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Fitch Rates Dryden 37 Senior Loan Fund/LLC

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings assigns the following rating and Rating Outlook to Dryden 37 Senior Loan Fund/LLC:

–$320,000,000 class A notes ‘AAAsf’; Outlook Stable.

Fitch does not rate the class B, C, D, E, F or subordinated notes.

TRANSACTION SUMMARY

Dryden 37 Senior Loan Fund (the issuer) and Dryden 37 Senior Loan Fund LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Prudential Investment Management, Inc. (Prudential). Net proceeds from the issuance of notes will be used to purchase a portfolio of approximately $500 million of leveraged loans. The CLO will have a four-year reinvestment period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for class A, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the ‘AAAsf’ stress scenario. The level of CE for the class A notes is below the average for recent CLO issuances; however, cash flow modeling indicates performance in line with other ‘AAAsf’ rated CLO notes.

‘B+/B’ Asset Quality: The average credit quality of the indicative portfolio is ‘B+/B’, which is slightly better than that of recent CLOs. Issuers rated in the ‘B’ rating category denote relatively weak credit quality; however, in Fitch’s opinion, the class A notes are unlikely to be affected by the foreseeable level of defaults. The class A notes are robust against default rates of up to 57.4%.

Strong Recovery Expectations: The indicative portfolio consists of 96.4% first-lien senior-secured loans. Approximately 89.5% 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 76.1%. In determination of the class A note rating, 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 Dryden 37 class A notes assumed a 34.7% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

Fitch evaluated 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. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A-sf’ and ‘AAAsf’ for the class A notes.

Sources of information used to assess these ratings were provided by the arranger, J.P. Morgan Securities LLC, and the public domain.

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 ‘webmaster@fitchratings.com‘.

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);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Dec. 19, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=981238

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.

Investment & Company InformationFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Aaron Hughes

Director

+1-312-368-2074

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Cristina Feracota

Associate Director

+1-312-606-2300

or

Committee Chairperson

Derek Miller

Senior Director

+1-312-368-2076

or

Media Relations:

Sandro Scenga, +1-212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Assigns Final Ratings to Citigroup Mortgage Loan Trust 2015-2

NEW YORK–(BUSINESS WIRE)–

Link to Fitch Ratings’ Report: Citigroup Mortgage Loan Trust 2015-2 — Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863049

Fitch Ratings has assigned the following ratings and Outlooks to two groups in Citigroup Mortgage Loan Trust 2015-2:

Group 1 Securities

–$75,728,000 class 1A1 ‘BBBsf’; Outlook Stable;

–$77,368,033 initial exchangeable class 1A2 not rated;

–$9,678,000 subsequent exchangeable class 1A3 ‘BBsf’; Outlook Stable;

–$9,072,000 subsequent exchangeable class 1A4 ‘Bsf’; Outlook Stable;

–$58,618,033 subsequent exchangeable class 1A5 not rated;

–$18,750,000 subsequent exchangeable class 1A6 ‘Bsf’; Outlook Stable;

–$43,964,000 subsequent exchangeable class 1A7 not rated;

–$14,654,033 subsequent exchangeable class 1A8 not rated.

Group 2 Securities

–$26,758,000 class 2A1 ‘BBBsf’; Outlook Stable;

–$12,569,031 class 2A2 not rated.

CMLTI 2015-2 is comprised of five groups. Fitch is rating five bonds from two of the groups. Two of the rated classes are the most senior tranche while the other three are subsequent exchangeable securities from group 1. Each group is a resecuritization of an ownership interest in a residential mortgage-backed security. As a resecuritization, the securities will receive their cash-flow from the underlying security. The Fitch-rated groups are collateralized with a senior class from Alt-A transactions issued from 2006 to 2007. Collateral performance has shown improvement over the past few years. The underlying pools have exhibited significant declines in the percentage of loans seriously delinquent. Also, the percentage of loans transitioning from current to delinquent has slowed as well.

For the Fitch rated groups, interest is paid pro-rata and principal is paid sequentially. Realized losses are applied reverse sequentially.

KEY RATING DRIVERS

Key rating drivers include the performance of the underlying pool as well as the collateral characteristics, such as sustainable loan-to-value ratio (sLTV), credit score and geographic concentration. For the Fitch rated groups, Fitch ran various prepayment speeds and loss timing scenarios in its analysis of the deal structure. This analysis was done to determine that the cash flow to the Fitch rated bonds would not be exposed to losses as a result of potential alternative cash flow timing stress scenarios.

