- We placed our 'A + (sf)' rating on Cavendish Square Funding's class C notes on CreditWatch negative, following the issuer's notification of an event of default occurring, in accordance with the terms and conditions of the notes.
- Cavendish Square Funding is a cash flow mezzanine structured finance CDO of a portfolio comprising predominantly mortgage-backed securities.
LONDON (S&P Global Ratings) Jan. 24, 2023--S&P Global Ratings today placed its 'A+ (sf)' credit rating on Cavendish Square Funding PLC's class C notes on CreditWatch negative.
Today's CreditWatch negative placement follows the issuer's notification on Dec. 29, 2022 by the collateral administrator of the following:
- The collateral administrator provided the draft monthly report in respect of the October 2022 payment period to the collateral manager for approval;
- The collateral administrator received no response from the collateral manager regarding the October monthly report and, consequently, it was unable to finalize and provide this report to the required parties in accordance with clause 17.4 of the collateral administration agreement; and
- As the October monthly report has not been finalized, the collateral administrator has been unable to finalize and provide the note valuation report to the required parties in accordance with the collateral administration agreement.
As a result of these events, payments due on the class C notes and the subordinated notes on the Nov. 11, 2022 interest payment date were not made on that date. These amounts remain due and outstanding as of the date of the notice.
In accordance with the notice, the issuer has notified the occurrence of an event of default, in accordance with condition 10(a)(i) (non-payment of interest) of the terms and conditions of the notes.
Our ratings on the notes reflect our assessment of the underlying asset pool's credit and cash flow characteristics, as well as our analysis of the transaction's exposure to counterparty, legal, and operational risks. S&P Global Ratings' assessment of operational and administrative risks is a core part of its process in rating structured finance transactions. These risk assessments focus on key transaction parties (KTPs), or parties whose failure to perform as contracted poses a risk to a securitization's expected performance, such as to adversely affect the securitization's ratings.
Considering the lack of response by the collateral manager regarding the October monthly report--and, consequently, the collateral administrator being unable to finalize and provide the periodic report to the required parties in accordance with clause 17.4 of the collateral administration agreement--we have placed the rating on CreditWatch negative.
We will continue to review the ratings considering this event. If a resolution is made with regard to the event of default notice, this may affect the outstanding rating on the class C notes. We therefore continue to monitor the transaction and any developments that arise which may affect the rating on these notes.
We typically resolve CreditWatch placements within 90 days.
Cavendish Square Funding is a cash flow mezzanine structured finance CDO of a portfolio that comprises predominantly mortgage-backed securities. The transaction closed in February 2006 and AE Global Investment Solutions Ltd. manages it.
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|Primary Credit Analyst:||Shubham Verma, London (44) 20-7176-0858;|
|Secondary Contact:||Sandeep Chana, London + 44 20 7176 3923;|
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