NEW YORK--(BUSINESS WIRE)--Link to Fitch Ratings' Report: AMMC CLO 15 Limited/Corp -- Appendix
https://www.fitchratings.com/site/re/891850
Fitch Ratings has assigned the following ratings to AMMC CLO 15 Limited/Corp (AMMC 15):
--$100,000,000 class A1-R loans 'AAAsf'; Outlook Stable;
--$0 class A1-R notes 'AAAsf'; Outlook Stable;
--$220,000,000 class A2-R notes 'AAAsf'; Outlook Stable;
--$4,000,000 class AX-R notes 'AAAsf'; Outlook Stable;
Class A1 and AX notes have been marked 'PIF.'
Fitch does not rate the class B1-R, B-F-R, C1-R, C-F-R, D, E or subordinated notes.
TRANSACTION SUMMARY
AMMC 15 issued class A1-R, A2-R, AX-R, B1-R, B-F-R, C1-R and C-F-R notes (collectively, the refinancing notes) and incurred the class A1-R loans (together with the refinancing notes, the refinancing obligations) and applied the net proceeds thereof to redeem the existing class AX, A1, B1, B-F,C1 and C-F notes at par (plus accrued interest) on the refinancing date of Dec. 9, 2016. The class D, E and subordinated notes were not refinanced.
The refinancing notes generally have the same terms as the previously outstanding classes; except that the stated coupons have changed and the $320 million class A1 notes are refinanced with the issuance of $0 million class A1-R notes, $220 million class A2-R notes and the incurrence of $100 million of class A1-R loans. The class AX-R B1-R, B-F-R, C1-R and C-F-R notes were issued in the same amounts as the previously outstanding class AX, B1, B-F, C1, and C-F notes.
--Class AX-R notes' spread reduced by 5 basis points (bps) to 1.25%
--Class A1-R loans, and A1-R and A2-R notes' spread reduced by 18 bps to 1.35%.
--Class B1-R notes' spread reduced by 55 bps to 1.90%
--Class B-F-R notes' coupon reduced by 89 bps to 3.744%
--Class C1-R notes' spread reduced by 66 bps to 2.80%
--Class C-F-R notes' coupon reduced by 87.9 bps to 4.69%
KEY RATING DRIVERS
The reduction in the cost of the liabilities is viewed as credit positive for class AX-R, A1-R, A2-R notes and A1-R loans (collectively, the class A debt) and the transaction continues to display stable performance since the last review in October 2016. The CLO will remain in its reinvestment period through December 2018, 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 debt shall be assigned at the same rating level ('AAAsf'/Outlook Stable) as the original class AX and A1 notes.
The loan portfolio par amount plus principal cash is approximately $497 million, as of the October 2016 trustee report. The weighted average life test is approximately 4.8 years compared to a maximum of 6.12. All other collateral quality tests are in compliance and there are no defaulted assets in the portfolio. The Fitch weighted average rating factor remains at 'B+'/'B', based on Fitch's Issuer Default Rating (IDR) Equivalency Mapping. Additionally, approximately 91.6% of the portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.
AMMC 15 is executing the partial refinancing via the First Supplemental Indenture, which included the incurrence of the class A1-R loans. The lender of the class A1-R loans have the option to convert all or a portion of the outstanding loan principal amount into an equivalent principal amount of class A1-R notes. On the conversion date, the class A1-R loan amount to be converted will cease to be outstanding and shall be deemed to have been repaid in full, and the class A-1 note balance will be increased accordingly. All accrued and unpaid interest on the converted class A1-R loans will be deemed to have been outstanding as of the conversion date on the class A1-R notes, and the class A1-R notes will accrue interest at the class A1-R note interest rate thereafter. No class A1-R notes or any other classes may be converted into class A1-R loans. This conversion option may also be removed by the consent of a majority of class A debtholders, so long as any class A debt remains outstanding.
The Stable Outlook on each class of debt reflects the expectation that each class has sufficient levels 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 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 the AMMC CLO 15 Ltd./Corp., 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 Jan. 5, 2016.
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 is available by accessing the appendix referenced under "Related Research" below. 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. However, the offering document of this transaction refinancing included a draft of the supplemental indenture and the credit agreement as supplemental exhibits, which contain RW&Es related to the underlying asset pool of the CLO. For further information, please see Fitch's Special Report titled Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions,' dated May 31, 2016.
Additional information is available at www.fitchratings.com.
Sources of Information:
The information used to assess these ratings was sourced from periodic trustee reports, the public domain and the arranger, Mizuho Securities USA, Inc.
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
Related Research
AMMC CLO 15 Limited/Corp -- Appendix
https://www.fitchratings.com/site/re/891850
Additional Disclosures
Dodd-Frank Rating Information Disclosure Form
https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1016273
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1016273
Endorsement Policy
https://www.fitchratings.com/regulatory
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