OREANDA-NEWS. Fitch Ratings confirms that Harbourmaster CLO 4 will not be impacted by the reduction of its liquidity facility.

Harbourmaster CLO 4 B.V's commitment amount was reduced to EUR250,000 from EUR10m. The current capital structure is as follows:

Class B1 (ISIN XS0203061907): 'CCCsf'; Recovery Estimate (RE) 95%
Class B2E (ISIN XS0203062467): 'Csf'; RE 0%
Class B2F (ISIN XS0203063945): 'Csf'; RE 0%
Class S2 (ISIN XS0203066534): 'CCCsf'; RE 95%

Harbourmaster CLO 4 has been deleveraging since April 2010 with an outstanding rated note balance of EUR11.8m compared with EUR474m at origination in 2004. The liquidity facility addresses basis risk between the assets and liabilities. Basis risk may arise if assets switch to, for example, semi-annual payment frequencies, potentially leaving the issuer short of funds for one quarterly payment. In Fitch's view, the reduced notional amount of the liquidity facility is sufficient to cover one quarterly interest payment.