Fitch Affirms One Class of Notes Issued by Carlyle Global Market Strategies CLO 2012-1, Ltd.

CHICAGO--()--Fitch Ratings has affirmed the following class of notes issued by Carlyle Global Market Strategies CLO 2012-1, Ltd. (CGMS CLO 2012-1):

--$320,000,000 class A notes at 'AAAsf'; Outlook Stable.

The affirmation is based on the stable performance of the underlying portfolio since the transaction's inception in March 2012. As of the Jan. 14, 2013 trustee report, the transaction continues to pass all of its coverage tests and collateral quality tests, and there have been no defaults in the underlying portfolio to date.

In Fitch's view, the average credit quality of the underlying portfolio has remained at approximately 'B' since inception. Per the most recent trustee report, the $495.4 million portfolio is comprised of 3.4% second lien loans, 3.7% senior unsecured bonds, and the remainder consists of senior secured loans and principal cash. All permitted concentration limitations are currently in compliance.

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 combinations of 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 demonstrated that the credit enhancement provided to the class A notes remains consistent with the current rating level. The class A notes are not expected to experience rating volatility in the near term, supporting the Stable Outlook on the notes.

CGMS CLO 2012-1 is an arbitrage, cash flow collateralized loan obligation (CLO) that closed on March 27, 2012 and is managed by Carlyle Investment Management L.L.C. The transaction remains in its reinvestment period, which is scheduled to end in April 2016.

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 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' (Jan. 25, 2013);

--'Counterparty Criteria for Structured Finance Transactions' (May 30, 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=695535

Counterparty Criteria for Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Robert Rhein, +1-312-606-2314
Director
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
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

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Contacts

Fitch Ratings
Primary Surveillance Analyst
Robert Rhein, +1-312-606-2314
Director
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
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