CHICAGO--()--Fitch Ratings has assigned the following ratings to Guggenheim Private Debt Fund Note Issuer, LLC (Guggenheim PDFNI):
--$90,900,011 class A notes, series A-3, 'Asf', Outlook Stable;
--$15,150,012 class B notes, series B-3, 'BBBsf', Outlook Stable;
--$18,685,011 class C notes, series C-3, 'BBsf', Outlook Stable;
--$12,625,010 class D notes, series D-3, 'Bsf', Outlook Stable.
In addition, Fitch has affirmed the ratings on the following classes:
--$292,499,994 class A notes, series A-1, at 'Asf'; Outlook Stable;
--$48,749,993 class B notes, series B-1, at 'BBBsf'; Outlook Stable;
--$60,124,994 class C notes, series C-1, at 'BBsf'; Outlook Stable;
--$40,624,994 class D notes, series D-1, at 'Bsf'; Outlook Stable;
--$44,999,995 class A notes, series A-2, at 'Asf'; Outlook Stable;
--$7,499,995 class B notes, series B-2, at 'BBBsf'; Outlook Stable;
--$9,249,995 class C notes, series C-2, at 'BBsf'; Outlook Stable;
--$6,249,996 class D notes, series D-2, at 'Bsf'; Outlook Stable.
Guggenheim PDFNI (the issuer) is a collateralized loan obligation (CLO) transaction that closed in July 2012 and had its first and second funding dates in July 2012 and October 2012, respectively. The transaction is managed by Guggenheim Partners Investment Management, LLC (GPIM). Fitch assigned ratings to the new notes issued commensurate with the third funding that occurred on March 12, 2013 and also affirmed its ratings on the notes that were issued pursuant to the first and second funding dates.
Pursuant to the third funding date, the issuer has drawn an additional $202 million of cash from investors and has issued a commensurate $202 million of new notes, each designated as 'series 3', including approximately $64.6 million of first-loss notes that are not rated by Fitch. The notes were issued in the same proportion as the initial capital structure, as was contemplated at the transaction's closing. All notes from 'series 1,' 'series 2' and 'series 3' are cross-collateralized by the entire collateral portfolio, which currently consists of approximately $894 million of broadly syndicated loans and private debt investments (PDIs) as well as approximately $85.7 million of cash. The third funding date effectively draws on all outstanding commitments, resulting in a total note issuance of $952 million for the transaction.
KEY RATING DRIVERS
In conjunction with the third funding date Fitch analyzed the current portfolio characteristics, as represented to Fitch by GPIM, as well as a 'Fitch-Stressed' portfolio that accounted for many of the worst-case portfolio concentrations permitted by the indenture (which is further detailed in Fitch's press release 'Fitch Rates Guggenheim Private Debt Fund Note Issuer, LLC' dated July 12, 2012). Fitch's cash flow modeling analysis of both portfolios indicated that each class of notes performs in line with the ratings assigned or affirmed, as applicable. Fitch therefore assigned the ratings to the 'series 3' notes as indicated above.
Fitch has affirmed the existing 'series 1' and 'series 2' notes due to the analysis described above as well as the stable performance of the transaction thus far. The Feb. 13, 2013 trustee report indicated that all collateral quality tests, concentration limitations, and coverage tests were in compliance. All rated notes received their full interest and commitment fees at the second payment date on Jan. 15, 2013. Also on this payment date, approximately $9.1 million of excess spread was redirected to the principal collection account for investment in future collateral, increasing the degree of collateral coverage for the notes.
Standard sensitivity analysis was conducted on the Fitch-stressed portfolio at close as described in Fitch's corporate CDO criteria, with the transaction's performance in these scenarios deemed to be within the expectations of each respective rating. Fitch also determined that the results of the sensitivity analysis run at close would be sufficient for upsizes of the transaction and therefore did not run additional sensitivities for the third funding date.
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 sources of information used to assess these ratings were the transaction documents provided by the manager, GPIM, and the public domain. The manager provided pertinent financial information related to the PDIs to Fitch's leveraged finance group, which used the information to establish credit opinions on these borrowers.
Applicable Criteria & Related Research:
--'Fitch Rates Guggenheim Private Debt Fund Note Issuer, LLC' (July 12, 2012)
--'Guggenheim Private Debt Fund Note Issuer, LLC (New Issue Appendix; July 12, 2012)
--'Fitch Assigns New Ratings to Guggenheim Private Debt Fund Note Issuer, LLC; Affirms Existing Ratings' (Oct. 29, 2012)
--'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
Counterparty Criteria for Structured Finance Transactions
Criteria for Interest Rate Stresses in Structured Finance Transactions
Global Criteria for Cash Flow Analysis in CDOs