Fitch Affirms Gallatin VI 2013-2, LLC

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has affirmed all classes of Gallatin VI 2013-2, LLC (Gallatin VI) as follows:

--$2,812,500 class X notes at 'AAAsf'; Outlook Stable;

--$215,625,000 class A-1 notes at 'AAAsf'; Outlook Stable;

--$0 class A-2 notes at 'AAAsf'; Outlook Stable;

--$50,000,000 class A loans at 'AAAsf'; Outlook Stable;

--$57,375,000 class B notes at 'AAsf'; Outlook Stable;

--$19,650,000 class C notes at 'Asf'; Outlook Stable;

--$21,250,000 class D notes at 'BBBsf'; Outlook Stable;

--$21,250,000 class E notes at 'BBsf'; Outlook Stable.

Fitch does not rate the subordinated notes.

KEY RATING DRIVERS

The affirmations are based on the stable credit enhancement levels on the transaction, the stable performance of the portfolio since the transaction closed in December 2013, and the cushions available in the collateralized loan obligation's (CLO) cash flow modeling results. 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 loan portfolio par amount plus principal cash is approximately $425.3 million, as of the Oct. 2, 2015 trustee report. All collateral quality tests, concentration limitations, and coverage tests are in compliance, and there are no defaulted assets in the portfolio. The current weighted average spread (WAS) is 4.29% versus a minimum WAS trigger of 3.75%, as reported by the trustee. Additionally, the Fitch weighted average rating factor has remained stable at 'B' as compared to the last review and closing date. Fitch currently considers 3.2% of the collateral assets to be rated in the 'CCC' category versus 1.9% at the last review and 5.7% in the indicative portfolio at closing, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. Approximately 94% of the performing portfolio is considered to have strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

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

RATING SENSITIVITIES

The ratings of the notes may be sensitive to the following: asset defaults, or 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. Fitch conducted rating sensitivity analysis on the closing date of Gallatin VI, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on April 8, 2014.

Gallatin VI is an arbitrage cash flow CLO that is managed by MP Senior Credit Partners L.P (MPSCP), with a four-year reinvestment period ending in January 2018 and two-year non-call period ending in January 2016. During the reinvestment period, discretionary sales are permitted at any time and are limited to 25% of the portfolio balance, as measured at the beginning of the preceding 12-month period. The manager also has the ability to reinvest unscheduled principal proceeds and sales proceeds from the disposal of credit risk obligations after the reinvestment period, subject to certain conditions.

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.

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.

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, MPSCP 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

Global Rating Criteria for CLOs and Corporate CDOs (pub. 30 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868908

Global Rating Criteria for Single- and Multi-Name Credit-Linked Notes (pub. 09 Mar 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863276

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

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

Related Research

Gallatin CLO VI 2013-2, LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=719865

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=993853

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=993853

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/20151111006470/en/

Fitch Ratings
Primary Surveillance Analyst
Nazneen Kutty, +1-312-368-3217
Associate Director
Fitch Ratings, Inc.
70 W Madison Street
Chicago, IL 60602
or
Committee Chairperson
Alina Pak, CFA, 1-312-368-3184
Senior Director
or
Media Relations
Sandro Scenga, New York, +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

• California Climate Credit Brings Summer Bill Relief to PG&E Customers
• UPDATE – Only 2% of Owners Fully Trust the Schedules They Receive, SmartPM’s Second Annual State of Construction Report Finds
• Anchor Loans Closes $132 Million Construction Financing for Durham Multifamily Community