OREANDA-NEWS. Fitch Ratings has upgraded Harbourmaster CLO 6 B.V.'s classes A3, A4E, A4F and B1 notes, and downgraded the class B2, S4 and S6 notes, as follows:

Class A3 (XS0233875227): upgraded to 'A+sf' from 'BBBsf'; Outlook Stable
Class A4E (XS0233876209): upgraded to' BBB+sf' from 'BBsf'; Outlook Stable
Class A4F (XS0233876381): upgraded to' BBB+sf' from 'BBsf''; Outlook Stable
Class B1 (XS0233876621): upgraded to' BBsf' from 'B-f'; Outlook Stable
Class B2 (XS0233877603): downgraded to 'CCsf' from 'CCCsf'; Recovery Estimate revised to 60% from 0%
Class S4 combo (XS0234648375): downgraded to 'CCsf' from 'CCCsf'; Recovery Estimate revised to 80% from 75%
Class S6 combo (XS0234649852): downgraded to 'CCsf' from 'CCCsf'; Recovery Estimate revised to 40% from 0%

Harbourmaster CLO 6 B.V. is a securitisation of a portfolio of mainly European senior secured and unsecured loans.

KEY RATING DRIVERS
The upgrade of the class A3, A4E, A4F and B1 notes reflects the increase in credit enhancement as a result of natural amortisation over the past year. The class A2 notes have fully amortised. As a result, credit enhancement for the class A3 notes has increased to 59.1% from 31.4%, to 42.5% from 22.5% for the class A4E and A4F notes and to 21.9% from 11.4% for the class B1 notes. The amortisation of the class B2 notes is a result of the over-collateralisation (OC) test having been breached and additional excess spread being diverted towards the sequential payment of the notes.

The transaction has been unable to reinvest any unscheduled proceeds since January 2013 and all proceeds are being used to amortise the notes. Sales have been limited to defaulted and credit risk assets over the past year. The current portfolio doesn't include any defaulted obligations.

Overall, the portfolio credit quality has slightly deteriorated. The weighted average rating factor has increased to 32.5 from 31, indicating a worsening of the portfolio credit quality. The 'CCC' and below assets have increased to 12.8% from 12.2%. Furthermore, the portfolio is very concentrated, with 20 assets issued by 12 issuers, of which the 10 largest issuers account for 95.78% of the portfolio. Hence the class A3 note upgrade was limited to 'A+sf'.

The downgrade of the class B2 notes reflects low credit enhancement, which is currently at 3.5%, below the level at closing in November 2005. The downgrade of the class S4 and S6 combination notes reflects the downgrade of class B2. The class S4 comprises the class B1 and B2 notes. Therefore the lowest rated class B2 notes drives the rating of the combination note. The class S6 comprise the class B2 and subordinated notes.

Fitch downgraded Deutsche Bank on 8 December 2015 to 'A-'/Stable/'F1' from 'A'/Negative/'F1'. Deutsche Bank is the account bank for Harbourmaster CLO 6 and no longer meets required ratings of 'AA-'/'F1' for the account bank role accordingly to the transaction documentation. The issuer is required to find a replacement account bank with the requisite ratings within 30 days of this downgrade.

RATING SENSITIVITIES
A 25% increase in the obligor default probability would not impact the rated notes.

A 25% reduction in expected recovery rates would lead to a downgrade of up to three notches for the rated notes.

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.

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

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.
-Loan-by-loan data provided by Deutsche Bank as of 30 October 2015
-Transaction reporting provided by Deutsche Bank as of 30 October 2015.