ALME Loan Funding III Limited

58 Pages·2013·2.98 MB·English

ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
CDO Trust Services Prior Payment: 17-Jan-17
www.usbank.com/cdo
George Spafford
0207 330 2176
[email protected]
Monthly Report
Electronic Reports Relevant Dates
Issue ID: ............................................... ALME1402 Issue Date: 11-Dec-14
Payment Data File Name: First Payment Date: 15-Jul-15
ALME1402_20170203_D_1.CSV Account Summary Effective Date: 22-Apr-15
ALME1402_20170203_D_2.CSV Transaction Detail Reinvestment Period End Date: 15-Jan-19
ALME1402_20170203_D_3.CSV Test History
ALME1402_20170203_D_4.CSV Asset Detail
ALME1402_20170203_SIFMA.XML SIFMA
Compliance Information Pages Asset Detail Information Pages Statistical Information Pages
Summary 2 Assets Purchased 20 Stratifications - Countries 53
Proceeds Account Summary 3 Assets Sold 21 Stratifications - Obligors (10 Largest) 54
Coverage and Collateral Quality Tests Summary 4 Current Asset Characteristics - Part I 22 - 25 Stratifications - Industries 55
Interest Coverage Tests Detail 5 Current Asset Characteristics - Part II 26 - 29 Risk Retention 56
Par Value Tests Detail 6 Current Asset Characteristics - Part III 30 - 33 Additional Notices 57
Caa Obligations 7 Defaulted Obligations and Deferring Securities 34 Disclaimer 58
CCC Obligations 8 Discount Obligations and Swapped Non-Discount 35
Coverage Tests History - Part I 9 Obligations
Coverage Tests History - Part II 10 Collateral Enhancement Obligations and Exchanged 36
Coverage Tests History - Part III 11 Equity Securities
Coverage Tests History - Part IV 12 Participation Information 37
Collateral Quality Tests History - Part I 13 Restructured Obligations - Additions 38
Collateral Quality Tests History - Part II 14 Restructured Obligations - Removals 39
Collateral Quality Tests History - Part III 15 Rating Detail - Public 40 - 43
Collateral Principal Amount for Portfolio Profile Tests 16 Rating Change History - Public 44
Portfolio Profile Tests Summary 17 - 18 Rating Change History - Shadow/Private 45
Eligible Investments 19 Hedge Transactions Detail (Purchase Lots) 46
Hedge Counterparty Ratings 47
Intra-Period Collection Account Detail 48 - 52
Contact Information
Issuer: ALME Loan Funding III DAC
Collateral Manager: Apollo Management International LLP
Rated By: Fitch Ratings Ltd/Moody's Investors Service
Information is available from the following sources
U.S. Bank Web Site www.usbank.com/cdo
Monthly Report - 2/14/201710:24:51AM © 2011 U.S. Bancorp
Page 1 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Summary
Note Information
Expected
Moody's Fitch
Original Original Current Interest
Note Coupon Balance Balance Payment Index Coupon Orig Curr Orig Curr
Class A-1 Notes 1.43472% 233,700,000.00 233,700,000.00 532,836.00 -0.32700% 0.90300% Aaa Aaa AAA AAA
Class A-2 Notes 1.71100% 5,300,000.00 5,300,000.00 22,949.00 N/A 1.71100% Aaa Aaa AAA AAA
Class B-1 Notes 2.20472% 26,400,000.00 26,400,000.00 111,672.00 -0.32700% 1.67300% Aa2 Aa2 AA+ AA+
Class B-2 Notes 2.65400% 17,100,000.00 17,100,000.00 114,741.00 N/A 2.65400% Aa2 Aa2 AA+ AA+
Class C Notes 2.85472% 24,000,000.00 24,000,000.00 140,880.00 -0.32700% 2.32300% A2 A2 A+ A+
