Fitch Affirms One Class of Rosemont CLO, Ltd./Corp.

  Fitch Affirms One Class of Rosemont CLO, Ltd./Corp.

Business Wire

CHICAGO -- October 23, 2012

Fitch Ratings has affirmed one class of notes issued by Rosemont CLO,
Ltd./Corp. (Rosemont CLO) as follows:

--$4,470,774 class D notes at 'CCsf', RE 90%.

Since Fitch's last rating action in November 2011 the class B-1, B-2, and C
notes, which at the time had a combined principal balance of approximately
$18.5 million, have all been paid in full, leaving the class D notes as the
senior-most remaining class. The class D notes are slightly
undercollateralized compared to the performing portfolio balance, but could be
repaid in full depending on the future performance of the remaining portfolio
and the ultimate recovery values on the defaulted assets in the portfolio.

After the Oct. 15, 2012 payment date Fitch considers the performing portfolio
to consist of eight loans totaling $4.1 million of par. One of these loans
($230 thousand par) is long-dated and may therefore be subject to market value
risk at the transaction's maturity if it is sold at that time. An additional
$285 thousand of principal proceeds are expected to be available shortly
pending settlement of a trade. Finally there are 5 defaulted loans with a
total par balance of approximately $2.9 million which may generate some
recovery values prior to the transaction's maturity.

Fitch believes the current 'CCsf' rating on the class D notes remains
appropriate due to the undercollateralization of these notes when compared to
the balance of performing assets plus principal cash and the resultant
dependence on recoveries from defaulted assets to repay the notes in full.
However Fitch recognizes that repayment in full of these notes by their
maturity in October 2013 is possible given sufficient recovery proceeds and
the continued performance of the performing portfolio.

Fitch conducted cash flow modeling on the transaction primarily to generate a
recovery estimate 'RE' for the class D notes. In order to account for the
portfolio concentration risk, Fitch modeled the transaction using the Obligor
Concentration Uplift (OCU) feature in Fitch's Portfolio Credit Model as the
base case scenario and used the outputs in its cash flow modeling. The assumed
recovery values on the defaulted assets were determined after a discussion
with the asset manager. Based on this analysis Fitch is maintaining the
current Recovery Estimate (RE) of 'RE 90%' on the class D notes, reflecting
the expected recovery to these notes in a base-case default scenario. Recovery
Estimates are designed to provide a forward-looking estimate of recoveries on
currently distressed or defaulted structured finance securities rated 'CCCsf'
or below. For further details on Recovery Ratings, please see Fitch's report
'Structured Finance Recovery Estimates for Distressed Securities'.

Rosemont CLO is a collateralized debt obligation that closed on Jan. 8, 2002
and is managed by Deerfield Capital Management LLC, a subsidiary of CIFC Corp.
Deerfield Capital Corp. merged with Commercial Industrial Finance Corp. in
April 2011, creating a newly named entity CIFC Corp. The transaction is
scheduled to mature in October 2013.

Additional information is available at 'www.fitchratings.com'. The ratings
above were solicited by, or on behalf of, the issuer, and therefore, Fitch has
been compensated for the provision of the ratings.

The information used to assess these ratings was sourced from the asset
manager, periodic servicer reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Corporate CDOs' (Aug. 08, 2012);

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012);

--'Structured Finance Recovery Estimates for Distressed Securities' (November
16, 2011);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions'
(March 20, 2012);

--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=683910

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Structured Finance Recovery Estimates for Distressed Securities

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=656557

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=673560

Counterparty Criteria for Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938

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Contact:

Fitch Ratings
Primary Surveillance Analyst
Robert Rhein, +1-312-606-2314
Director
Fitch, Inc.
70 West Madison Street
Chicago, IL 60602
or
Committee Chairperson
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations
Sandro Scenga, New York, +1 212-908-0278
sandro.scenga@fitchratings.com
 
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