News Column

Fitch Affirms Magnetite VI, Limited/Corp.

August 29, 2014

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed the class A notes issued by Magnetite VI, Limited/Corp. (Magnetite VI) 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 credit enhancement available to the notes. As of the July 31, 2014 trustee report, the transaction continues to pass all of its coverage and collateral quality tests.

The loan portfolio par amount plus principal cash is approximately $403.1 million, compared to the effective-date target balance of $400 million. The minimum required weighted average spread (WAS) trigger is 4.25%, versus a current WAS of 4.33%, as reported by the trustee. Additionally, the weighted average rating factor remains at 'B'. Fitch currently considers 4.2% of the collateral assets to be rated in the 'CCC' category or below versus 11% in the indicative portfolio at closing. Currently, 91.4% 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 sufficient levels 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 rating of the class 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 a rating sensitivity analysis on the closing date of Magnetite VI, which incorporated increased levels of defaults and reduced levels of recovery rates, among other sensitivities.

Magnetite VI is an arbitrage, cash flow collateralized loan obligation (CLO) that closed on Sept. 13, 2012 and is managed by BlackRock Financial Management, Inc.

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 2012, 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 48.2% and 39.2%, respectively, versus an RDR of 62.5% and RRR of 35.8% for the Fitch stressed portfolio at closing.

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Sept. 26, 2012. 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 rating:

--$245,750,000 class A notes at 'AAAsf'; Outlook Stable.

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

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

Applicable Criteria & Related Research:

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

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

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

--'Magnetite VI, Limited/Corp. New Issue Report' (Sept. 26, 2012);

--'Magnetite VI, Limited/Corp. -- Appendix' (Sept. 26, 2012).

Applicable Criteria and Related Research:

Magnetite VI, Limited/Corp. -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=689371

Magnetite VI, Limited/Corp.

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=689369

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=861474

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

Geoffrey Ostosh, +1-312-368-2072

Analyst

Fitch Ratings, Inc.

70 W. Madison

Chicago, IL 60602

or

Committee Chairperson

Derek Miller, +1-312-368-2076

Senior Director

or

Media Relations

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

sandro.scenga@fitchratings.com

Source: Fitch Ratings


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