Fitch Affirms 12 CLOs from Various Vintages
OREANDA-NEWS. Fitch Ratings has affirmed 15 tranches from 12 collateralized loan obligations (CLOs).
The rating action report, 'Fitch Affirms 12 CLOs from Various Vintages', dated Feb. 19, 2016, 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' or by clicking on the link below.
KEY RATING DRIVERS
The affirmations on all classes included in this review are based on the sufficient 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. All CLOs remain in their respective reinvestment periods except for Symphony CLO IX Limited Partnership, which exited reinvestment in April, 2015. The class A notes have paid down 1.5% of their original note balance since last review.
Avery Point II CLO, Limited, Avery Point IV CLO, Limited, Carlyle Global Market Strategies CLO 2015-1, Ltd., and Symphony CLO IX Limited Partnership reported defaults in their portfolios, according to the most recent reports available for this review (approximately 0.99%, 0.21%, 0.62%, and 0.40% of total par balance including cash, respectively). However, the overall credit quality of the portfolios and CE available to the rated notes remain adequate to affirm the notes at their current ratings.
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, 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 Portfolio Credit Model 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 2012-2015 and are managed by Ares Management, LLC, BlackRock Financial Management, Inc., Carlyle Investment Management L.L.C., CreekSource LLC, GC Investment Management LLC, Octagon Credit Investors, LLC, Sankaty Advisors, LP, Symphony Asset Management LLC, and Voya Alternative Asset Management LLC.
DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this rating action.