Fitch Affirms 12 CLOs from Various Vintages

NEW YORK--()--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.

RATING SENSITIVITIES

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

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=878379

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. 12 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873664

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

U.S. CLO Index: Loan Defaults Not Just Commodities for U.S. CLOs

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=876994

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1000131

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1000131

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Contacts

Fitch Ratings
Primary Surveillance Analyst
Felix Chen, +1-212-908-9154
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10003
or
Secondary Surveillance Analyst
Timothy Chan, +1-646-582-4955
Associate Director
or
Committee Chairperson
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Surveillance Analyst
Felix Chen, +1-212-908-9154
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10003
or
Secondary Surveillance Analyst
Timothy Chan, +1-646-582-4955
Associate Director
or
Committee Chairperson
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com