Fitch Rates Flatiron RR CLO 22 LLC.

ENPNewswire-November 8, 2021--Fitch Rates Flatiron RR CLO 22 LLC

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Release date- 05112021 - Fitch Ratings has assigned a rating and Rating Outlook to Flatiron RR CLO 22 LLC.

RATING ACTIONSENTITY/DEBT RATING

Flatiron RR CLO 22 LLC

A

LT AAAsf New Rating

B

LT NRsf New Rating

C

LT NRsf New Rating

D

LT NRsf New Rating

E

LT NRsf New Rating

Subordinated

LT NRsf New Rating

X

LT NRsf New Rating

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

Flatiron RR CLO 22 LLC (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Flatiron RR LLC, an affiliate of NYL Investors LLC. Net proceeds from the issuance of the secured and subordinated notes will provide financing on a portfolio of approximately $400 million of primarily first lien senior secured leveraged loans.

KEY RATING DRIVERS

Asset Credit Quality (Negative): The average credit quality of the indicative portfolio is 'B/B-', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, the class A notes benefit from credit enhancement of 36.0% and standard U.S. CLO structural features.

Asset Security (Positive): The indicative portfolio consists of 100.0% first-lien senior secured loans and has a weighted average recovery assumption of 75.6%. 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.

Portfolio Composition (Positive): The largest three industries may comprise up to 39.0% of the portfolio balance in aggregate while the top five obligors can represent up to 12.5% of the portfolio balance in aggregate. The level of diversity required by industry, obligor and geographic concentrations is in line with other recent U.S. CLOs.

Portfolio Management (Neutral): The transaction has a 4.9-year reinvestment period and reinvestment criteria similar to other U.S. CLOs. Fitch's analysis was based on a stressed portfolio created by making adjustments to the indicative portfolio to reflect permissible concentration limits and collateral quality test levels.

Cash Flow Analysis (Positive): Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls and assess the effectiveness of various structural features of the transaction. In our stress scenarios, class A...

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