articles Ratings /ratings/en/research/articles/230124-cavendish-square-funding-cash-flow-cdo-of-abs-class-c-rating-placed-on-creditwatch-negative-12616685 content esgSubNav
In This List

Cavendish Square Funding Cash Flow CDO Of ABS Class C Rating Placed On CreditWatch Negative


Credit FAQ: Sharing Is Caring: U.K. Shared-Ownership RMBS Explained


Weekly European CLO Update


RFC Process Summary: Analyzing Letter Of Credit And Bank Liquidity Supported Transactions In Primary And Secondary Markets: Methodology And Assumptions


General Criteria: Methodology For Analyzing Letter Of Credit And Bank Liquidity-Supported Transactions

Cavendish Square Funding Cash Flow CDO Of ABS Class C Rating Placed On CreditWatch Negative


  • 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.

Related Criteria

Related Research

Primary Credit Analyst:Shubham Verma, London (44) 20-7176-0858;
Secondary Contact:Sandeep Chana, London + 44 20 7176 3923;

No content (including ratings, credit-related analyses and data, valuations, model, software, or other application or output therefrom) or any part thereof (Content) may be modified, reverse engineered, reproduced, or distributed in any form by any means, or stored in a database or retrieval system, without the prior written permission of Standard & Poor’s Financial Services LLC or its affiliates (collectively, S&P). The Content shall not be used for any unlawful or unauthorized purposes. S&P and any third-party providers, as well as their directors, officers, shareholders, employees, or agents (collectively S&P Parties) do not guarantee the accuracy, completeness, timeliness, or availability of the Content. S&P Parties are not responsible for any errors or omissions (negligent or otherwise), regardless of the cause, for the results obtained from the use of the Content, or for the security or maintenance of any data input by the user. The Content is provided on an “as is” basis. S&P PARTIES DISCLAIM ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, FREEDOM FROM BUGS, SOFTWARE ERRORS OR DEFECTS, THAT THE CONTENT’S FUNCTIONING WILL BE UNINTERRUPTED, OR THAT THE CONTENT WILL OPERATE WITH ANY SOFTWARE OR HARDWARE CONFIGURATION. In no event shall S&P Parties be liable to any party for any direct, indirect, incidental, exemplary, compensatory, punitive, special or consequential damages, costs, expenses, legal fees, or losses (including, without limitation, lost income or lost profits and opportunity costs or losses caused by negligence) in connection with any use of the Content even if advised of the possibility of such damages.

Credit-related and other analyses, including ratings, and statements in the Content are statements of opinion as of the date they are expressed and not statements of fact. S&P’s opinions, analyses, and rating acknowledgment decisions (described below) are not recommendations to purchase, hold, or sell any securities or to make any investment decisions, and do not address the suitability of any security. S&P assumes no obligation to update the Content following publication in any form or format. The Content should not be relied on and is not a substitute for the skill, judgment, and experience of the user, its management, employees, advisors, and/or clients when making investment and other business decisions. S&P does not act as a fiduciary or an investment advisor except where registered as such. While S&P has obtained information from sources it believes to be reliable, S&P does not perform an audit and undertakes no duty of due diligence or independent verification of any information it receives. Rating-related publications may be published for a variety of reasons that are not necessarily dependent on action by rating committees, including, but not limited to, the publication of a periodic update on a credit rating and related analyses.

To the extent that regulatory authorities allow a rating agency to acknowledge in one jurisdiction a rating issued in another jurisdiction for certain regulatory purposes, S&P reserves the right to assign, withdraw, or suspend such acknowledgement at any time and in its sole discretion. S&P Parties disclaim any duty whatsoever arising out of the assignment, withdrawal, or suspension of an acknowledgment as well as any liability for any damage alleged to have been suffered on account thereof.

S&P keeps certain activities of its business units separate from each other in order to preserve the independence and objectivity of their respective activities. As a result, certain business units of S&P may have information that is not available to other S&P business units. S&P has established policies and procedures to maintain the confidentiality of certain nonpublic information received in connection with each analytical process.

S&P may receive compensation for its ratings and certain analyses, normally from issuers or underwriters of securities or from obligors. S&P reserves the right to disseminate its opinions and analyses. S&P's public ratings and analyses are made available on its Web sites, (free of charge), and (subscription), and may be distributed through other means, including via S&P publications and third-party redistributors. Additional information about our ratings fees is available at

Register with S&P Global Ratings

Register now to access exclusive content, events, tools, and more.

Go Back