Based on the collateral composition of the Group 1 underlying pool, Fitch assumed a base-case scenario expected loss (XL) of 34%. In the rating stress scenarios, Fitch assumed a ‘BBBsf’ XL of 51.33%, a ‘BBsf’ XL of 45.53% and a ‘Bsf’ XL of 40.13. Fitch ran these loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a ‘BBBsf’ rating is 50.54%, a ‘BBsf’ rating is 44.21% and a ‘Bsf’ rating is 38.29%. The lower CE compared to the XL is due to the underlying deal structure, which allows for excess spread.

Based on the collateral composition of the Group 2 underlying pool, Fitch assumed a base-case scenario XL of 20%. In the rating stress scenarios, Fitch assumed a ‘BBBsf’ XL of 33.8%. Fitch increased the model-expected loss severity on liquidated loans by 10% at each rating scenario to better reflect recent loss severity trends. Fitch ran the loss assumptions through 12 different interest rate, prepayment and timing scenarios and used the most conservative value to determine the required credit enhancement (CE). The required CE to support a ‘BBBsf’ rating is 31.96%. The lower CE compared to the XL is due to the underlying class, which still had roughly 3.5% of CE.

Fitch is assigning the ratings based on underlying pool collateral composition, the results of its cashflow analysis, review of final structure and supporting deal documents.

RATING SENSITIVITIES

Fitch analyzes each bond in a number of different scenarios to determine the likelihood of full principal recovery and timely interest. The scenario analysis incorporates various combinations of the following stressed assumptions: mortgage loss, loss timing, interest rates, prepayments, servicer advancing and loan modifications.

The analysis includes rating stress scenarios from ‘CCCsf’ to ‘AAAsf’. The ‘CCCsf’ scenario is intended to be the most likely base-case scenario. Rating scenarios above ‘CCCsf’ are increasingly more stressful and less likely outcomes. Although many variables are adjusted in the stress scenarios, the primary driver of the loss scenarios is the home price forecast assumption. In the ‘Bsf’ scenario, Fitch assumes home prices decline 10% below their long-term sustainable level. The home price decline assumption is increased by 5% at each higher rating category up to a 35% decline in the ‘AAAsf’ scenario.

The group-to-bond association for the Fitch-rated groups are as follows:

–Group 1 represents a 100% interest in the Lehman XS Trust, Series 2007-7N class 2A1A;

–Group 2 represents a 20.70% interest in the Washington Mutual Mortgage Pass-Through Certificates Series 2006-AR15 Trust Class 1A.

Additional information is available in the ‘Citigroup Mortgage Loan Trust 2015-2 Representations and Warranties Appendix, published Feb. 27 and available at ‘www.fitchratings.com‘.

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

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (May 2014);

–‘U.S. RMBS Master Rating Criteria,’ (July 2014);

–‘U.S. RMBS Surveillance and Re-REMIC Criteria’ (June 2014);

–‘U.S. RMBS Loan Loss Model Criteria’ (November 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 2014);

–‘U.S. RMBS Cash Flow Analysis Criteria’ (April 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (December 2014);

–‘Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers’ (January 2014).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance and Covered Bonds

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Structured Finance Rating Criteria

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

U.S. RMBS Master Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750719

U.S. RMBS Surveillance and Re-REMIC Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=750110

U.S. RMBS Cash Flow Analysis Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=746027

Rating Criteria for US Residential and Small Balance Commercial Mortgage Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731747

U.S. RMBS Loan Loss Model Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=810788

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=980536

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.

FinanceInvestment & Company InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Ryan O’Loughlin

Analyst

+1-212-908-0387

Fitch Ratings, Inc., 33 Whitehall Street, New York, NY 10004

or

Secondary Analyst

Grant Bailey

Managing Director

+1-212-908-0544

or

Committee Chairperson

Rui Pereira

Managing Director

+1-212-908-0766

or

Media Relations:

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

sandro.scenga@fitchratings.com […]

Fitch to Rate Dryden 37 Senior Loan Fund/LLC; Issues Presale

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings expects to assign the following rating and Rating Outlook to Dryden 37 Senior Loan Fund/LLC:

–$320,000,000 class A notes ‘AAAsf’; Outlook Stable.

Fitch does not expect to rate the class B, C, D, E, or F notes, or the subordinated notes.

