Fitch Downgrades Harbourmaster CLO 4 B.V. to 'Dsf'; Withdraws Ratings
OREANDA-NEWS. Fitch Ratings has downgraded and withdrawn Harbourmaster CLO 4 B.V.'s notes, as follows:
Class B2E (ISIN XS0203062467): downgraded to 'Dsf' from 'Csf' and withdrawn
Class B2F (ISIN XS0203063945): downgraded to 'Dsf' from 'Csf' and withdrawn
Harbourmaster CLO 4 B.V. was a 2004 vintage CLO securitisation of a portfolio of mainly European senior secured and unsecured loans. The portfolio was managed by Blackstone/GSO Debt Funds Management Europe Limited.
KEY RATING DRIVERS
The transaction has liquidated the portfolio and repaid in full the class B1 notes. All senior notes have previously repaid in full. There is currently no portfolio outstanding and Fitch has been informed that the B2 notes have been cancelled and delisted. The class B2E and B2F notes, which were originally rated 'BBsf' by Fitch, were not repaid in full on the last payment date as per the 11 April trustee report. Fitch has therefore downgraded the notes to 'Dsf' and withdrawn the ratings.
At issuance the class B2 notes had 5.2% credit enhancement, which is below the average credit enhancement for 'Bsf' rated tranches in current CLO 2.0 transactions. The B2E notes were issued at an original face value of EUR4m whereas the B2F notes were issued at EUR6m. Both notes received principal repayments due to a reverse turbo mechanism in the transaction and so were 73% and 74.4% outstanding, respectively.
The notes were downgraded to 'B-sf' in January 2010 and then to 'CCCsf' in February 2013, 'CCsf' in January 2014 and 'Csf' in December 2015.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
-Investor report as of April 2016