Class D Notes 3.65472% 23,000,000.00 23,000,000.00 181,470.00 -0.32700% 3.12300% Baa3 Baa3 BBB+ BBB+
Class E Notes 5.65472% 27,750,000.00 27,750,000.00 359,362.50 -0.32700% 5.12300% Ba2 Ba2 BB BB
Class F Notes 6.75472% 11,000,000.00 11,000,000.00 173,030.00 -0.32700% 6.22300% B2 B2 B- B-
Class PTC Notes N/A 42,850,000.00 42,850,000.00 N/A N/A N/A NR NR NR NR
Totals: 411,100,000.00 411,100,000.00 1,636,940.50
Asset Positions Test Summary
Curr Prior
Position (1) Count Current Count Prior Test Type Pass Fail N/A
Senior Secured Loan 135 388,919,604.22 135 399,859,968.93 Coverage 10 0 0
Mezzanine Obligation - - - - Quality 7 0 0
Senior Unsecured Loan - - - - Portfolio Profile 32 0 0
Second Lien Loan - - 1 964,064.50 Totals: 49 0 0
High Yield Bond - - - -
Senior Secured Note - - - -
Warrants - - - -
Common Stock - - - -
Balance in PRINCIPAL ACCOUNT - 8,294,281.81 - (83,105.98)
Unfunded Commitments - 3,741,629.57 - 221,832.14
Totals: 135 400,955,515.60 136 400,962,759.59
Monthly Report - 2/14/201710:22:13AM © 2011 U.S. Bancorp
Page 2 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Proceeds Account Summary
Accounts Summary
Opening Ending Balance
Account Balance Deposits Withdrawals Balance (EUR)
EUR
ALME III CTPY DOWNGRADE ACCOUNT - - - - -
ALME III EXPENSE RESERVE ACCOUNT - - - - -
ALME III FIRST PERIOD RESERVE ACCOUN - - - - -
ALME III HEDGE ACCOUNT - - - - -
ALME III INTEREST ACCOUNT 4,078,856.50 1,254,925.30 4,107,591.65 1,226,190.15 1,226,190.15
ALME III INTEREST SMOOTHING ACCOUNT 122,888.30 - 122,888.30 - -
ALME III PAYMENT ACCOUNT 0.03 4,078,856.50 4,078,856.50 0.03 0.03
ALME III PRINCIPAL ACCOUNT 17,536,222.51 22,218,176.05 18,304,206.00 21,450,192.56 21,450,192.56
ALME III SUPP RESERVE ACCOUNT - - - - -
ALME III UNFUNDED REVOLVER RES ACC 221,832.14 3,722,921.42 221,832.14 3,722,921.42 3,722,921.42
ALME III UNUSED PROCEEDS ACCOUNT - - - - -
Totals: 21,959,799.48 31,274,879.27 26,835,374.59 26,399,304.16 26,399,304.16
GBP
ALME III GBP CURRENCY ACCOUNT 37,382.05 1,192,752.33 1,136,735.16 93,399.22 111,285.17
Totals: 37,382.05 1,192,752.33 1,136,735.16 93,399.22 111,285.17
USD
ALME III USD CURRENCY ACCOUNT 32,857.23 2,625.98 2,625.00 32,858.21 29,454.10
Totals: 32,857.23 2,625.98 2,625.00 32,858.21 29,454.10
Please Note: All balances are as of the cash settled date.
Monthly Report - 2/14/201710:22:12AM © 2011 U.S. Bancorp
Page 3 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Coverage and Collateral Quality Tests Summary
Coverage Tests
Test Effective
Number Description Date Prior Current Trigger Max / Min Result
1 Class A/B Par Value Test 142.04% 141.93% 141.93% 132.59% Minimum Pass
2 Class C Par Value Test 130.92% 130.82% 130.82% 123.51% Minimum Pass
3 Class D Par Value Test 121.78% 121.69% 121.69% 115.40% Minimum Pass
4 Class E Par Value Test 112.32% 112.24% 112.23% 106.97% Minimum Pass
5 Class F Par Value Test 108.96% 108.88% 108.88% 104.62% Minimum Pass
6 Reinvestment Overcollateralisation Test 108.96% 108.88% 108.88% 104.62% Minimum Pass
7 Class A/B Interest Coverage Test 350.75% 478.23% 500.78% 120.00% Minimum Pass
8 Class C Interest Coverage Test 304.18% 405.45% 424.35% 110.00% Minimum Pass
