Fitch Rates GoldenTree Loan Opportunities VIII, Limited/LLC

NEW YORK--()--Fitch Ratings assigns the following ratings to GoldenTree Loan Opportunities VIII Limited/LLC:

-- $364,800,000 class A notes 'AAAsf'; Outlook Stable.

TRANSACTION SUMMARY

GoldenTree Loan Opportunities VIII, Limited (the issuer) and GoldenTree Loan Opportunities VIII, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Asset Management LP (GoldenTree). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $600 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 39.2% for class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an 'AAAsf' stress scenario. The degree of CE available to class A notes is in line with, though slightly higher than, the average CE of recent CLO issuances.

'B/B-' Asset Quality: The average credit quality of the indicative portfolio is 'B/B-', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are projected to be able to withstand default rates of up to 67.9%.

Strong Recovery Expectations: The indicative portfolio consists of 94.7% first lien senior secured loans. Approximately 91% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

Portfolio Parameters: Most of the concentration limitations and collateral quality test levels are within the range of limits set in the majority of recent CLOs. Fitch addressed the impact of the most prominent risk-presenting concentration allowances in the Fitch stressed portfolio analysis.

RATING SENSITIVITIES

Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions including decreases in weighted average spread or recovery rates and increases in default rates or correlation. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for the class A notes.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, which will be available shortly to investors on Fitch's website at 'www.fitchratings.com'.

For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'webmaster@fitchratings.com'.

Additional information is available at 'www.fitchratings.com'.

The sources of information used to assess these ratings were the transaction documents provided by the arranger, J.P. Morgan Securities LLC, and the public domain.

Applicable Criteria and Related Research:

-- 'Global Structured Finance Rating Criteria' (May 24, 2013);

-- 'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2013);

-- 'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (Jan. 23, 2014);

-- 'Counterparty Criteria for Structured Finance and Covered Bonds' (May 13, 2013).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Global Rating Criteria for Corporate CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492

Global Structured Finance Rating Criteria - Effective 4 August 2011 to 6 June 2012
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Additional Disclosure

Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=827125

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Contacts

Fitch Ratings, Inc.
Primary Analyst
Robert Rhein, +1-312-606-2314
Director
70 West Madison Street
Chicago, IL 60602
or
Secondary Analyst
Christine Choo, +1-212-908-0603
Director
or
Committee Chairperson
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations, New York
Alyssa Castelli, +1-212-908-0540
alyssa.castelli@fitchratings.com

Sharing

Contacts

Fitch Ratings, Inc.
Primary Analyst
Robert Rhein, +1-312-606-2314
Director
70 West Madison Street
Chicago, IL 60602
or
Secondary Analyst
Christine Choo, +1-212-908-0603
Director
or
Committee Chairperson
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations, New York
Alyssa Castelli, +1-212-908-0540
alyssa.castelli@fitchratings.com