OREANDA-NEWS. Fitch Ratings has affirmed 18 tranches from 15 collateralized loan obligations (CLOs).

The rating action report, 'Fitch Affirms 15 CLOs from Various Vintages', dated March 21, 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) levels available to the notes.

The credit quality of the underlying portfolios in nine of 15 CLOs has deteriorated as reflected in the increased Fitch Weighted Average Rating Factor (WARF) since Fitch's last rating action. CLOs with the biggest Fitch WARF increase since Fitch's last rating action are GoldenTree Loan Opportunities VII, Limited, GoldenTree Loan Opportunities VIII, Limited, Silvermore CLO Ltd. (Silvermore), and Silver Spring CLO Ltd. (Silver Spring). Three transactions: ECP CLO 2014-6 (ECP 2014-6), Ltd, Silvermore, and Silver Spring reported Excess CCC/Caa haircuts. Nine out of 15 CLOs reported defaults as of the most recent report available for this review.

Further, weighted average spread has come down in 11 of 15 CLOs primarily due to the impact of increasing LIBOR on underlying loans with LIBOR floors. However, Fitch believes that the observed spread reduction in the underlying portfolios at the moment has a limited rating impact for senior notes.

Among the reviewed CLOs, ECP 2014-6, Silvermore, and Silver Spring have the highest exposure to commodity sector issuers as detailed in the attached rating action report. In addition to the already experienced deterioration in the credit quality and performance metrics, these transactions are likely to experience further negative migration as the commodity sectors' downturn is expected to continue in 2016. Silvermore is currently in a Restricted Trading Period, limiting its trading activity. As of the March trustee report, Silvermore and Silver Spring reported failing Interest Diversion Tests. As a result, during the reinvestment period for these transactions up to 50% of interest proceeds remaining before distribution to the subordinated notes will be diverted for purchase of additional collateral until the failure is cured.

Despite the negative performance trends, all transactions continue to have positive cushions between the notes' credit enhancement levels and relevant Portfolio Credit Model's (PCM) Rating Loss Rates. Fitch's PCM calculates Rating Default Rates and Rating Loss Rates for all rating stresses, as detailed in the report 'Global Rating Criteria for CLOs and Corporate CDOs' which describes Fitch's framework for analysing CLOs. In 12 transactions, the deterioration in the underlying portfolios' credit quality was offset by a shorter portfolio's weighted average life.

Given the positive cushions, no updated cash flow modelling was completed for this review. In addition, these positive cushions were considered to be sufficient at this point to buffer all reviewed notes against potential further moderate degree of deterioration. Fitch believes that Outlook Stable remains to be an appropriate assessment of the notes' rating stability has been assigned based on the ability to withstand moderate deterioration in the portfolio.

RATING SENSITIVITIES

The ratings of the notes are sensitive to significant negative credit migration and asset defaults and lower than historically observed recoveries for defaulted assets. 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.

The transactions included in this rating action originated in 2012 - 2015 and are managed by AEGON USA Investment Management, LLC, CVC Credit Partners, LLC, GC Investment Management LLC, GoldenTree Asset Management LP, GSO/Blackstone Debt Funds Management, LLC, Silvermine Capital, LLC, and Steele Creek Investment Management LLC. All CLOs remain in their respective reinvestment periods except for Cedar Funding Ltd., which exited reinvestment in October, 2015. The class A-1 notes have paid down 0.6% of their original note balance.

DUE DILIGENCE USAGE

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