OREANDA-NEWS. S&P Global Ratings today affirmed its ratings on the class A-1, A-2, B-1, B-2, C, D, E, and F notes from Neuberger Berman CLO XV Ltd., a U. S. collateralized loan obligation (CLO) transaction that closed in 2013 (see list).

Today's rating actions follow our review of the transaction's performance using data from the July 21, 2016, trustee report. The transaction is scheduled to remain in its reinvestment period until October 2017.

Since the transaction's effective date, the trustee reported collateral portfolio's weighted average life has decreased to 4.66 years from 5.89 years. This seasoning has decreased the overall credit risk profile.

However, the decrease to the credit risk profile from the portfolio seasoning has been offset by credit deterioration in the underlying portfolio. The transaction has seen an increase in assets rated 'CCC+' and below since the January 2014 effective date report, which we used for our February 2014 rating affirmations, with the par amount of assets rated 'CCC+' and below increasing to $19.05 million as of July 2016 from $9.68 million as of the effective date report. The weighted average rating of the portfolio has decreased to 'B' from 'B+' over the same period.

The transaction does not currently have any exposure to long-dated or defaulted assets.

In addition, the transaction has experienced a par loss of $3.33 million since the effective date. This, combined with other factors, has affected the level of credit support available to all tranches, as seen by the decline in the overcollateralization (O/C) ratios since the effective date trustee report:The class A/B O/C ratio has decreased to 132.20% from 133.35%.The class C O/C ratio has decreased to 120.54% from 121.59%. The class D O/C ratio has decreased to 113.39% from 114.38%.The class E O/C ratio has decreased to 107.91% from 108.86%.All coverage tests are currently passing and are above the minimum requirements.

Although our cash flow analysis indicates higher ratings for the class B-1, B-2, C, D, and F notes, our rating actions consider additional sensitivity runs that allowed for volatility in the underlying portfolio given that the transaction is still in its reinvestment period.

The affirmations of the ratings 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.