CHICAGO--(BUSINESS WIRE)--Fitch Ratings has affirmed class A-1A, class A-1B and class A-1C (collectively, class A-1) notes issued by Carlyle GMS Finance MM CLO 2015-1 LLC at 'AAAsf'. The Rating Outlook remains Stable for all classes.
KEY RATING DRIVERS
The affirmations are based on the credit enhancement (CE) available to the notes and the stable performance of the underlying portfolio since the transaction's closing in June 2015.
The loan portfolio par amount plus principal cash is approximately $401.1 million (excluding PIK and capitalized interest amounts), as of the May 24, 2016 trustee report, resulting in a marginal increase in CE for the notes. All collateral quality tests, concentration limitations, and coverage tests are in compliance, and there are no defaulted assets in the portfolio.
The portfolio is managed to a Fitch Test Matrix, featuring various combinations of permitted Fitch weighted average rating factor (WARF), Fitch weighted average Recovery Rating (WARR), and weighted average spread (WAS) triggers. As of the effective date on Sept. 14, 2015, the manager selected and continues to manage to a maximum WARF of 40.0 ('B/B-'), minimum WARR of 64.20% and minimum WAS of 5.45%. As of May 24, 2016, the trustee reported the Fitch WARF of 36.0 ('B/B-'), WARR of 73%, and the WAS of 5.8%.
The Stable Outlook on the class A-1 notes reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio.
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. Rating sensitivity analysis was conducted at close and the results were disclosed in the new issue report. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on June 26, 2015.
Carlyle GMS Finance MM CLO 2015-1 LLC (the issuer) is a middle-market (MM) collateralized loan obligation (CLO) managed by Carlyle GMS Investment Management L.L.C. (CGMSIM). The transaction will remain in its reinvestment period until July 2019 and will mature in June 2027. Fitch's leveraged finance group provided model- and analyst-based credit opinions for the non-publicly rated loans in the portfolio, based on financial statements provided to Fitch by CGMSIM.
This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs' using Fitch's Portfolio Credit Model (PCM) to project future default and recovery levels for the underlying portfolio. Given the stable performances of each transaction, no updated cash flow modelling was completed for this review.
DUE DILIGENCE USAGE
No third party due diligence was reviewed in relation to this rating action.
Fitch has affirmed the following ratings:
--$160,000,000 class A-1A notes at 'AAAsf', Outlook Stable;
--$40,000,000 class A-1B notes at 'AAAsf', Outlook Stable;
--$27,000,000 class A-1C notes at 'AAAsf', Outlook Stable.
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, CGMSIM and the public domain.
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. 09 Jun 2016)
https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=882840
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=1007915
Solicitation Status
https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1007915
Endorsement Policy
https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31
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