Fitch Rates JFIN CLO 2016 Ltd./LLC

LONDON & NEW YORK--(BUSINESS WIRE)-- Fitch Ratings assigns the following ratings and Rating Outlooks to JFIN CLO 2016 Ltd./LLC:

--$160,500,000 class A-1 notes 'AAAsf'; Outlook Stable;

--$16,500,000 class A-2a notes 'AAAsf'; Outlook Stable;

--$10,000,000 class A-2b notes 'AAAsf'; Outlook Stable;

--$35,000,000 class A-F notes 'AAAsf'; Outlook Stable.

Fitch does not rate the class B-1, B-F, C-1, C-F, D, E, senior subordinated notes, or junior subordinated notes.

TRANSACTION SUMMARY

JFIN CLO 2016 Ltd. (the issuer) and JFIN CLO 2016 LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) managed by Apex Credit Partners LLC. Net proceeds from the issuance of the secured and subordinated notes are being used to purchase a portfolio of approximately $350 million of primarily senior secured leveraged loans. The CLO will have an approximately four-year reinvestment period and a two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE): CE of 60.5% for class A-2a notes and 36.6% for class A-1, A-2b and A-F notes (together, class A notes), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a 'AAAsf' stress scenario. The degree of CE available to class A-2a notes is well above the average CE of recent CLO issuances, while the CE available for the class A-1, A-2b and A-F notes is in line with the average CE of recent CLO issuances. Cash flow modeling results indicate performance in line with other Fitch-rated 'AAAsf' CLO notes.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A-2a notes are robust against default rates of up to 85.7%, while class A-1, A-2b and A-F notes are robust against default rates of up to 65.9%.

Strong Recovery Expectations: The indicative portfolio consists of 98.9% first lien senior secured loans. Approximately 90.1% of the indicative portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, and the base case recovery assumption is 78.7%. In determining the class A note ratings, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses, resulting in a 39% recovery rate in Fitch's 'AAAsf' scenario.

RATING SENSITIVITIES

Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates or correlation. Fitch expects the class A notes to remain investment grade even under the most extreme sensitivity scenarios. The class A-2a notes remained 'AAAsf' under all sensitivity scenarios. Results for the class A-1, A-2b and A-F notes ranged between 'BBB+sf' and 'AAAsf' under these sensitivity scenarios.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering documents for U.S. CLO transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for U.S. CLO transactions will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions,' dated May 31, 2016.

Additional information is available at www.fitchratings.com.

Sources of Information:

The sources of information used to assess these ratings were the arranger (Jefferies LLC) and the public domain.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=879815

Global Rating Criteria for CLOs and Corporate CDOs (pub. 28 Jul 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=885653

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1010192

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1010192

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/20160810005824/en/

Fitch Ratings
Primary Analyst
Vincent Scalvenzi
Director
+44 20 3530 1653
Fitch Ratings Limited
30 North Colonnade
London E14 5GN
or
Secondary Analyst
Amy Drobish
Director
+1-212-908-9194
or
Committee Chairperson
Derek Miller
Senior Director
+1-312-368-2076
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

• Streamex's GLDY token available via Siebert brokerage accounts
• Relmada Therapeutics added to Russell 2000 and Russell 3000 indexes
• Tonix enrolls first patient in Phase 2 MDD study of TNX-102 SL