LinktoFitchRatings'Report:ALMELoanFundingIIILimited
LONDON,December11FitchRatingshasassignedALMELoanFundingIIILimited'snotesfinalratingsasfollows:
ClassA-1:'AAAsf';OutlookStable
ClassA-2:'AAAsf';OutlookStable
ClassB-1:'AA+sf';OutlookStable
ClassB-2:'AA+sf';OutlookStable
ClassC:'A+sf';OutlookStable
ClassD:'BBB+sf';OutlookStable
ClassE:'BBsf';OutlookStable
ClassF:'B-sf';OutlookStable
Subordinatednotes:notrated
ALMELoanFundingIIILimitedisanarbitragecashflowcollateralisedloanobligation.
KEYRATINGDRIVERS
PortfolioCreditQuality
Fitchhasdeterminedtheaveragecreditqualityofobligorstobeinthe'B'to'B-'range.Theagencyhaspublicratingsorcreditopinionsonall56obligorsintheidentifiedportfolio.Theweightedaverageratingfactoroftheidentifiedportfolio,whichrepresents65.7%ofthetargetparamount,is34.2.
HighExpectedRecoveries
Atleast90%oftheportfoliowillcompriseseniorsecuredobligations.Recoveryprospectsfortheseassetsaretypicallymorefavourablethanforsecond-lien,unsecuredandmezzanineassets.FitchhasassignedRecoveryRatingstoall64obligationsintheidentifiedportfolio.Theweightedaverageratingrecoveryoftheidentifiedportfoliois70.81%
LimitedInterestRateRisk
Interestrateriskisnaturallyhedgedformostoftheportfolio,asfixed-rateliabilitiesandassetsrepresent6%andbetween0%and7%ofthetargetparamountrespectively.Asaportionofthefixednotesarejuniorinthetransaction'sstructure,theproportionoffixed-rateliabilitieswillincreaseastheclassAnotesamortise.Fitchthereforemodelleda7%anda0%fixed-ratebucketinitsanalysisandfoundthattheratednotescanwithstandtheinterestratemismatchassociatedwithbothscenarios.
LimitedFXRisk
Perfectassetswapsareusedtomitigateanycurrencyriskonassetsnotdenominatedineuros.Thetransactionispermittedtoinvestupto30%oftheportfolioinassetsdenominatedinacurrencyotherthaneuros,providedsuitableassetswapscanbeenteredinto.
TRANSACTIONSUMMARY
NetproceedsfromtheissuanceofthenotesarebeingusedtopurchaseaEUR400mportfolioofmostlyeuro-denominatedleveragedloansandbonds.Thetransactionfeaturesafour-yearreinvestmentperiodandtheportfolioofassetsismanagedbyApolloManagementInternationalLLP.
Thetransactiondocumentsmaybeamendedsubjecttoratingagencyconfirmationornote-holderapproval.Whereratingagencyconfirmationrelatestoriskfactors,Fitchwillanalysetheproposedchangeandmayprovidearatingactioncommentaryifthechangehasanegativeimpactonthethencurrentratings.SuchamendmentsmaydelaytherepaymentofthenotesaslongasFitch'sanalysisconfirmstheexpectedrepaymentofprincipalatthelegalfinalmaturity.
Ifintheagency'sopiniontheamendmentisrisk-neutralfromaratingperspective,Fitchmaydeclinetocomment.NoteholdersshouldbeawarethatthestructureconsiderstheconfirmationtobegivenifFitchdeclinestocomment.
RATINGSENSITIVITIES
A25%increaseintheobligordefaultprobabilitywouldleadtoadowngradeofuptothreenotchesfortheratednotes.
A25%reductioninexpectedrecoveryrateswouldleadtoadowngradeofuptofournotchesfortheratednotes.
Contacts:
PrimaryAnalyst
JurajLord,CFA
Director
+442035301490
FitchRatingsLimited
30NorthColonnade
LondonE145GN
SecondaryAnalyst
BrianNolan
Analyst
+442035301611
CommitteeChairperson
MatthiasNeugebauer
ManagingDirector
+442035301099
MediaRelations:AthosLarkou,London,Tel:+442035301549,Email:athos.larkou@fitchratings.
Additionalinformationisavailableat.
Sourcesofinformation:Theinformationusedtoassesstheseratingswassourcedfromthearrangerandtheassetmanager.
Applicablecriteria'GlobalStructuredFinanceRatingCriteria',dated20May2014;'GlobalRatingCriteriaforCorporateCDOs',dated25July2014;'CriteriaforInterestRateStressesinStructuredFinanceTransactionsandCoveredBonds',dated23January2014;'CriteriaforSovereignRiskinDevelopedMarketsforStructuredFinanceandCoveredBonds',dated11April2014and'CounterpartyCriteriaforStructuredFinanceandCoveredBonds',dated14May2014,areavailableat.
ApplicableCriteriaandRelatedResearch:
GlobalStructuredFinanceRatingCriteria
GlobalRatingCriteriaforCorporateCDOs
CriteriaforInterestRateStressesinStructuredFinanceTransactionsandCoveredBonds
CriteriaforSovereignRiskinDevelopedMarketsforStructuredFinanceandCoveredBonds
CounterpartyCriteriaforStructuredFinanceandCoveredBonds
AdditionalDisclosure
SolicitationStatus
ALLFITCHCREDITRATINGSARESUBJECTTOCERTAINLIMITATIONSANDDISCLAIMERS.PLEASEREADTHESELIMITATIONSANDDISCLAIMERSBYFOLLOWINGTHISLINK:.INADDITION,RATINGDEFINITIONSANDTHETERMSOFUSEOFSUCHRATINGSAREAVAILABLEONTHEAGENCY'SPUBLICWEBSITE''.PUBLISHEDRATINGS,CRITERIAANDMETHODOLOGIESAREAVAILABLEFROMTHISSITEATALLTIMES.FITCH'SCODEOFCONDUCT,CONFIDENTIALITY,CONFLICTSOFINTEREST,AFFILIATEFIREWALL,COMPLIANCEANDOTHERRELEVANTPOLICIESANDPROCEDURESAREALSOAVAILABLEFROMTHE'CODEOFCONDUCT'SECTIONOFTHISSITE.FITCHMAYHAVEPROVIDEDANOTHERPERMISSIBLESERVICETOTHERATEDENTITYORITSRELATEDTHIRDPARTIES.DETAILSOFTHISSERVICEFORRATINGSFORWHICHTHELEADANALYSTISBASEDINANEU-REGISTEREDENTITYCANBEFOUNDONTHEENTITYSUMMARYPAGEFORTHISISSUERONTHEFITCHWEBSITE.