9 Class D Interest Coverage Test 261.57% 339.11% 354.63% 105.00% Minimum Pass
10 Class E Interest Coverage Test 207.35% 256.29% 267.58% 101.00% Minimum Pass
Collateral Quality Tests
Test Effective
Number Description Date Prior Current Trigger Max / Min Result
1 Minimum Weighted Average Floating Spread Test 4.47% 4.55% 4.49% 4.25% Minimum Pass
2 Fitch Maximum Weighted Average Rating Factor Test 32.97 32.27 32.35 33.50 Maximum Pass
3 Fitch Minimum Weighted Average Recovery Rate Test 67.60% 65.70% 65.80% 65.26% Minimum Pass
4 Moody's Minimum Diversity Test 39.50 42.13 41.98 34.00 Minimum Pass
5 Moody's Maximum Weighted Average Rating Factor Test 2,695 2,646 2,711 3,210 Maximum Pass
6 Moody's Minimum Weighted Average Recovery Rate Test 46.60% 45.50% 45.50% 42.00% Minimum Pass
7 Weighted Average Life Test 5.59 5.27 5.28 5.85 Maximum Pass
Additional Information
Test Effective
Number Description Date Prior Current Trigger Max / Min Result
1 Discretionary Sales Test 0.22% 8.51% 8.35% 25.00% Maximum Pass
Monthly Report - 2/14/201710:21:55AM © 2011 U.S. Bancorp
Page 4 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Interest Coverage Tests Detail
Calculation Ratio Minimum Result
Class A/B Interest Coverage Test A / (B+C) 500.78% 120.00% Pass
Class C Interest Coverage Test A / (B+C+D) 424.35% 110.00% Pass
Class D Interest Coverage Test A / (B+C+D+E) 354.63% 105.00% Pass
Class E Interest Coverage Test A / (B+C+D+E+F) 267.58% 101.00% Pass
Received:
Balance standing to the credit of the Interest Account 1,226,190.15
1,226,190.15
Projected:
Scheduled Interest Payments 2,861,452.15
Scheduled Commitment Fees 0.00
Projected Reinvestment Income on Collateral Debt Obligations 0.00
Projected Reinvestment Income on Cash Accounts 0.00
2,861,452.15
Minus:
(A) Issuer Profit Amount and any taxes owed to be retained by the Issuer for Irish tax purposes 250.00
(B) Accrued and unpaid Trustee Fees and Expenses 19,968.21
(C) Accrued and unpaid Administrative Expenses 0.00
(D) Expense Reserve Amounts 0.00
(E) Senior Investment Management Fee 150,361.03
(F)(i) Scheduled Periodic Hedge Issuer Payments 0.00
(F)(ii) Any Currency Hedge Issuer Termination Payments 0.00
170,579.24
Plus:
Scheduled Periodic Hedge Counterparty Payments 0.00
Amounts payable from the Expenses Reserve Account/First Period Reserve Account 0.00
0.00
Minus:
Interest in respect of a PIK Security that has been deferred 0.00
0.00
Interest Coverage Amount: 3,917,063.06 (A)
Notes:
Interest payment due on the Class A Notes 555,785.00 (B)
Interest payment due on the Class B Notes 226,413.00 (C)
Interest payment due on the Class C Notes 140,880.00 (D)
Interest payment due on the Class D Notes 181,470.00 (E)
Interest payment due on the Class E Notes 359,362.50 (F)
Monthly Report - 2/14/201710:21:55AM © 2011 U.S. Bancorp
Page 5 of 58
As Of: 03-Feb-17
ALME Loan Funding III Limited
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Par Value Tests Detail
Calculation Ratio Minimum Result
Class A/B Par Value Test A / (B+C) 141.93% 132.59% Pass
Class C Par Value Test A / (B+C+D) 130.82% 123.51% Pass
Class D Par Value Test A / (B+C+D+E) 121.69% 115.40% Pass
Class E Par Value Test A / (B+C+D+E+F) 112.23% 106.97% Pass
