OREANDA-NEWS. (This is a correction of a release published June 6, 2016. It includes reference to Fitch's 'Exposure Draft: Counterparty Criteria for Structured Finance and Covered Bonds', which was omitted from the original release.)

Fitch Ratings has affirmed the class A notes issued by WhiteHorse IX, Ltd. (WhiteHorse IX) at 'AAAsf', Outlook Stable.

KEY RATING DRIVERS

The affirmation is based on the credit enhancement (CE) available to the rated notes. According to the May 2016 trustee report, the loan portfolio par amount plus the principal collections amount is $400.3 million. However, three obligors, comprising approximately 2.0% of the portfolio (including principal cash), are reported to be in default by the trustee. The transaction is currently failing the Moody's Weighted Average Rating Factor test, the Moody's Default Probability Rating of "Caa1" or below test at 13.9% (versus a trigger of 7.5%), and the S&P Rating of "CCC+" or below test at 8.0% (versus a trigger of 7.5%). However, the transaction continues to pass all coverage tests, all other collateral quality tests and concentration limitations. Sufficient cushion remains between CE and the projected loss rates of the portfolio for the class A notes.

Fitch currently considers 21.3% of the performing portfolio (excluding defaulted obligors and principal cash) to be rated in the 'CCC' category, increasing from 11.2% in the last review in June 2015, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. The weighted average rating of the performing portfolio remains at 'B/B-' since last review. Approximately 88.8% of the performing portfolio is considered to have strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. Given the amount of CE cushion remaining on the class A notes, no cash flow analysis was updated for this review.

The Stable Outlook reflects the expectation that the notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio.