Fitch to Rate Anchorage Capital CLO 6, Ltd./LLC; Issues Presale

NEW YORK--(BUSINESS WIRE)--Link to Fitch Ratings' Report: Anchorage Capital CLO 6, Ltd./LLC (US Structured Credit)
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863524

Fitch Ratings expects to assign the following ratings to Anchorage Capital CLO 6, Ltd./LLC:

--$282,500,000 class A-1 notes, 'AAAsf'; Outlook Stable;

--$25,000,000 class A-2 notes, 'AAAsf'; Outlook Stable.

Fitch does not expect to rate the class B, C, D, E, F or subordinated notes.

TRANSACTION SUMMARY

Anchorage Capital CLO 6, Ltd. and Anchorage Capital CLO 6, LLC (together, Anchorage 6) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Anchorage Capital Group, L.L.C. (Anchorage Capital). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $500 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 38.5% for class A-1 and A-2 (together, class A) notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The level of CE for the class A notes is 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 relatively weak credit quality; however, in Fitch's opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. The class A notes are robust against default rates of up to 66.9%.

Strong Recovery Expectations: The indicative portfolio consists of 98.1% senior secured loans, of which about 93.1% have strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher and the base case recovery assumption is 75.4%. In determining ratings for the class A notes, Fitch stressed the indicative portfolio by assuming a higher concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses resulting in a 35.6% recovery rate assumption in Fitch's 'AAAsf'.

RATING SENSITIVITIES

Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions, including decreases in 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 'AA-sf' and 'AAAsf' for the class A notes.

The expected ratings are based on information provided to Fitch as of March 11, 2015. Sources of information used to assess these ratings were provided by the arranger, J.P Morgan Securities LLC, and the public domain. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.

The presale report is available to investors on Fitch's web site 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 [phone] or at '[e-mail]'.

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);

--'Global Rating Criteria for Corporate CDOs' (July 25, 2014);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (Dec. 19, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753057

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981141

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