Fitch Rates Atlas Senior Loan Fund XII, Ltd.; Publishes New Issue Report.
--$1,500,000 class X notes 'AAAsf', Outlook Stable;
--$300,000,000 class A-1 notes 'AAAsf', Outlook Stable;
--$25,000,000 class A-2 notes 'AAAsf', Outlook Stable.
Fitch does not rate the class B, C, D or E notes or subordinated notes.
Atlas Senior Loan Fund XII, Ltd. (the issuer) comprises a collateralized loan obligation (CLO) managed by Crescent Capital Group LP. The CLO's notes will provide financing on a portfolio of approximately $513 million of primarily senior secured leveraged loans that will be acquired from another Crescent-managed CLO that, in turn, will redeem all of its secured notes in connection with the sale of its assets to Atlas XII. The CLO will have an approximately 5.1-year reinvestment period and 2.1-year noncall period.
KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 40.0% for class A-1 notes and 35.0% for class A-2 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 the class A-1 notes is above while the CE for the A-2 notes is below the average CE of recent CLO issuances, and cash flow modeling results indicate performance in line with other 'AAAsf' Fitch-rated CLO notes. Class X notes are expected to be paid in full from the application of interest proceeds.
'B' Asset Quality: The average credit quality of the indicative portfolio is 'B', which is comparable with recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch Ratings' opinion, class X, A-1 and A-2 notes are unlikely to be affected by the foreseeable level of defaults. Class X, A-1 and A-2 notes are projected to be able to withstand default rates of up to 88.9%, 62.8% and 59.4%, respectively.
Strong Recovery Expectations: The indicative portfolio consists of 98.0% first-lien senior secured loans and 2.0% second-lien loans. Approximately 91.8% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, and the base case recovery assumption is 78.9%. In determining the class X, A-1 and A-2 notes' ratings, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions in higher rating stress assumptions, resulting in a 37.4% recovery rate assumption in Fitch's 'AAAsf' scenario.
Fitch evaluated the notes' sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates. Results under these sensitivity scenarios were between 'AA+sf' and 'AAAsf' for the class X notes and ranged between 'BB+sf' and 'AAAsf' for the class A-1 notes and between 'BB+sf' and 'AA+sf' for the class A-2 notes.
USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10
Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.
REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS
A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and that relate to the underlying asset pool was not prepared for this transaction. Offering documents for U.S. CLO transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for U.S. CLO transactions will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.
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|Publication:||Daily the Pak Banker (Lahore, Pakistan)|
|Date:||Jan 7, 2019|
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