TRANSACTION SUMMARY

Dryden 37 Senior Loan Fund (the issuer) and Dryden 37 Senior Loan Fund LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Prudential Investment Management, Inc. (Prudential). Net proceeds from the issuance of notes will be used to purchase a portfolio of approximately $500 million of leveraged loans. The CLO will have a four-year reinvestment period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for class A, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the ‘AAAsf’ stress scenario. The level of CE for the class A notes is below the average for recent CLO issuances.

‘B+/B’ Asset Quality: The average credit quality of the indicative portfolio is ‘B+/B’, which is slightly better than that of recent CLOs. Issuers rated in the ‘B’ rating category denote relatively weak credit quality; however, in Fitch Ratings’ opinion, the class A notes are unlikely to be affected by the foreseeable level of defaults. The class A notes are robust against default rates of up to 57.0%.

Strong Recovery Expectations: The indicative portfolio consists of 96.3% first-lien senior-secured loans. Approximately 83% 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 76.2%. In determination of the class A note rating, 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 Dryden 37 class A notes assumed a 34.7% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

Fitch evaluated 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. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A-sf’ and ‘AAAsf’ for the class A notes.

The expected ratings are based on information provided to Fitch as of Jan. 29, 2015. Sources of information used to assess these ratings were provided by the arranger, J.P. Morgan Securities LLC, and the public domain.

Key Rating Drivers and Rating Sensitivities are further detailed in the accompanying presale report, available at ‘www.fitchratings.com‘ or by clicking on the link.

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);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Dec. 19, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research: Dryden 37 Senior Loan Fund/LLC

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=861208

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=978867

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.

Security Upgrades & DowngradesInvestment & Company InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Aaron Hughes

Director

+1-312-368-2074

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Cristina Feracota

Associate Director

+1-312-606-2300

or

Committee Chairperson

Derek Miller

Senior Director

+1-312-368-2076

or

Media Relations

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch Rates GoldenTree Loan Opportunities IX, Limited/LLC

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings assigns the following rating to GoldenTree Loan Opportunities IX, Limited/LLC:

–$409,500,000 class A notes ‘AAAsf’; Outlook Stable.

Fitch does not rate the class B-1, B-2, C, D, E or F notes or the subordinated notes.

TRANSACTION SUMMARY

GoldenTree Loan Opportunities IX, Limited (the issuer) and GoldenTree Loan Opportunities IX, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Asset Management LP (GoldenTree). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $650 million of primarily senior-secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE): CE of 37% for the class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a ‘AAAsf’ stress scenario. The degree of CE available to the class A notes is slightly lower than the average CE of recent CLO issuances; however, cash flow modeling indicates performance is in line with other ‘AAAsf’ CLO notes.

‘B/B-‘ Asset Quality: The average credit quality of the indicative portfolio is approximately ‘B/B-‘, which is comparable to recent CLOs. Issuers rated in the ‘B’ rating category denote a highly speculative credit quality; however, in Fitch’s opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are projected to be able to withstand default rates of up to 64.2%.

Strong Recovery Expectations: The indicative portfolio consists of 96.9% first-lien senior-secured loans. Approximately 95% 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%. In determining the class A note rating, 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 scenarios. The analysis of GoldenTree IX class A notes assumed a 35.2% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

Fitch evaluated 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. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A-sf’ and ‘AAAsf’ for the class A notes.

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 ‘webmaster@fitchratings.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, Merrill Lynch, Pierce, Fenner & Smith Incorporated, and the public domain.

Applicable Criteria and Related Research:

–‘Global Structured Finance Rating Criteria’ (Aug. 4, 2014);

–‘Global Rating Criteria for Corporate CDOs’ (July 25, 2014);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Jan. 23, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=917375

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.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst:

Robert Rhein, +1-312-606-2314

Director

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst:

Joseph Farfsing, +1-312-368-3346

Associate Director

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 […]

Fitch Rates Sound Harbor Loan Fund 2014-1 Ltd./LLC

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings assigns the following ratings to Sound Harbor Loan Fund 2014-1 Ltd./LLC (SHLF 2014-1):

–$281,200,000 class A-1 notes ‘AAAsf’; Outlook Stable.

Fitch does not rate the class A-2, B, C, D or subordinated notes.

