OREANDA-NEWS. Fitch Ratings has affirmed 15 tranches from 10 collateralized loan obligations (CLOs).

The rating action report, 'Fitch Affirms 10 CLOs from Various Vintages', dated Dec. 18, 2015, details the individual rating actions along with key performance drivers, such as credit enhancement levels (CE) and portfolio credit quality metrics, for each rated CLO. The report can be found on Fitch's website at 'www.fitchratings.com' by performing a title search or by using the link below. For further information and transaction research please refer to 'www.fitchratings.com'.

KEY RATING DRIVERS

The affirmations on all classes included in this review are based on the sufficient credit enhancement (CE) available to the notes. The credit quality of the underlying portfolios has remained relatively stable, as reflected by the weighted average rating factor (WARF) levels since closing and/or the last review.

Fitch has seen an increase of default activity in the CLO sector from the defaults of widely held corporate loans in CLO portfolios. According to the Nov. 2015 trustee reports of the CLOs, four transactions, Regatta II Funding L.P., OZLM IX, Ltd., Venture XIX CLO, Limited, and KVK CLO 2013-1 Ltd. have experienced defaults in their portfolios (approximately 1.3%, 0.6%, 0.7%, 0.2%, and 0.6% of the total par balance including cash, respectively). However, the overall credit quality of the portfolios and CE available to the rated notes are adequate to affirm the notes at their current ratings.

RATING SENSITIVITIES

The ratings of the notes may be sensitive to the following: asset defaults, significant negative credit migration, lower than historically observed recoveries for defaulted assets, and breaches of concentration limitations, or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of each CLO, incorporating increased levels of defaults and reduced levels of recovery rates among other sensitivities.

This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs - Amended ' using Fitch's PCM for projecting future default and recovery levels for the underlying portfolios. Given the stable performances of each transaction, no updated cash flow modelling was completed for this review.

The transactions included in this rating action originated in 2013 - 2015 and are managed by Cutwater Investor Services Corp., Mariner Investment Group, LLC, ICG Debt Advisors LLC, KKR Financial Advisors II, LLC, Kramer Van Kirk Credit Strategies L.P., Och-Ziff Loan Management LP, Sankaty Advisors, LLC, Napier Park Global Capital, MJX Asset Management LLC and Allianz Global Investors U.S. LLC. All CLOs still remain in their respective reinvestment periods except for Elm CLO 2014-1 Ltd., which did not have a reinvestment period.