Fitch does not rate the subordinated notes.
KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) available to the notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the respective rating stress scenarios. The level of CE for each class of notes is above the average CE for notes in the same respective rating categories in recent CLO issuances.
'B' Asset Quality: The average credit quality of the indicative portfolio is approximately 'B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote highly speculative credit quality; however, in Fitch's opinion, each class of rated notes is projected to perform with sufficient robustness against default rates commensurate with its applicable rating stress.
Strong Recovery Expectations: The indicative portfolio consists of 96% first-lien senior-secured loans. Approximately 87.8% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, resulting in a base case recovery assumption of 75.5%. In determining the notes' ratings, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stress assumptions. For example, the analysis of the class A-1 notes assumed a 36.5% recovery rate in Fitch's 'AAAsf' scenario.
Consistent Portfolio Parameters: The concentration limitations and collateral quality test levels are within the range of limits set in the majority of recent CLOs. Fitch addressed the impact of the most prominent risk-presenting concentration allowances in the Fitch stressed portfolio analysis.
Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates or correlation. Fitch expects the class A-1 and class A-2 notes to remain investment grade, while classes B, C, and D are generally expected to remain within two rating categories, even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'AA-sf' and 'AAAsf' for the class A-1 notes, between 'BBB+sf' and 'AAAsf' for the class A-2 notes, between 'BBsf' and 'AA+sf' for the class B notes, between 'B-sf' and 'AA+sf' for the class C notes, and between a level below 'CCCsf' and 'A+sf' for the class D notes. The results of these scenarios remain consistent with the assigned ratings.
Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, which will be available shortly to investors on Fitch's website at 'www.fitchratings.com'.
For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'email@example.com'.
Additional information is available at 'www.fitchratings.com'.
The sources of information used to assess these ratings were the transaction documents provided by the arranger,
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Corporate CDOs' (
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (
--'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 and Covered Bonds
Counterparty Criteria for Structured Finance and Covered Bonds
Source: Fitch Ratings
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