Fitch does not rate the class B-1, B-2, C-1, C-2, D, E, F or subordinated notes.
CIFC Funding 2014-
KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 37.0% for class A-1 and A-2 notes (collectively, the class A notes), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The degree of CE available to class A notes is slightly below the average CE of recent CLO issuances. Class X notes are expected to be paid in full from the application of interest proceeds via the interest waterfall.
'B/B-' Asset Quality: The average credit quality of the indicative portfolio is 'B/B-', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote relatively weak credit quality; however, in Fitch Ratings' opinion, the class X and class A notes are unlikely to be affected by the foreseeable level of defaults. Class X and class A notes are projected to be able to withstand default rates of up to 67.9% and 64.1%, respectively.
Strong Recovery Expectations: The indicative portfolio consists of 97.8% first lien senior secured loans. Approximately 93.2% 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 76.3%. In determination of the class X and A note 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. The analysis of CIFC 2014-IV class X and class A notes assumed a 35.7% recovery rate in Fitch's 'AAAsf' scenario.
In addition to Fitch's stated criteria, the agency analyzed the structure's sensitivity to the potential variability of key model assumptions including decreases in weighted average spread or recovery rates and increases in default rates or correlation. The class X and class A notes are expected to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for both the class X and class A notes.
The ratings are based on information provided to Fitch by the arranger, Morgan Stanley & Co., LLC as of
Additional information is available at 'www.fitchratings.com'.
--'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' (
Counterparty Criteria for Structured Finance and Covered Bonds
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
Global Rating Criteria for Corporate CDOs
Global Structured Finance Rating Criteria
Source: Fitch Ratings
Most Popular Stories
- Paniagua Wins Grand Prize in Young Artists Program
- Yaris Adds French Flair for US Market
- IBM to Pay Big to Unload Chip Division
- Cable TV Not Going Away, Says Cable TV
- Sub Hunt Brings Cold War Chill Back to Baltic
- German Intelligence Blames Ukraine Rebels for MH17
- Cowboys Turn Back Clock to Glory Days
- Canadian Pacific Ends CSX Talks
- Kerry Cites Moral Need in Weapons Air Drop
- Turkey to Help Kurds Reach Fight in Kobani