KEY RATING DRIVERS
The rating actions are based on the credit enhancement available to the rated notes and the stable performance of the underlying portfolio. Since Fitch's last review in
Fitch's analysis focused on a performing portfolio balance of
The ratings of the notes may be sensitive to the following: asset defaults, portfolio migration (including assets being downgraded to 'CCC'), or portions of the portfolio being placed on Rating Watch Negative or Outlook Negative, or OC or IC test breaches. The notes' performance may also be sensitive to the increasing concentration risks from reinvestment activity and/or portfolio amortization.
The transaction had exited its reinvestment period in
This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios.
While Fitch's cash flow analysis of the current portfolio indicates higher passing rating levels for the class C, D and E notes in all 12 interest rate and default timing scenarios, the current recommended ratings appropriately reflect the risk profile of the transaction given the ability to reinvest proceeds from unscheduled principal proceeds and credit risk sales. The class C, D and E notes remain subordinate to more senior classes and are the most susceptible to portfolio concentration risks and increased defaults. The Stable Outlooks reflect Fitch's expectations of continued performance of the notes in the near term.
Baker Street CLO II is a cash flow collateralized loan obligation (CLO) that closed on
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings was sourced from the asset manager, periodic servicer reports, and the public domain.
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Corporate CDOs' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (
Criteria for Interest Rate Stresses in Structured Finance Transactions
Counterparty Criteria for Structured Finance and Covered Bonds
Global Rating Criteria for Corporate CDOs
Global Structured Finance Rating Criteria
Primary Surveillance Analyst:
Source: Fitch Ratings
Most Popular Stories
- Obama Administration Releases Proposal to Regulate For-Profit Colleges
- Koch Brothers Step up Anti-Obamacare Campaign
- Elizabeth Vargas' Husband Marc Cohn Addresses Rumors
- Keurig Adds Peet's coffee, Alters Starbucks deal
- Quiznos Files for Chapter 11
- U.S. to Relinquish Gov't Control Over Internet
- SoCalGas Reaches Record Spend on Diversity Suppliers
- Vybz Kartel Convicted of Murder
- FDIC Sues Big Banks Over Rate Manipulation
- U.S. Consumer Sentiment Falls in Early March