S&P: Ratings Assigned To Seven Classes From HPS Loan Management 7-2015 Ltd. In Connection With Refinancing

S&P Global Ratings today assigned its ratings to the class A-1R, B-R, C-R, D-R, E-R, and F-R replacement notes and the new class X notes from HPS Loan Management 7-2015 Ltd., a collateralized loan obligation (CLO) originally issued in 2015 that is managed by HPS Investment Partners CLO (U. S.) LLC. We withdrew our ratings on the original class A, B, C, D, E, and F notes following payment in full on the March 29, 2018, refinancing date.

On the March 29, 2018, refinancing date, the proceeds from the class A-1R, B-R, C-R, D-R, E-R, and F-R replacement note issuances were used to redeem the original class A, B, C, D, E, and F notes as outlined in the transaction document provisions. Therefore, we withdrew our ratings on the original notes in line with their full redemption, and we are assigning ratings to the replacement notes.

The replacement notes are being issued via a supplemental indenture, which, in addition to outlining the terms of the replacement notes, will also implement the below changes: The replacement class A-1R, B-R, C-R, D-R, E-R, and F-R notes were issued at a lower spreads than the original notes. New class X and A-2R notes were added. The replacement class A-1R, B-R, C-R, D-R, E-R, and F-R notes were issued at a new floating spread, replacing the current floating spread. The stated maturity and weighted average life test date were extended one year.94.94% of the identified underlying collateral obligations have credit ratings assigned by S&P Global Ratings.96.32% of the identified underlying collateral obligations have recovery ratings issued by S&P Global Ratings. Our review of this transaction included a cash flow analysis, based on the portfolio and transaction as reflected in the 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 or ultimate principal, or both, to each of the rated tranches.

The assigned ratings reflect our opinion that the credit support available is commensurate with the associated rating levels.

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 we will take rating actions as we deem necessary.
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