NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed 16 tranches from 12 collateralized loan obligations (CLOs).
The rating action report, 'Fitch Affirms 12 CLOs from Various Vintages,' dated Feb. 26, 2016, details the individual rating actions along with key performance drivers, such as credit enhancement (CE) levels and portfolio credit quality metrics, for each rated CLO. The report 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' or the link below.
KEY RATING DRIVERS
The affirmations on all classes included in this review are based on 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.
Several transactions have experienced defaults since last review or closing date, with some managers realizing losses through sales. Dryden 37 Senior Loan Fund, Race Point IX CLO, Limited, OHA Loan Funding 2015-1 Ltd., Sound Point CLO V, Ltd, and Sound Point CLO VIII, Ltd. continue to hold defaulted loans according to the most recent trustee reports used for this review. However, across these five transactions, defaults comprised a small portion of the respective portfolios. CE levels available to the rated notes are sufficient to affirm the notes at their current ratings. All CLOs remain in their respective reinvestment periods.
Performance metrics for each CLO covered by today's rating actions can be found in the rating action report that is available via a link provided below.
The ratings of the notes may be sensitive to the following: asset defaults, significant negative credit migration, and lower than historically observed recoveries for defaulted assets. Fitch conducted rating sensitivity analysis on the closing date of each CLO, 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 PCM for projecting future default and recovery levels for the underlying portfolios. Given the stable performances of each transaction, no updated cash flow modelling was completed for this review.
The transactions included in this rating action originated in 2014 - 2015 and are managed by INVESCO Senior Secured Management, Inc. (ISSM), Crestline Denali Capital, L.P., Prudential Investment Management, Inc., NYL Investors LLC, Oak Hill Advisors, L.P., Och-Ziff Loan Management LP, Sankaty Advisors, LP, Sound Point Capital Management, LP, and DFG Investment Advisers, Inc.
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this rating action.
Additional information is available at www.fitchratings.com.
Sources of Information:
The information used to assess these ratings was sourced from periodic servicer reports, note valuation reports, and the public domain.
Fitch Affirms 12 CLOs from Various Vintages
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)
Global Rating Criteria for CLOs and Corporate CDOs (pub. 12 Nov 2015)
Global Structured Finance Rating Criteria (pub. 06 Jul 2015)
U.S. CLO Index: Loan Defaults Not Just Commodities for U.S. CLOs
Dodd-Frank Rating Information Disclosure Form