Fitch Downgrades Harbourmaster CLO 5 B. V. to 'Dsf'; Withdraws Ratings
Class B2E (XS0223503821): downgraded to 'Dsf' from 'CCCsf' and withdrawn
Class B2F (XS0223504043): downgraded to 'Dsf' from 'CCCsf' and withdrawn
Harbourmaster CLO 5 B. V. closed in 2005 and was a managed cash arbitrage securitisation of secured leveraged loans, primarily domiciled in Europe. The portfolio was managed by Blackstone/GSO Debt Funds Europe Limited.
KEY RATING DRIVERS
The portfolio has been liquidated and the remaining A4 and B1 notes paid in full. The transaction was unable to fully pay down the class B2 notes, leaving EUR827,251.21 or 5.5% of their original outstanding balance (EUR15m) unpaid as of the 15 September trustee report. Fitch has since been informed that the class B2 notes have been cancelled and delisted. Fitch has therefore downgraded the notes to 'Dsf' and withdrawn the ratings.
The class B2 notes comprised the B2E and B2F tranches and were originally rated 'BBsf' by Fitch. At issuance the B2 notes had 4.9% credit enhancement, which is below the average credit enhancement for 'Bsf' rated in tranches in current CLO 2.0 transactions.
Fitch had downgraded the notes to 'Bsf' in March 2009 and to 'CCCsf' in January 2014.
RATING SENSITIVITIES
Not applicable.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.
Fitch did not undertake a review of the information provided about the underlying asset pool ahead of the transaction's initial closing. The subsequent performance of the transaction over the years is consistent with the agency's expectations given the operating environment and Fitch is therefore satisfied that the asset pool information relied upon for its initial rating analysis was adequately reliable.
Overall, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.
SOURCES OF INFORMATION
The information below was used in the analysis.
- Trustee reports as of September 2016
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