DBRS Morningstar Discontinues Ratings on Ellington European CLO I DAC

DBRS Ratings Limited (DBRS Morningstar) discontinued the ratings on the Senior Funding Facility and the Mezzanine Funding Facility (the Facilities) provided to Ellington European CLO I DAC (the Borrower) by Barclays Bank plc (Barclays).

The discontinuation follows a request for withdrawal as the portfolio has unwound below the predetermined portfolio-balance level of EUR 60 million for the issuance of a final rating. The transaction has not paid down as of this press release.

Prior to the discontinuation, the ratings of the Facilities were A (sf) for the Senior Funding Facility and BBB (high) (sf) for the Mezzanine Funding Facility.

ESG CONSIDERATIONS
A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

For more information regarding rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/357883.

For more information regarding structured finance rating methodologies and Coronavirus Disease (COVID-19), please see the following DBRS Morningstar press release: https://www.dbrsmorningstar.com/research/358308.

Notes:
All figures are in euros unless otherwise noted.

The principal methodology applicable to the ratings is “Rating CLOs and CDOs of Large Corporate Credit” (28 February 2020).

In DBRS Morningstar’s opinion, a discontinued-withdrawn rating action does not warrant the application of the entire principal methodology, as the bonds have been repaid in full.

Other methodologies referenced in this transaction are listed at the end of this press release.

These may be found at: http://www.dbrsmorningstar.com/about/methodologies.

For a more detailed discussion of the sovereign risk impact on Structured Finance ratings, please refer to “Appendix C: The Impact of Sovereign Ratings on Other DBRS Credit Ratings” of the “Global Methodology for Rating Sovereign Governments” at: https://www.dbrsmorningstar.com/research/350410/global-methodology-for-rating-sovereign-governments.

The sources of data and information used for these ratings include an email notification provided by Barclays and a warehouse daily cash file provided by U.S. Bank Global Corporate Trust Services.

DBRS Morningstar did not rely upon third-party due diligence in order to conduct its analysis.

At the time of the initial ratings, DBRS Morningstar was not supplied with third-party assessments. However, this did not impact the rating analysis.

DBRS Morningstar considers the data and information available to it for the purposes of providing these ratings to be of satisfactory quality.

DBRS Morningstar does not audit or independently verify the data or information it receives in connection with the rating process.

The last rating action on this transaction took place on 30 April 2019, when DBRS Morningstar finalised the provisional ratings of the Senior Funding Facility and the Mezzanine Funding Facility at A (sf) and BBB (high) (sf), respectively.

The lead analyst responsibilities for this transaction have been transferred to Francis Quagraine.

Information regarding DBRS Morningstar ratings, including definitions, policies, and methodologies, is available on www.dbrsmorningstar.com.

As this is a discontinued-withdrawn rating action, a sensitivity analysis is not applicable.

For further information on DBRS Morningstar historical default rates published by the European Securities and Markets Authority (ESMA) in a central repository, see: http://cerep.esma.europa.eu/cerep-web/statistics/defaults.xhtml.

Ratings assigned by DBRS Ratings Limited are subject to EU and U.S. regulations only.

Lead Analyst: Francis Quagraine, Senior Analyst
Rating Committee Chair: Alfonso Candelas, Senior Vice President
Initial Rating Date: 21 December 2018

DBRS Ratings Limited
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The rating methodologies used in the analysis of this transaction can be found at: http://www.dbrsmorningstar.com/about/methodologies.

-- Rating CLOs and CDOs of Large Corporate Credit (28 February 2020) and CLO Asset Model version 2.2.3
https://www.dbrsmorningstar.com/research/357452/rating-clos-and-cdos-of-large-corporate-credit
-- Master European Structured Finance Surveillance Methodology (13 December 2019)
https://www.dbrsmorningstar.com/research/354616/master-european-structured-finance-surveillance-methodology
-- Legal Criteria for European Structured Finance Transactions (11 September 2019)
-- https://www.dbrsmorningstar.com/research/350234/legal-criteria-for-european-structured-finance-transactions
-- Cash Flow Assumptions for Corporate Credit Securitizations (28 February 2020)
-- https://www.dbrsmorningstar.com/research/357453/cash-flow-assumptions-for-corporate-credit-securitizations
-- Interest Rate Stresses for European Structured Finance Transactions (10 October 2019)
-- https://www.dbrsmorningstar.com/research/351557/interest-rate-stresses-for-european-structured-finance-transactions
-- Operational Risk Assessment for (CLO) and (CDO) Managers of Large Corporate Credits (24 September 2019)
-- https://www.dbrsmorningstar.com/research/350807/operational-risk-assessment-for-collateralized-loan-obligation-clo-and-collateralized-debt-obligation-cdo-managers-of-large-corporate-credits

A description of how DBRS Morningstar analyses structured finance transactions and how the methodologies are collectively applied can be found at: http://www.dbrsmorningstar.com/research/278375

For more information on this credit or on this industry, visit www.dbrsmorningstar.com or contact us at [email protected].