Fitch to Rate Jamestown CLO VIII Ltd./Corp.; Issues Presale Report

CHICAGO--()--Fitch Ratings expects to assign the following ratings to Jamestown CLO VIII Ltd./Corp.:

--$315,800,000 class A-1A notes 'AAAsf'; Outlook Stable;

--$7,500,000 class A-1B notes 'AAAsf'; Outlook Stable;

--$30,200,000 class A-2A notes 'AAsf'; Outlook Stable.

Fitch does not expect to rate the class A-2B, B, C, D-1, D-2 or E notes or the subordinated notes.

TRANSACTION SUMMARY

Jamestown CLO VIII Ltd. (the issuer) and Jamestown CLO VIII Corp. (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by 3i Debt Management U.S. LLC (3iDM). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $505.25 million of primarily senior secured leveraged loans. The CLO will have an approximately four-year reinvestment period and two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36.0% for class A-1A and A-1B (collectively, class A-1) notes and 24.1% for class A-2A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' and 'AAsf' stress scenarios, respectively. The degrees of CE available to class A-1 and A-2A notes are in line with the average CE of recent 'AAAsf' and 'AAsf' CLO issuances, respectively.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, the class A-1 and A-2A notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 and A-2A notes are projected to be able to withstand default rates of up to 64.1% and 54.2%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 95.8% first lien senior secured loans. Approximately 89.6% of the indicative portfolio has strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, and the base case recovery assumption is 76.3%. In determining the ratings for class A-1 and A-2A notes, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions of higher rating stresses, resulting in recovery rates of 37.4% and 45.8% in Fitch's 'AAAsf' and 'AAsf' scenarios, respectively.

RATING SENSITIVITIES

Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates or correlation. Fitch expects the class A-1A and A-1B notes to remain investment grade and the class A-2A notes to remain within three rating categories of its assigned rating, even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for the class A-1A and A-1B notes and between 'BB+sf' and 'AA+sf' for the class A-2A notes.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

The publication of a representations, warranties and enforcement mechanisms appendix is not required for this transaction.

Additional information is available at www.fitchratings.com.

Sources of Information:

The information used to assess this rating was provided by the arranger (Mizuho Securities USA, Inc.) and the public domain.

Jamestown CLO VIII Ltd./Corp.

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873742

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Rating Criteria for CLOs and Corporate CDOs - Amended (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

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=995295

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=995295

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 Analyst
Joseph Farfsing
Associate Director
+1-312-368-3346
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
Secondary Analyst
Robert Rhein
Director
+1-312-606-2314
or
Committee Chairperson
Kevin Kendra
Managing Director
+1-212-908-0760
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Joseph Farfsing
Associate Director
+1-312-368-3346
Fitch Ratings, Inc.
70 West Madison Street
Chicago, IL 60602
or
Secondary Analyst
Robert Rhein
Director
+1-312-606-2314
or
Committee Chairperson
Kevin Kendra
Managing Director
+1-212-908-0760
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com