Fitch Rates GoldenTree Loan Opportunities XI, Limited/LLC Refinancing Obligations

CHICAGO--()--Fitch Ratings has assigned a 'AAAsf' rating to the class A-1-R loans, A-1-R notes, and A-2-R notes issued by GoldenTree Loan Opportunities XI, Limited/LLC. The Rating Outlook on each class of debt is Stable.

KEY RATING DRIVERS

GoldenTree Loan Opportunities XI, Limited/LLC issued refinancing obligations as class A-1-R loans, A-1-R, A-2-R, B-R, and C-R notes and applied the net issuance proceeds thereof to redeem the existing class A, B, and C notes at par (plus accrued interest) on the refinancing date of Nov. 22, 2016. No other classes of notes were refinanced.

Class A-1-R loans and A-2-R notes were issued in the same amount and have the same terms as the previously outstanding class A notes, except that the spread over LIBOR has been reduced to 1.38% from 1.50%. Class A-1-R notes were issued with a $0 balance and have the same terms as the class A-1-R loans. Class A-1-R loans can be converted, in whole or in part, to class A-1-R notes if the class A-1-R lender exercises a conversion option. The spreads over LIBOR on the class B-R and C-R notes were also reduced to 1.90% and 2.60% from 2.20% and 3.10% respectively. Fitch originally rated only the class A notes.

In conjunction with the refinancing, several other document provisions were amended that had no material impact on Fitch's analysis. These include, inter alia, the class A-1-R loans and A-1-R notes are no longer eligible for repricing, and can be refinanced one year after today. Classes B-R and C-R are eligible for refinancing and repricing starting from Nov. 22. 2017.

The reduction in the cost of the liabilities is viewed as credit positive and no other material changes were made to the capital structure or underlying portfolio as a result of the refinancing. The transaction is still in its reinvestment period (ending April 2019) and continues to display stable performance since Fitch's last review in March 2016. All coverage tests continue to pass and the rating default rate (RDR) and rating loss rate (RLR) for the current portfolio, plus losses to date, are still lower than the RDR and RLR modelled at close. As a result, the modelled Fitch stressed portfolio at close continues to serve as a proxy, and updated cash flow model analysis was not conducted for this rating action. Fitch has determined that the rating on the class A-1-R loans, A-1-R notes, and A-2-R notes shall be assigned at the same rating level ('AAAsf'; Outlook Stable) as the original class A notes.

The Stable Outlook on the class A-1-R loans, A-1-R, and A-2-R notes reflects the expectation that these notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with such class's rating.

RATING SENSITIVITIES

The rating of the class A-1-R loans, A-1-R, and A-2-R notes may be sensitive to asset defaults and portfolio migration beyond those expected at the initial rating and significantly lower recoveries. Fitch conducted rating sensitivity analysis on the original closing date of GoldenTree Loan Opportunities XI, Limited/LLC, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on March 26, 2015.

DUE DILIGENCE USAGE

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this refinancing. Offering documents for U.S. CLO transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for U.S. CLO transactions will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions,' dated May 31, 2016.

Fitch has assigned the following ratings:

--$237,000,000 class A-1-R loans 'AAAsf'; Outlook Stable;

--$0 class A-1-R notes 'AAAsf'; Outlook Stable;

--$103,000,000 class A-2-R notes 'AAAsf'; Outlook Stable.

Class A notes have been marked 'paid-in-full' (PIFsf).

Fitch does not rate the class B-R, C-R, D, E or F notes or the subordinated notes.

Sources of Information:

Sources of information used to assess this rating were provided by the arranger (GreensLedge Capital Markets LLC), periodic trustee reports and the public domain.

Additional information is available at www.fitchratings.com.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)
https://www.fitchratings.com/site/re/886006

Global Rating Criteria for CLOs and Corporate CDOs (pub. 09 Sep 2016)
https://www.fitchratings.com/site/re/887497

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)
https://www.fitchratings.com/site/re/883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1015206

Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1015206

Endorsement Policy
https://www.fitchratings.com/regulatory

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Fitch Ratings
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Todor Sapundzhiev, +1-312-368-3198
Analyst
Fitch Ratings, Inc.
70 West Madison St.
Chicago, IL 60602
or
Secondary Analyst:
Cesar Torres, +1-312-368-5437
Analyst
or
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Senior Director
or
Media Relations:
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sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst:
Todor Sapundzhiev, +1-312-368-3198
Analyst
Fitch Ratings, Inc.
70 West Madison St.
Chicago, IL 60602
or
Secondary Analyst:
Cesar Torres, +1-312-368-5437
Analyst
or
Committee Chairperson:
Alina Pak, +1-312-368-3184
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
New York
sandro.scenga@fitchratings.com