TRANSACTION SUMMARY

Sound Harbor Loan Fund 2014-1 Ltd. (the issuer) and Sound Harbor Loan Fund 2014-1 LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Harbor Partners LLC (Sound Harbor). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $450 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 37.5% for the class A-1 notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an ‘AAAsf’ stress scenario. The degree of CE available to the class A-1 notes is slightly above the average CE of recent CLO issuances.

‘B’ Asset Quality: The average credit quality of the indicative portfolio is ‘B’, which is comparable to recent CLOs. Issuers rated in the ‘B’ rating category denote relatively weak credit quality; however, in Fitch’s opinion, class A-1 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 notes are projected to be able to withstand default rates of up to 63.2%.

Strong Recovery Expectations: The indicative portfolio consists of 98.6% first lien senior-secured loans. Approximately 93.9% 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 77.6%. In determining the class A-1 note rating, 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 the class A-1 notes assumed a 36.1% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

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. Fitch expects the class A-1 notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A+sf’ and ‘AAAsf’ for the class A-1 notes.

The sources of information used to assess these ratings were provided by the arranger, J.P. Morgan Securities LLC, and the public domain.

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 ‘webmaster@fitchratings.com‘.

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);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Jan. 23, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=911575

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.

Security Upgrades & DowngradesInvestment & Company InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Aaron Hughes

Director

+1-312-368-2074

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Bradley Howe, CFA

Associate Director

+1-312-368-2081

or

Committee Chairperson
Derek Miller
Senior Director
+1-312-368-2076
or
Media Relations:
Sandro Scenga, +1-212-908-0278 (New York)
sandro.scenga@fitchratings.com

[…]

Fitch to Rate GoldenTree Loan Opportunities IX, Limited/LLC; Issues Presale

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings expects to assign the following rating and Rating Outlook to GoldenTree Loan Opportunities IX, Limited/LLC:

–$409,500,000 class A notes ‘AAAsf’; Outlook Stable.

Fitch does not expect to rate the class B-1, B-2, C, D, E or F notes, or the subordinated notes.

TRANSACTION SUMMARY

GoldenTree Loan Opportunities IX, Limited (the issuer) and GoldenTree Loan Opportunities IX, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Asset Management LP (GoldenTree). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $650 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE): CE of 37% for the class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a ‘AAAsf’ stress scenario. The degree of CE available to the class A notes is slightly lower than the average CE of recent CLO issuances; however, cash flow modeling indicates performance is in line with other ‘AAAsf’ CLO notes.

‘B/B-‘ Asset Quality: The average credit quality of the indicative portfolio is approximately ‘B/B-‘, which is comparable to recent CLOs. Issuers rated in the ‘B’ rating category denote a highly speculative credit quality; however, in Fitch’s opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are projected to be able to withstand default rates of up to 64.8%.

Strong Recovery Expectations: The indicative portfolio consists of 96.6% first-lien senior secured loans. Approximately 96.6% 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 76.2%. In determining the class A note rating, 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 scenarios. The analysis of GoldenTree IX class A notes assumed a 35.4% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

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 notes to remain investment grade, even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A-sf’ and ‘AAAsf’ for the class A notes.

The expected ratings are based on information provided to Fitch as of Oct. 3, 2014. Sources of information used to assess these ratings were provided by the arranger, Merrill Lynch, Pierce, Fenner & Smith Incorporated, and the public domain.

Key Rating Drivers and Rating Sensitivities are further detailed in the accompanying presale report, available at ‘www.fitchratings.com‘ or by clicking on the link.

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);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Jan. 23, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research: GoldenTree Loan Opportunities IX, Limited/LLC

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=780648

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=889814

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.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings

Primary Analyst

Robert Rhein, +1 312-606-2314

Director

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Joseph Farfsing, +1 312-368-3346

Associate Director

or

Committee Chairperson

Derek Miller, +1 312-368-2076

Senior Director

or

Media Relations:

Sandro Scenga, +1 212-908-0278

sandro.scenga@fitchratings.com […]

Fitch to Rate Sound Harbor Loan Fund 2014-1, Ltd./LLC; Presale Issued

CHICAGO–(BUSINESS WIRE)–

Fitch Ratings expects to assign the following ratings to Sound Harbor Loan Fund 2014-1, Ltd./LLC (SHLF 2014-1):

–$281,200,000 class A-1 notes ‘AAAsf’; Outlook Stable.

Fitch does not expect to rate the class A-2, B, C, D or subordinated notes.

