Fitch Affirms Morningside Park CLO Ltd./LLC

NEW YORK--()--Fitch Ratings has affirmed the following class of Morningside Park CLO Ltd./LLC (Morningside Park):

--$265,000,000 class A notes at 'AAAsf'; Outlook Stable.

The class A notes are being affirmed as a result of the portfolio performing within Fitch's expectations since the last review.

Credit enhancement levels have been stable since the transaction's closing date. The average quality of the portfolio has improved slightly to 'B' from the 'B/B-' rating level in the last review conducted in December 2011. Exposure to assets considered 'CCC' by Fitch has decreased slightly to 7.6% from 8.2%, and there is one defaulted obligor in the portfolio. According to the trustee report dated Oct. 31, 2012, all coverage tests are passing their thresholds and the portfolio satisfies all of the transactions' concentration limitations. Collateral quality tests such as the weighted average spread (WAS) and weighted average life (WAL) are also passing minimum levels with the WAS currently at 4.25% compared to a minimum level of 4% and the WAL of the portfolio at 3.65 years versus the 3.75 year limit. The transaction is still in its reinvestment period, which is scheduled to end at the next payment date in January 2013.

This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The cash flow model was customized to reflect the transaction's structural features. Fitch's portfolio and cash flow analysis showed that the credit enhancement provided to the class A notes is consistent with the current rating level. The class A notes are not expected to experience rating volatility in the near term, which supports Fitch's currently Stable Outlook on the notes.

Morningside Park is an arbitrage, cash flow collateralized loan obligation (CLO) that closed on Dec. 16, 2010 and is managed by GSO/Blackstone Debt Funds Management LLC. The $364.4 million performing portfolio consists of 97.2% senior secured loans, 0.8% senior unsecured loans, 0.9% second lien loans and 1.1% bonds. The notes are also supported by an additional $34.2 million in the principal collection account.

Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

The information used to assess these ratings was sourced from the asset manager, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2012);

--'Global Criteria for Cash Flow Analysis in CDOs (Sept. 13, 2012);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (March 20, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=683910

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=673560

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

Contacts

Fitch Ratings
Primary Surveillance Analyst:
Christine Choo
Director
Fitch, Inc.
One State Street Plaza,
New York, NY 10004
Christine.choo@fitchratings.com
or
Committee Chairperson:
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com

Sharing

Contacts

Fitch Ratings
Primary Surveillance Analyst:
Christine Choo
Director
Fitch, Inc.
One State Street Plaza,
New York, NY 10004
Christine.choo@fitchratings.com
or
Committee Chairperson:
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations:
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com