Fitch Upgrades 1 Class and Affirms 4 Classes of CoLTS 2007-1, Ltd./LLC
NEW YORK -- April 24, 2013
Fitch Ratings has upgraded one class and affirmed four classes of notes issued
by CoLTS 2007-1, Ltd./LLC. (CoLTS 2007-1) as follows:
--$21,856,274 Class A Floating Rate Notes at 'AAA'; Outlook Stable;
--$22,250,000 Class B Floating Rate Notes at 'AA'; Outlook Stable;
--$40,000,000 Class C Floating Rate Deferrable Interest Notes at 'A'; Outlook
--$21,215,000 Class D Floating Rate Deferrable Interest Notes at 'BBB';
--$22,250,000 Class E Floating Rate Deferrable Interest Notes upgraded to 'BB'
from 'B'; Outlook Stable.
KEY RATING DRIVERS
The affirmations and upgrade are the result of the increased credit
enhancement available for the notes since the last review in April 2012.
Approximately $138 million of the class A notes have paid down since the last
review, increasing credit enhancement levels on the remaining notes. As of the
April 2013 trustee report, the portfolio contained $137.4 million performing
loans to 57 obligors, $7.6 million in principal collections, and $19.1 million
in defaulted loans. The Fitch WARF is 'B/B-' and cash flow modeling stresses
show that the notes are able to perform at rating levels above their current
The notes are sensitive to combined levels of default and recoveries that are
beyond Fitch's published stresses. Fitch's stressed analysis show that the
notes can perform at their current rating levels when a 25% haircut is applied
on portfolio recoveries, but show sensitivities when the haircut recoveries
are combined with higher default assumptions. Such levels of higher defaults
and lower recoveries may result in future downgrades.
CoLTS 2007-1 is a revolving cash flow collateralized loan obligation (CLO)
that closed Feb. 27, 2007 and is managed by Ivy Hill Asset Management, L.P.
(Ivy Hill), an affiliate of Ares Capital Corporation. Ivy Hill became manager
through a sub-servicing agreement executed with Structured Asset Investors,
LLC, on June 15, 2009. The $137.4 million performing portfolio had exited its
reinvestment period in March 2012 and is composed of first lien senior secured
Additional information is available at www.fitchratings.com.
The information used to assess these ratings was sourced from the asset
manager, periodic servicer reports, note valuation reports, and the public
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Jun. 6, 2012)
--'Global Rating Criteria for Corporate CDOs' (Aug. 18, 2012)
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012)
--'Criteria for Interest Rate Stresses in SF Transactions' (Jan. 25, 2013)
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012)
Applicable Criteria and Related Research
Global Structured Finance Rating Criteria
Global Rating Criteria for Corporate CDOs
Global Criteria for Cash Flow Analysis in CDOs
Criteria for Interest Rate Stresses in Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions
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Primary Surveillance Analyst:
Christine Choo, +1-212-908-0603
Fitch Ratings, Inc.
One State Street Plaza
New York, NY 10004
Derek Miller, +1-312-368-2076
Sandro Scenga, +1-212-908-0278
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