Fitch Affirms 11 CLOs from Various Vintages
KEY RATING DRIVERS
The affirmations on all classes included in this review are based on the stable performance of the underlying portfolios since the transactions' inceptions and 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.
The transactions included in this rating action originated in 2013 - 2014 and are managed by American Capital CLO Management, LLC, Anchorage Capital Group, LLC, CVC Credit Partners, LLC, Ballyrock Investment Advisors LLC, Covenant Credit Partners, GoldenTree Asset Management LP, Harbourview Asset management, INVESCO Senior Secured Management, Inc., Sound Point Capital Management, LP, Shenkman Capital Management, Inc. and Voya Alternative Asset Management LLC. All CLOs still remain in their respective reinvestment periods.
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. Fitch conducted rating sensitivity analysis on the closing date of each CLO in this review, 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' 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.
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this rating action.