TRANSACTION SUMMARY

Sound Harbor Loan Fund 2014-1, Ltd. (the issuer) and Sound Harbor Loan Fund 2014-1, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sound Harbor Partners LLC (Sound Harbor). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $450 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 37.5% for the class A-1 notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a ‘AAAsf’ stress scenario. The degree of CE available to the class A-1 notes is in line with the average CE of recent CLO issuances.

‘B’ Asset Quality: The average credit quality of the indicative portfolio is ‘B’, which is comparable to recent CLOs. Issuers rated in the ‘B’ rating category denote relatively weak credit quality; however, in Fitch Ratings’ opinion, class A-1 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 notes are projected to be able to withstand default rates of up to 62.4%.

Strong Recovery Expectations: The indicative portfolio consists of 97.5% first lien senior-secured loans. Approximately 93% 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 76.8%. In determining the class A-1 note rating, 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 SHLF class A-1 notes assumed a 35.7% recovery rate in Fitch’s ‘AAAsf’ scenario.

RATING SENSITIVITIES

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. Fitch expects the class A-1 notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A-sf’ and ‘AAAsf’ for the class A-1 notes.

The expected ratings are based on information provided to Fitch as of Sept. 18, 2014. Sources of information used to assess these ratings were provided by the arranger, J.P. Morgan Securities LLC, and the public domain. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.

The presale report is available to investors on Fitch’s web site 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 ‘webmaster@fitchratings.com‘.

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);

–‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Jan. 23, 2014);

–‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 14, 2014).

Applicable Criteria and Related Research: Sound Harbor Loan Fund 2014-1, Ltd./LLC

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=772528

Global Structured Finance Rating Criteria

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

Global Rating Criteria for Corporate CDOs

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

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Counterparty Criteria for Structured Finance and Covered Bonds

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

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=877874

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.

Security Upgrades & DowngradesInvestment & Company InformationFitch Ratings Contact:

Fitch Ratings

Primary Analyst:

Aaron Hughes, +1-312-368-2074

Director

Fitch Ratings, Inc.

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst:

Bradley Howe, +1-312-368-2081

Associate Director

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 […]

Fitch Rates GoldenTree Loan Opportunities VIII, Limited/LLC

NEW YORK–(BUSINESS WIRE)–

Fitch Ratings assigns the following ratings to GoldenTree Loan Opportunities VIII Limited/LLC:

— $364,800,000 class A notes ‘AAAsf’; Outlook Stable.

TRANSACTION SUMMARY

GoldenTree Loan Opportunities VIII, Limited (the issuer) and GoldenTree Loan Opportunities VIII, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GoldenTree Asset Management LP (GoldenTree). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $600 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 39.2% for class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an ‘AAAsf’ stress scenario. The degree of CE available to class A notes is in line with, though slightly higher than, the average CE of recent CLO issuances.

‘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 a highly speculative credit quality; however, in Fitch’s opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are projected to be able to withstand default rates of up to 67.9%.

Strong Recovery Expectations: The indicative portfolio consists of 94.7% first lien senior secured loans. Approximately 91% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of ‘RR2’ or higher.

Portfolio Parameters: Most of 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.

RATING SENSITIVITIES

Fitch evaluated 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. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between ‘A+sf’ and ‘AAAsf’ for the class A notes.

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 ‘webmaster@fitchratings.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, J.P. Morgan Securities LLC, and the public domain.

Applicable Criteria and Related Research:

— ‘Global Structured Finance Rating Criteria’ (May 24, 2013);

— ‘Global Rating Criteria for Corporate CDOs’ (Aug. 8, 2013);

— ‘Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds’ (Jan. 23, 2014);

— ‘Counterparty Criteria for Structured Finance and Covered Bonds’ (May 13, 2013).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=725537

Global Rating Criteria for Corporate CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492

Global Structured Finance Rating Criteria – Effective 4 August 2011 to 6 June 2012
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Additional Disclosure

Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=827125

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.

Security Upgrades & DowngradesFinanceFitch Ratings Contact:

Fitch Ratings, Inc.

Primary Analyst

Robert Rhein, +1-312-606-2314

Director

70 West Madison Street

Chicago, IL 60602

or

Secondary Analyst

Christine Choo, +1-212-908-0603

Director

or

Committee Chairperson

Derek Miller, +1-312-368-2076

Senior Director

or

Media Relations, New York

Alyssa Castelli, +1-212-908-0540

alyssa.castelli@fitchratings.com […]