Class F Par Value Test A / (B+C+D+E+F+G) 108.88% 104.62% Pass
Reinvestment Overcollateralisation Test A / (B+C+D+E+F+G) 108.88% 104.62% Pass
Collateral:
Aggregate Principal Balance of Collateral Debt Obligations 392,661,233.79
392,661,233.79
Minus:
Principal Balance of Defaulted Obligations 0.00
Principal Balance of Deferring Securities 0.00
Principal Balance of Discount Obligations 0.00
0.00
Plus:
Calculation Amount of Defaulted Obligations 0.00
Calculation Amount of Deferring Securities 0.00
Calculation Amount of Discount Obligations 0.00
0.00
Plus:
Balance standing to the credit of the Principal Account 8,294,281.81
Balance standing to the credit of the Unused Proceeds Account 0.00
8,294,281.81
Minus:
Excess CCC/Caa Adjustment Amount 0.00
0.00
Adjusted Collateral Principal Amount: 400,955,515.60 (A)
Notes:
Principal Amount Outstanding of the Class A Notes 239,000,000.00 (B)
Principal Amount Outstanding of the Class B Notes 43,500,000.00 (C)
Principal Amount Outstanding of the Class C Notes 24,000,000.00 (D)
Principal Amount Outstanding of the Class D Notes 23,000,000.00 (E)
Principal Amount Outstanding of the Class E Notes 27,750,000.00 (F)
Principal Amount Outstanding of the Class F Notes 11,000,000.00 (G)
Monthly Report - 2/14/201710:22:06AM © 2011 U.S. Bancorp
Page 6 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Caa Obligations
Security I.D. Issue/Facility Name Security Description Moody's Rating Principal Balance Market Value
EK3632040 CAREUK Float 07/15/19 Senior Secured Loan Caa1 5,400,163.00
BL0375008 Deoleo Term Loan Senior Secured Loan Caa1 1,682,352.94
Caa Haircut Summary
Item Description Value
(a) Collateral Principal Amount 400,955,515.60
(b) Excess Limit 7.50%
(c) Excess Threshold (a) x (b) 30,071,663.67
(d) Aggregate Principal Balance of Caa Obligations 7,082,515.94
(e) Total Caa Excess above Threshold 0.00
Totals: 2
Monthly Report - 2/14/201710:22:09AM © 2011 U.S. Bancorp
Page 7 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
CCC Obligations
Security I.D. Issue/Facility Name Security Description Fitch Rating Principal Balance Market Value
BL0375008 Deoleo Term Loan Senior Secured Loan Private 1,682,352.94
CCC Haircut Summary
Item Description Value
(a) Collateral Principal Amount 400,955,515.60
(b) Excess Limit 7.50%
(c) Excess Threshold (a) x (b) 30,071,663.67
(d) Aggregate Principal Balance of CCC Obligations 1,682,352.94
(e) Total CCC Excess above Threshold 0.00
Totals: 1
Monthly Report - 2/14/201710:21:57AM © 2011 U.S. Bancorp
Page 8 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Coverage Tests History - Part I
Class A/B Par Value Test Class C Par Value Test Class D Par Value Test
Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result
03-Feb-17 132.59% 141.93% 9.34% Pass 03-Feb-17 123.51% 130.82% 7.31% Pass 03-Feb-17 115.40% 121.69% 6.29% Pass
04-Jan-17 132.59% 141.93% 9.34% Pass 04-Jan-17 123.51% 130.82% 7.31% Pass 04-Jan-17 115.40% 121.69% 6.29% Pass
05-Dec-16 132.59% 141.88% 9.29% Pass 05-Dec-16 123.51% 130.77% 7.26% Pass 05-Dec-16 115.40% 121.65% 6.25% Pass
02-Nov-16 132.59% 141.85% 9.26% Pass 02-Nov-16 123.51% 130.75% 7.24% Pass 02-Nov-16 115.40% 121.62% 6.22% Pass
