NEW YORK--(BUSINESS WIRE)--Fitch Ratings affirms 19 tranches from 12 collateralized loan obligations (CLOs). The rating action report, 'Fitch Affirms 12 CLOs from Various Vintages', dated Sept. 3, 2015, details the individual rating actions along with key performance drivers, such as credit enhancement levels (CE) and portfolio credit quality metrics for each rated CLO. It can be found on Fitch's website at 'www.fitchratings.com' by performing a title search or by using the link below. For further information and transaction research please refer to 'www.fitchratings.com'.
KEY RATING DRIVERS
The affirmations on all classes included in this review are based on the stable performance of the underlying portfolios since each transaction's inception and the sufficient CE available to the notes. The credit quality of the underlying portfolios has remained relatively stable, as reflected by the weighted average rating factor (WARF) levels since closing and/or the last review.
Four transactions, CENT CLO 16, L.P., Flatiron CLO 2013-1 Ltd, LCM XVII Limited Partnership, and Symphony CLO XII Ltd, have experienced a default of one loan in each of their portfolios (1.0%, 0.08%, 0.09%, and 0.09% of the total par balance, respectively). However, the overall credit quality of the portfolios and CE available to the rated notes are deemed to be adequate to affirm the notes at their current ratings.
The transactions included in this rating action originated in 2012-2014 and are managed by Brigade Capital Management, LLC, Columbia Management Group, New York Life Investment Management LLC, JMP Credit Advisors LLC, LCM Asset Management LLC, Napier Park Global Capital, Sound Harbor Partners LLC, Symphony Asset Management LLC, GSO / Blackstone Debt Funds Management LLC, and ZAIS Leveraged Loan Manager, 2, LLC. All CLOs still remain in their respective reinvestment periods.
RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset defaults, significant negative credit migration, lower than historically observed recoveries for defaulted assets, and breaches of concentration limitations or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of each CLO in this review, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.
This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs' using Fitch's Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolios. Given the stable performances of each transaction, no updated cash flow modeling was completed for this review.
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this rating action.
Additional information is available at www.fitchratings.com.
Fitch Affirms 12 CLOs from Various Vintages
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=870717
Applicable Criteria
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158
Global Rating Criteria for CLOs and Corporate CDOs (pub. 30 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868908
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952
Related Research
Battalion CLO VI, Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=774348
Battalion CLO VII Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=817348
Cent CLO 16, L.P./Corp. -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=689524
Flatiron CLO 2013-1 Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731757
JMP Credit Advisors CLO III Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=762868
LCM XVII Limited Partnership/LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=840508
Regatta V Funding Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810909
Sound Harbor Loan Fund 2014-1, Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=773048
Symphony CLO XII, Ltd. -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=722755
Symphony CLO XV, Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=815268
Thacher Park CLO, Ltd./LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=822268
Zais CLO 2, Limited/LLC -- Appendix
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=766368
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=990357
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=990357
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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