Fitch Affirms Dorchester Park CLO Limited/LLC; Outlook Stable

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed the following ratings for Dorchester Park CLO Limited/ LLC (Dorchester Park) as follows:

--$312,500,000 class A notes 'AAAsf'; Outlook Stable;

--$62,750,000 class B notes 'AAsf'; Outlook Stable;

--$27,250,000 class C notes 'A-sf'; Outlook Stable;

--$19,000,000 class D notes 'BBB-sf'; Outlook Stable;

--$25,000,000 class E notes 'BB-sf'; Outlook Stable;

--$17,000,000 class F notes 'Bsf'; Outlook Stable.

Fitch does not rate the subordinated notes.

KEY RATING DRIVERS

The affirmation is based on the credit enhancement (CE) available to the notes, the stable performance of the underlying portfolio since the transaction's inception in February 2015, and the cushions available in the collateralized loan obligation's (CLO) cash flow modeling results.

The loan portfolio par amount plus principal cash is approximately $500.6 million (excluding PIK and capitalized interest amounts), as of the January 06, 2016 trustee report, resulting in a marginal increase in CE for all classes of rated notes.

The current weighted average spread (WAS) is 4.47% versus a minimum WAS trigger of 4.30%, as reported by the trustee. Additionally, the Fitch weighted average rating factor has remained stable at 'B' as compared to the closing date. Fitch currently considers 2.9% of the collateral assets to be rated in the 'CCC' category versus 0.2% in the indicative portfolio at closing, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. Approximately 90.6% of the performing portfolio is considered to have strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

Fitch's cash flow analysis indicates each class of rated notes is passing all nine interest rate and default timing scenarios at or above their current rating levels. The ratings for classes B, C, D, E and F deviate from those corresponding to the breakevens from the cash flow model. Fitch does not recommend upgrading the notes at this review to provide some cushion to withstand potential deterioration in the credit quality of the portfolio.

The Stable Outlook on each class of rated notes of Dorchester Park reflects the expectation that the notes have sufficient levels of credit protection to withstand any potential deterioration in the credit quality of the portfolio.

RATING SENSITIVITIES

The ratings of the notes may be sensitive to the following: asset defaults, significant negative credit migration, which includes assets being downgraded to 'CCC', portions of the portfolio being placed on Rating Watch Negative, lower than historically observed recoveries for defaulted assets, overcollateralization or interest coverage (IC) test breaches, or breach of concentration limitations or portfolio quality covenants. Rating sensitivity analysis was conducted at close and the results were disclosed in the new issue report. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Aug. 17, 2015.

A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is also available by accessing the reports and links indicated below.

Dorchester Park CLO Limited/LLC is an arbitrage cash flow collateralized loan obligation (CLO) managed by GSO/Blackstone Debt Funds Management LLC (GSO). The transaction will remain in its reinvestment period until January 2019 and will mature in January 2027.

This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs' using Fitch's Portfolio Credit Model (PCM) to project future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various combinations of default timing and interest rate stress scenarios, as described in the report. The cash flow model was customized to reflect the transaction's structural features.

DUE DILIGENCE USAGE

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

Additional information is available at www.fitchratings.com.

Sources of Information:

The information used to assess these ratings was sourced from periodic servicer reports, note valuation reports and the public domain.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Sovereign Risk in Developed Markets for Structured Finance and Covered Bonds (pub. 20 Feb 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=862115

Global Rating Criteria for CLOs and Corporate CDOs (pub. 12 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873664

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Related Research

Dorchester Park CLO Limited/LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=869816

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998971

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998971

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20160203006283/en/

Fitch Ratings
Surveillance Analyst
Nazneen Kutty
Associate Director
+1 312-368-3217
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Committee Chairperson
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

---

Serious News for Serious Traders! Try StreetInsider.com Premium Free!

---

You May Also Be Interested In

• Novonesis to build next generation enzyme production facility in India 
• XRP News Today: ETF Inflows Reach $1.66B, While Apeing Moves Toward Its September 8 Crypto Presale Opening
• Survey: When AI Factories Fail, More Than Half of UK Enterprises Can’t Tell You Why