04-Oct-16 132.59% 141.90% 9.31% Pass 04-Oct-16 123.51% 130.79% 7.28% Pass 04-Oct-16 115.40% 121.66% 6.26% Pass
02-Sep-16 132.59% 141.89% 9.30% Pass 02-Sep-16 123.51% 130.78% 7.27% Pass 02-Sep-16 115.40% 121.65% 6.25% Pass
03-Aug-16 132.59% 141.90% 9.31% Pass 03-Aug-16 123.51% 130.79% 7.28% Pass 03-Aug-16 115.40% 121.66% 6.26% Pass
05-Jul-16 132.59% 141.89% 9.30% Pass 05-Jul-16 123.51% 130.78% 7.27% Pass 05-Jul-16 115.40% 121.65% 6.25% Pass
02-Jun-16 132.59% 141.87% 9.28% Pass 02-Jun-16 123.51% 130.76% 7.25% Pass 02-Jun-16 115.40% 121.63% 6.23% Pass
04-May-16 132.59% 141.89% 9.30% Pass 04-May-16 123.51% 130.78% 7.27% Pass 04-May-16 115.40% 121.65% 6.25% Pass
180% 180% 180%
170% 170% 170%
160% 160% 160%
150% 150% 150%
140% 140% 140%
130% 130% 130%
120% 120% 120%
110% 110% 110%
100% 100% 100%
90% 90% 90%
80% 80% 80%
04-May-1062-Jun-1605-Jul-1603-Aug-1062-Sep-1064-Oct-1602-Nov-1605-Dec-1604-Jan-1703-Feb-17 04-May-1062-Jun-1605-Jul-1603-Aug-1062-Sep-1064-Oct-1602-Nov-1605-Dec-1604-Jan-1703-Feb-17 04-May-1062-Jun-1605-Jul-1603-Aug-1062-Sep-1064-Oct-1602-Nov-1605-Dec-1604-Jan-1703-Feb-17
Actual Minimum Actual Minimum Actual Minimum
Monthly Report - 2/14/201710:21:57AM © 2011 U.S. Bancorp
Page 9 of 58
ALME Loan Funding III Limited As Of: 03-Feb-17
Next Payment: 18-Apr-17
Prior Payment: 17-Jan-17
CDO Trust Services
www.usbank.com/cdo
Coverage Tests History - Part II
Class E Par Value Test Class F Par Value Test Reinvestment Overcollateralisation Test
Period Minimum Actual Spread Result Period Minimum Actual Spread Result Period Minimum Actual Spread Result
03-Feb-17 106.97% 112.23% 5.26% Pass 03-Feb-17 104.62% 108.88% 4.26% Pass 03-Feb-17 104.62% 108.88% 4.26% Pass
04-Jan-17 106.97% 112.24% 5.27% Pass 04-Jan-17 104.62% 108.88% 4.26% Pass 04-Jan-17 104.62% 108.88% 4.26% Pass
05-Dec-16 106.97% 112.20% 5.23% Pass 05-Dec-16 104.62% 108.84% 4.22% Pass 05-Dec-16 104.62% 108.84% 4.22% Pass
02-Nov-16 106.97% 112.17% 5.20% Pass 02-Nov-16 104.62% 108.82% 4.20% Pass 02-Nov-16 104.62% 108.82% 4.20% Pass
04-Oct-16 106.97% 112.21% 5.24% Pass 04-Oct-16 104.62% 108.86% 4.24% Pass 04-Oct-16 104.62% 108.86% 4.24% Pass
02-Sep-16 106.97% 112.20% 5.23% Pass 02-Sep-16 104.62% 108.85% 4.23% Pass 02-Sep-16 104.62% 108.85% 4.23% Pass
03-Aug-16 106.97% 112.21% 5.24% Pass 03-Aug-16 104.62% 108.86% 4.24% Pass 03-Aug-16 104.62% 108.86% 4.24% Pass
05-Jul-16 106.97% 112.20% 5.23% Pass 05-Jul-16 104.62% 108.85% 4.23% Pass 05-Jul-16 104.62% 108.85% 4.23% Pass
02-Jun-16 106.97% 112.19% 5.22% Pass 02-Jun-16 104.62% 108.83% 4.21% Pass 02-Jun-16 104.62% 108.83% 4.21% Pass
04-May-16 106.97% 112.20% 5.23% Pass 04-May-16 104.62% 108.85% 4.23% Pass 04-May-16 104.62% 108.85% 4.23% Pass
160% 160% 160%
150% 150% 150%
140% 140% 140%
130% 130% 130%
120% 120% 120%
110% 110% 110%
100% 100% 100%
90% 90% 90%
80% 80% 80%
04-May-1062-Jun-1605-Jul-1603-Aug-1062-Sep-1064-Oct-1602-Nov-1605-Dec-1604-Jan-1703-Feb-17 04-May-1062-Jun-1605-Jul-1603-Aug-1062-Sep-1064-Oct-1602-Nov-1605-Dec-1604-Jan-1703-Feb-17 04-May-1062-Jun-1605-Jul-1603-Aug-1062-Sep-1064-Oct-1602-Nov-1605-Dec-1604-Jan-1703-Feb-17
Actual Minimum Actual Minimum Actual Minimum
Monthly Report - 2/14/201710:22:10AM© 2011 U.S. Bancorp
Page 10 of 58