News Column

Fitch Affirms ACAS CLO 2007-1, Ltd./Corp.

June 23, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed seven classes of notes issued by ACAS CLO 2007-1 Ltd./Corp. (ACAS CLO 2007-1). The Rating Outlooks remain Stable. A full list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The affirmations are based on the stable performance of the underlying portfolio since Fitch's last review in August 2013 and the stable credit enhancement available to the notes. As of the May 8, 2014 trustee report, the transaction continues to pass all of its coverage tests, concentration limitation and collateral quality tests, except for the weighted average life (WAL) test. The current WAL is reported to be 3.5 years, versus a trigger of 3.0 years. The weighted average rating factor has remained stable at 'B+/B' range since the last review. Fitch currently considers 3.9% of the collateral assets to be rated in the 'CCC' category, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. Currently, 94.1% of the portfolio has strong recovery prospects or a Fitch assigned Recovery Rating of 'RR2' or higher. There are currently no defaulted assets in the underlying portfolio.

All classes of notes are able to perform at or above their current ratings under the default timing and interest rate stresses in the cash flow model. The affirmations reflect the notes' ability to perform at their current rating levels, with robust cushion available to withstand future deterioration in the underlying portfolio. Fitch does not expect the ratings to experience ratings volatility in the near term, supporting the Stable Outlooks on the notes.

RATING SENSITIVITIES

The ratings of the notes may be sensitive to the following: asset defaults, portfolio migration, including assets being downgraded to 'CCC', portions of the portfolio being placed on Rating Watch Negative, overcollateralization (OC) or interest coverage (IC) test breaches, or breach of concentration limitations or portfolio quality covenants. However, Fitch's stressed analysis shows the notes performing at their current rating levels so long as the portfolio concentrations are within permitted limitations.

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'. Fitch's modeling results for the class A-2, B, C and D notes indicated higher passing ratings when analyzing with the current portfolio's characteristics. However, analysis with the portfolio covenants stressed to certain permitted limitations indicated that an upgrade was not warranted for these notes.

ACAS CLO 2007-1 is a cash flow collateralized loan obligation (CLO) that closed April 26, 2007 and is managed by American Capital Asset Management, LLC. The transaction exited its reinvestment period in April 2014, but the manager is still permitted to reinvest proceeds from prepaid assets, credit improved and credit risk sales after the reinvestment period, subject to certain conditions.

Fitch has affirmed the following ratings:

--$110,750,000 class A-1 at 'AAAsf'; Outlook Stable;

--$135,000,000 class A-1-S at 'AAAsf'; Outlook Stable;

--$33,750,000 class A-1-J at 'AAAsf'; Outlook Stable;

--$25,000,000 class A-2 at 'AAsf'; Outlook Stable;

--$22,000,000 class B at 'Asf'; Outlook Stable;

--$21,000,000 class C at 'BBBsf'; Outlook Stable;

--$15,500,000 class D at 'Bsf'; Outlook Stable.

Additional information is available at 'www.fitchratings.com'.

The information used to assess these ratings was sourced from periodic trustee reports and the public domain.

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (May 20, 2014);

--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2013);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (Jan. 23, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=748821

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=835935

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.



Fitch Ratings

Primary Surveillance Analyst

Felix Chen, +1 212-908-9154

Associate Director

Fitch Ratings, Inc.

33 Whitehall St.

New York, NY 10004

or

Committee Chairperson

Derek Miller, +1 312-368-2076

Senior Director

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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