed assets and allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period.

The affirmations reflect our belief that the credit support available is commensurate with the current rating levels.

Our review of the transaction relied, in part, upon a criteria interpretation with respect to our May 2014 criteria, "CDOs: Mapping A Third Party's Internal Credit Scoring System To Standard & Poor's Global Rating Scale," which allows us to use a limited number of public ratings from other Nationally Recognized Statistical Rating Organizations (NRSROs) to assess the credit quality of assets not rated by S&P Global Ratings. The criteria provide specific guidance for the treatment of corporate assets not rated by S&P Global Ratings, while the interpretation outlines the treatment of securitized assets. 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.