Link to Fitch Ratings' Report: Fitch Affirms 10 CLOs from Various Vintages

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=877303

Fitch Ratings has affirmed 19 tranches from 10 collateralized loan obligations (CLOs).

The rating action report, 'Fitch Affirms 10 CLOs from Various Vintages', dated Jan. 29, 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) available to the notes. The credit quality of the underlying portfolios has remained relatively stable, as reflected by a stable weighted average rating factor (WARF) levels since closing and/or the last review.

According to the November and December 2015 trustee reports of the CLOs included in this review, four transactions, Apidos CLO XX, LCM XVIII Limited Partnership, Regatta III Funding Ltd., and Regatta IV Funding Ltd. have experienced defaults in their portfolios (approximately 0.4%, 0.1%, 1.7%, and 1.7% of the total par balance including cash, respectively). However, the overall credit quality of the portfolios and CE available to the rated notes are adequate to affirm the notes at their current ratings.

RATING SENSITIVITIES

The ratings of the notes may be sensitive to the following: asset defaults, significant negative credit migration, lower than historically observed recoveries for defaulted assets, and breaches of concentration limitations, or portfolio quality covenants. 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.

This review was conducted under the framework described in the report 'Global Rating Criteria for CLOs and Corporate CDOs' using Fitch's PCM for projecting future default and recovery levels for the underlying portfolios. Given the stable performances of each transaction, no updated cash flow modelling was completed for this review.

The transactions included in this rating action originated in 2014 - 2015 and are managed by CVC Credit Partners, LLC, CIFC Asset Management LLC, 3i Debt Management U.S. LLC, LCM Asset Management LLC, Credit Suisse Asset Management, LLC, Guggenheim Partners Investment Management, LLC, and Napier Park Global Capital. All CLOs still remain in their respective reinvestment periods.

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

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

Apidos CLO XX/LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=863349

CIFC Funding 2014-IV, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=819748

CIFC Funding 2015-I, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=862184

Jamestown CLO VI Ltd./Corp. -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865500

LCM XVIII Limited Partnership - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=864170

Madison Park Funding XIII, Ltd./LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=752223

Madison Park Funding XIV, Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=820968

NZCG Funding Funding Ltd./LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=865594

Regatta III Funding Ltd./LLC - Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=796108

Regatta IV Funding Ltd./LLC -- Appendix

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=869724

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=998701

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=998701

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.