OREANDA-NEWS. Fitch Ratings has revised the Outlook on Harbourmaster CLO 9 B.V. class D and E notes to Stable and affirmed all ratings as follows:

Class A1-T: affirmed at 'AAAsf'; Outlook Stable
Class A1-VF: affirmed at 'AAAsf'; Outlook Stable
Class A2: affirmed at 'AAsf'; Outlook Stable
Class B: affirmed at 'A-sf'; Outlook Stable
Class C: affirmed at 'BBB-sf'; Outlook Stable
Class D: affirmed at 'BB-sf'; Outlook revised to Stable from Negative
Class E: affirmed at 'B-sf'; Outlook revised to Stable from Negative

Harbourmaster CLO 9 is a securitisation of mainly European senior secured loans. At closing a total note issuance of EUR770m was used to invest in a target portfolio of EUR750.75m. The portfolio is actively managed by GSO / Blackstone Debt Funds Europe Limited

KEY RATING DRIVERS
The affirmation and revised Outlook reflects increased credit enhancement and slightly improved asset performance. Credit enhancement available to the rated notes has increased significantly over the past 12 months due to the deleveraging of the transaction following the end of the reinvestment period. The senior notes A1 have paid down by EUR143.8m, GBP27.1m and USD0.95m between December 2014 and December 2015.

The reinvestment period ended in April 2014. Reinvestment of unscheduled principal proceeds is allowed until April 2016 subject to several conditions being satisfied. These include the class A1 notes not being downgraded below their initial ratings, all portfolio profile and coverage tests being satisfied prior and after the reinvestment and the maturity date of the new assets being no longer than the maturity date of the older assets that generated the proceeds.

In October 2015, the class A1 notes were upgraded by another agency to their initial ratings. In the collateral manager's and trustee's views, the transaction now satisfies the above mentioned reinvestment criteria and, as a consequence, the transaction may reinvest unscheduled principal proceeds until the payment date in April 2016. Between October and December 2015, approximatively EUR13.4m of principal proceeds were used for reinvestment.

The Fitch weighted average rating factor, as calculated by the trustee, has decreased to 26.1 from 27.9 over the past year and the Fitch weighted average recovery rate has increased to 73.5 from 73.3. In the same period the weighted average spread (WAS) of the portfolio fell to 4.09% from 4.23%. All these metrics continue to maintain a significant buffer against the covenanted levels.

There are currently no defaulted assets in the portfolio and 'CCC' obligations represent approximatively EUR5m. As of the December 2015 trustee report, all the coverage tests are passing with a buffer.

The transaction documents allow the issuer to invest up to 40% of the portfolio notional into non-euro obligations. These assets are either asset-swapped, or naturally hedged if denominated in sterling or US dollars by a corresponding draw in the same currency on the multi-currency class A1-VF notes. Since the end of the reinvestment period, no additional advances are possible. Fitch has found that the transaction can withstand the various combinations of interest rate and currency stresses overlaid with default skews between sterling, USD and euro assets at proposed rating stress levels.

RATING SENSITIVITIES
In its rating sensitivity analysis, Fitch found that a 25% increase of the default probability could result in downgrade of up to two notches for the class A1 and A2 notes and one notch for the mezzanine and junior notes. A 25% reduction of the recovery rate could result in a downgrade of up to three notches across all the notes.

DATA ADEQUACY
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.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

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.
-Loan-by-loan data provided by Deutsche Bank as at 31 December 2015
-Transaction reporting provided by Deutsche Bank as at 31 December 2015.