NEW YORK--(BUSINESS WIRE)--Fitch Ratings has upgraded the following two classes of secured notes issued by Aberdeen Diamond Private Equity II plc (Aberdeen Diamond II):
-- EUR7,017,963 class M-1 to 'Asf' from 'Bsf';
-- $3,313,131 class M-2 to 'Asf' from 'Bsf'.
Aberdeen Diamond II, formerly known as SVG Diamond Private Equity II plc, is a securitization of existing limited partnership interests and future commitments to private equity funds that is managed by Aberdeen Asset Managers. Aberdeen Diamond II is currently in its amortization phase and the class C notes were paid in full in March 2016, substantially de-leveraging the transaction.
KEY RATING DRIVERS
-- Sufficient near-term liquidity relative to outstanding liabilities;
-- Strength of the amortization-period waterfall that stipulates deleveraging of the structure;
-- High probability of repayment of principal of the rated M-1 and M-2 notes at the next interest payment date.
Fitch's analysis was focused on the liquidity of the structure given the expected full repayment of the M1 and M2 notes at the next interest payment date. The upgrade to 'Asf' reflects the rating cap for private equity securitizations in our criteria.
LIQUIDITY PROFILE
According to the June 30, 2016 trustee report, Aberdeen Diamond II's unfunded commitment exposure has declined to an outstanding balance of EUR47.8 million. This amount was covered by cash/liquid investments of EUR76.9 million which were primarily invested in Fitch-rated 'AAAmmf' money-market funds. Minimum reserve accounts are sized at 78.57% of unfunded commitments and six months of senior expenses. As of June 30, 2016, Fitch believes Aberdeen Diamond II's reserves are in excess of the minimum amount required and the surplus funds will be sufficient to pay the full principal and interest of the rated M notes at the next interest payment date, as determined by the amortization-period waterfall. Fitch will mark the M1 and M2 notes as paid in full upon full repayment.
RATING SENSITIVITIES
Ratings may be sensitive to performance of the investments of the reserves accounts from which the funds will ultimately be used to repay the class M1 and M2 notes. Additionally, a material adverse deviation from Fitch guidelines for any key rating driver could cause the rating to be lowered by Fitch.
Additional information is available on www.fitchratings.com.
Applicable Criteria
Rating Closed-End Funds and Market Value Structures (pub. 11 May 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=881003
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010607
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010607
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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