Fitch does not rate the class F notes.
KEY RATING DRIVERS
The affirmations are based on the stable performance of the transaction since Fitch's last rating action in
The notes of
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, as described in the report. All notes passed the various stress scenarios at rating levels in line with or above their current ratings.
Although classes B, C, and D are able to pass at higher ratings in the cash flow model, they have been affirmed due to their subordinated position in the capital structure and their potential exposure to adverse selection as the portfolio becomes more concentrated.
The performance of the portfolio may be sensitive to significant credit deterioration or distressed recoveries of the portfolio. The notes may also be sensitive to increasing concentration risks as the portfolio continues to amortize. Fitch will continue to monitor the transaction regularly and as warranted by such events.
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' (
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
Global Structured Finance Rating Criteria
Global Rating Criteria for Corporate CDOs
Criteria for Interest Rate Stresses in Structured Finance Transactions
Counterparty Criteria for Structured Finance and Covered Bonds
Primary Surveillance Analyst
Source: Fitch Ratings
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