S&P: Madison Park Funding XI Ltd. Rating Affirmed
Today's rating action follows our review of the transaction's performance using data from the August 2016 trustee report. Our affirmation reflects the available credit support, which, in our view, is consistent with the current rating level.
The transaction is still in its reinvestment period, which is scheduled to end in October 2017. According to the August 2016 trustee report, the weighted average life decreased to 4.35 years from 5.33 years as of the December 2013 trustee effective date report, which we used for our last rating action. This seasoning has decreased the overall credit risk profile, which, in turn, provided more cushion to the tranche rating. Since the effective date, collateral rated 'BB-' and above has also increased.
These improvements have been partially offset by increases in defaulted and 'CCC' rated collateral. Since our last rating action, the defaulted asset balance has increased to $5.04 million as of the August 2016 trustee report from zero. Over the same period, the amount of 'CCC' rated assets held in the underlying portfolio has increased to $25.63 million, or 5.04% of the collateral balance, from $5.00 million.
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.