News Column

Fitch Affirms GT Loan Financing I, Ltd.'s Ratings

August 29, 2014

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the class A notes issued by GT Loan Financing I, Ltd. (GT Loan I) at 'AAAsf'. The Rating Outlook remains Stable.

KEY RATING DRIVERS

The affirmation is based on the stable performance of the underlying portfolio since Fitch's last review and the stable credit enhancement available to the notes. As of the July 14, 2014 trustee report, the transaction continues to pass all of its coverage tests and collateral quality tests, and there are currently no defaults in the underlying portfolio.

The loan portfolio par amount plus principal cash is approximately $191 million, compared to the effective date target balance of $190 million. The minimum required weighted average spread (WAS) trigger is 4.0%, versus a current WAS of 4.4%, as reported by the trustee. Additionally, the weighted average rating factor is at 'B/B-', in line with the level at closing. Fitch considers 2.6% of the collateral assets to be rated in the 'CCC' category versus 6.2% at closing, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. Currently, 94.3% of the portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

The Stable Outlook reflects the expectation that the class A notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio, based on the results of the Fitch sensitivity analysis described below.

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. Fitch conducted rating sensitivity analysis on the closing date of GT Loan I, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.

GT Loan Financing I, Ltd. (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that is managed by GoldenTree Asset Management, LP (GoldenTree). Net proceeds from the issuance of the secured and subordinated notes were used to purchase a portfolio of approximately $190 million of primarily senior secured leveraged loans. The CLO has a four-year reinvestment period, ending in October 2017.

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. Given the stable performance of the deal since closing in September 2013, no updated cash flow modeling was completed. The WAS, WAL, and PCM outputs are similar to the levels at closing. The current portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery Rate (RRR) outputs from PCM are 53.6% and 39.4%, respectively, versus an RDR of 63.9% and RRR of 35.2% for the Fitch stressed portfolio at closing.

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Oct. 22, 2013. A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is also available by accessing the reports and links indicated below.

Fitch has affirmed the following ratings:

--$110,000,000 class A notes 'AAAsf'; Outlook Stable;

Fitch does not rate the class B, C, or the Subordinated Notes.

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

Applicable Criteria & Related Research:

--'Global Structured Finance Rating Criteria' (August 4, 2014);

--'Global Rating Criteria for Corporate CDOs' (July 25, 2014);

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

--'GT Loan Financing I, Ltd. New Issue Report' (Oct. 22, 2013);

--'GT Loan Financing I, Ltd. - Appendix' (Oct. 22, 2013).

Applicable Criteria and Related Research:

GT Loan Financing I, Ltd.

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=719236

GT Loan Financing I, Ltd. - Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=716722

Counterparty Criteria for Structured Finance and Covered Bonds

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

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753057

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=861594

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

Shashi Srikantan

Director

+1-212-908-0393

Fitch Ratings, Inc.

33 Whitehall Street

New York, NY 10004

or

Committee Chairperson

Derek Miller

Senior Director

+1-312-368-2076

or

Media Relations

Sandro Scenga, New York, +1-212-908-0278

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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