Fitch Affirms 13 CLOs from Various Vintages

CHICAGO--()--Fitch Ratings has affirmed 16 tranches from 13 collateralized loan obligations (CLOs).

The rating action report, 'Fitch Affirms 13 CLOs from Various Vintages', dated March 25, 2016, 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. 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'.

KEY RATING DRIVERS

The affirmations on all classes included in this review are based on the sufficient CE levels available to the notes.

The credit quality of the underlying portfolios in 8 of 13 CLOs has deteriorated as reflected in the increased Fitch Weighted Average Rating Factor (WARF) since Fitch's last rating action. Seven out of 13 CLOs have reported defaults in their most recent report available for this review.

Further, weighted average spread has come down in all of these CLOs primarily due to the impact of increasing LIBOR on underlying loans with LIBOR floors. However, Fitch believes that the current observed spread reduction in the underlying portfolios has a limited rating impact for senior notes.

Among the reviewed CLOs, Halcyon Loan Advisors Funding 2015-1 Ltd., Whitehorse VIII, Ltd., and Battalion CLO VIII Ltd., currently have the highest exposure to commodity sector issuers. In addition to the already experienced deterioration in the credit quality and performance metrics, these transactions are likely to experience further negative migration, as the commodity sectors' downturn is expected to continue in 2016.

All of the transactions continue to have positive cushions between the notes' CE levels and relevant Portfolio Credit Model's (PCM) Rating Loss Rates. Fitch's PCM calculates Rating Default Rates and Rating Loss Rates for all rating stresses, as detailed in the report 'Global Rating Criteria for CLOs and Corporate CDOs,' which describes Fitch's framework for analyzing CLOs.

Given the positive cushions, no updated cash flow modelling was completed for this review. In addition, these positive cushions were considered to be sufficient at this point to buffer all reviewed notes against potential further moderate degree of deterioration. Fitch believes that the Stable Outlook remains an appropriate assessment of the notes' rating stability.

RATING SENSITIVITIES

The ratings of the notes are sensitive to significant negative credit migration and asset defaults 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.

The transactions included in this rating action originated in 2014-2015 and are managed by Anchorage Capital Group, LLC, Arrowpoint Asset Management, LLC, Brigade Capital Management, LP, Canyon Capital Advisors LLC, Halcyon Structured Asset Management LP, H.I.G. WhiteHorse Capital, LLC, Mariner Investment Group, LLC, Guggenheim Partners Investment Management, LLC, Valcour Capital Management LLC, and Voya Alternative Asset Management LLC. All CLOs remain within their reinvestment period; however Mariner CLO 2015-1 LLC will be reaching its reinvestment cut-off date in April 2016. The class A notes have received 0.5% of their original balance.

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 13 CLOs from Various Vintages

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879479

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

Anchorage Capital CLO 6, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=877416

Arrowpoint CLO 2015-4, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865060

Battalion CLO VIII Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864589

Canyon Capital CLO 2015-1, Ltd./LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864812

Crown Point CLO III, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867364

Halcyon Loan Advisors Funding 2015-1 Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864877

Mariner CLO 2015-1 LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=877422

NZCG Funding 2 Limited/LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865305

Voya CLO 2014-2, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868689

Voya CLO 2014-3, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=869881

Voya CLO 2015-1, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864336

WhiteHorse VIII, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867965

WhiteHorse X, Ltd./LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864815

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1001549

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1001549

Endorsement Policy

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

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Contacts

Fitch Ratings
Surveillance Analyst
Nazneen Kutty
Associate Director
+1-312-368-3217
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Committee Chairperson
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Surveillance Analyst
Nazneen Kutty
Associate Director
+1-312-368-3217
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Committee Chairperson
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com