DBRS Morningstar Comments on Four Colonnade Transactions Following Amendment

DBRS Ratings Limited (DBRS Morningstar) found no rating impact on the provisional ratings of 44 tranches of the unexecuted, unfunded financial guarantee regarding the Colonnade Global 2018-1, Colonnade Global 2018-1X, Colonnade Global 2017-4 and Colonnade UK 2017-1 portfolios following an amendment to these four transactions executed on 4 October 2019.

The amendment concerns additions to the selection methodology of the Potential Guaranteed Obligation to be included in the Guaranteed Portfolio of each transaction during its replenishment period. DBRS Morningstar views the changes to be neutral to positive for maintaining the portfolio credit quality during the replenishment period, and non-material for its rating analysis, which is based on an assessment of the worst-case portfolio.

The last rating action on the Colonnade Global 2018-1 and Colonnade 2018-1X transactions took place on 28 June 2019, when the provisional ratings were confirmed as follows:

Colonnade Global 2018-1:
--USD 325,340,000 Tranche A at AAA (sf)
--USD 6,240,000 Tranche 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)

Colonnade Global 2018-1X:
--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)

The last rating action on the Colonnade Global 2017-4 and Colonnade UK 2017-1 transactions took place on 5 November 2019, when the provisional ratings were confirmed prior to being discontinued for Colonnade Global 2017-4 and confirmed for Colonnade UK 2017-1 as follows:

Colonnade Global 2017-4:
--USD 1,030,375,004 Tranche A at AAA (sf)
--USD 18,625,000 Tranche B at AA (high) (sf)
--USD 5,875,000 Tranche C at AA (sf)
--USD 7,250,000 Tranche D at AA (low) (sf)
--USD 21,000,000 Tranche E at A (high) (sf)
--USD 3,250,000 Tranche F at A (sf)
--USD 11,375,000 Tranche G at A (low) (sf)
--USD 19,875,000 Tranche H at BBB (high) (sf)
--USD 4,250,000 Tranche I at BBB (sf)
--USD 6,500,000 Tranche J at BBB (low) (sf)
--USD 21,625,000 Tranche K at BB (high) (sf)

Colonnade UK 2017-1:
--GBP 2,197,866,667 Tranche A at AAA (sf)
--GBP 40,533,333 Tranche B at AA (high) (sf)
--GBP 15,466,667 Tranche C at AA (sf)
--GBP 18,400,000 Tranche D at AA (low) (sf)
--GBP 28,533,333 Tranche E at A (high) (sf)
--GBP 8,533,333 Tranche F at A (sf)
--GBP 24,800,000 Tranche G at A (low) (sf)
--GBP 36,533,333 Tranche H at BBB (high) (sf)
--GBP 10,666,667 Tranche I at BBB (sf)
--GBP 16,266,667 Tranche J at BBB (low) (sf)
--GBP 29,066,667 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 tranches are collateralised by a portfolio of corporate loans and credit facilities (the Guaranteed Portfolio) originated by Barclays Bank PLC. The rated tranches are unfunded, and the senior guarantee remains unexecuted.

As of the latest information provided as of 18 October 2019, both Colonnade Global 2018-1 and Colonnade Global 2018-1X Guaranteed Portfolios have no defaults recorded to date. For details on the recent performance and rating actions of the Colonnade Global 2017-4 and Colonnade UK 2017-1 transactions, please refer to the press release: https://www.dbrs.com/research/352423/dbrs-morningstar-takes-rating-actions-on-two-colonnade-2017-transactions

Please refer to the following links for more information on each transaction:
--Colonnade Global 2018-1: https://www.dbrs.com/issuers/23257
--Colonnade Global 2018-1X: https://www.dbrs.com/issuers/23258
--Colonnade Global 2017-4: https://www.dbrs.com/issuers/22924
--Colonnade UK 2017-1: https://www.dbrs.com/issuers/22918

Notes:
All figures are in U.S. dollars or British pound sterling unless otherwise noted.

For more information on this credit or on this industry, visit www.dbrs.com or contact us at info@dbrs.com.

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