New York City–( ORGANISATION WIRE)– Fitch Rankings expects to designate the following score and Ranking Outlook
to THL Credit Wind River 2016-2 CLO Ltd./ LLC:
–$ 320,000,000 class A keeps in mind AAAsf, Outlook Stable.
Fitch does not expect to rank the class B, C, D, E-1, E-2 or
THL Credit Wind River 2016-2 CLO Ltd. (the company) and THL Credit Wind
River 2016-2 CLO LLC (the co-issuer) comprise an arbitrage money flow
collateralized loan responsibility (CLO) that will be handled by THL Credit
Advisors LLC. Net earnings from the issuance of the protected and
subordinated notes will be used to buy a portfolio of approximately
$ 500 million of mainly senior secured leveraged loans. The CLO will
have an around four-year reinvestment duration and a two-year
KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for the
class A notes, in addition to excess spread, is enough to safeguard
against portfolio default and recovery rate projections in a AAAsf
tension circumstance. The level of CE readily available to the class A notes is in
line with the typical CE for current CLO issuances.
B+/ B Asset Quality: The typical credit quality of the a sign
portfolio is B+/ B, which is similar to current CLOs. Issuers ranked
in the B ranking classification denote an extremely speculative credit quality;
nevertheless, in Fitchs viewpoint, the class A notes are unlikely to be
affected by the foreseeable level of defaults. Class A notes are robust
against default rates of approximately 63.4%.
Strong Recovery Expectations: The a sign portfolio includes 97.8%.
initially lien senior protected loans. Roughly 95.2% of the a sign.
portfolio has either strong recovery prospects or a Fitch-assigned.
Recovery Rating of RR2 or greater, and the base case recovery.
presumption is 80.5%. In identifying the ranking for the class A notes,.
Fitch stressed the indicative portfolio by presuming a higher portfolio.
concentration of properties with lower recovery potential customers and even more.
lowered recovery presumptions for higher rating stresses, leading to a.
38.6% healing rate presumption in Fitchs AAAsf situation.
Fitch evaluated the structures sensitivity to the possible variability.
of key design presumptions, including decreases in healing rates and.
boosts in default rates or correlation. Fitch expects the class A.
notes to remain financial investment grade, even under the most extreme.
level of sensitivity scenarios. Outcomes under these sensitivity scenarios varied.
between A+ sf and AAAsf for the class A notes.
Secret Rating Drivers and Score Level of sensitivities are further explained in the.
accompanying presale report, which is readily available to financiers on Fitchs.
website at fitchratings.com.
USE OF THIRD-PARTY DUE DILIGENCE PUSUANT TO SEC GUIDELINE 17G-10.
Form ABS Due Diligence-15E was not offered to, or reviewed by, Fitch in.
relation to this rating action.
REPRESENTATIONS, SERVICE WARRANTIES AND ENFORCEMENT MECHANISMS.
A description of the deals representations, service warranties and.
enforcement systems (RWamp; Es) that are disclosed in the offering.
file and which connect to the underlying possession swimming pool was not prepared.
for this deal. Offering files for US CLO transactions do.
not typically include RWamp; Es that are offered to investors and that.
connect to the asset swimming pool underlying the security. For that reason, Fitch.
credit reports for United States CLO deals will not typically include.
descriptions of RWamp; Es. For more information, please see Fitchs.
Unique Report entitled Representations, Service warranties and Enforcement.
Systems in Global Structured Financing Transactions, outdated May 31,.
Additional info is offered at www.fitchratings.com.
Sources of Information:.
Sources of info utilized to assess this score were the arranger.
( Morgan Stanley amp; Co, LLC) and the general public domain.
Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01.
Requirements for Rate of interest Stresses in Structured Finance Transactions.
and Covered Bonds (bar. 17 May 2016).
International Rating Criteria for CLOs and Business CDOs – Changed (club. 09.
Worldwide Structured Finance Score Criteria (pub. 27 Jun 2016).
Related Research study.
THL Credit Wind River 2016-2 CLO Ltd./ LLC (US SC).
Dodd-Frank Score Info Disclosure Kind.
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