OREANDA-NEWS. Fitch Ratings has affirmed 16 tranches from 11 collateralized loan obligations (CLOs).

A rating action report, 'Fitch Affirms 11 CLOs from Various Vintages', dated Jan. 25, 2016, details the individual rating actions along with key performance drivers, such as credit enhancement levels (CE) and portfolio credit quality metrics, for each rated CLO. The report can be found on Fitch's website at 'www.fitchratings.com' by performing a title search or by using the link below. For further information and transaction research please refer to 'www.fitchratings.com'.

KEY RATING DRIVERS
The affirmations on all classes included in this review are based on the sufficient credit enhancement (CE) available to the notes. The credit quality of the underlying portfolios has remained relatively stable, as reflected by the weighted average rating factor (WARF) levels since closing and/or the last review.

Fitch has seen an increase of default activity in the CLO sector from the defaults of widely held corporate loans in CLO portfolios. According to the December 2015 trustee reports, LCM IX LP, LCM X LP, LCM XI LP and LCM XIII have experienced defaults in their portfolios (approximately, .20%, .22%, .18% and .05% of the total par balance including cash, respectively). However, the overall credit quality of the portfolios and CE available to the rated notes are adequate to affirm the notes at their current ratings.

RATING SENSITIVITIES
The ratings of the notes may be sensitive to the following: asset defaults, significant negative credit migration, lower than historically observed recoveries for defaulted assets, and breaches of concentration limitations, or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of each CLO, incorporating increased levels of defaults and reduced levels of recovery rates among other sensitivities.

This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs - Amended' using Fitch's portfolio credit model for projecting future default and recovery levels for the underlying portfolios. Given the stable performances of each transaction, no updated cash flow modelling was completed for this review.

The transactions included in this rating action originated in 2011 - 2014 and are managed by Anchorage Capital Group, LLC, LCM Asset Management, LLC, Shenkman Capital Management, Inc. and Halcyon Loan Advisors L.P. LCM IX, LP, LCM X, LP, and Slater Mill Loan Funding, LP are outside of their respective reinvestment periods. All other CLOs remain in their respective reinvestment periods.

DUE DILIGENCE USAGE
No third-party due diligence was reviewed in relation to this rating action.