Sign in Subscribe
Parks

Fitch Ratings Assigns Wilton Park CLO DAC Reset Final Ratings

Strategic Insights

— 2 min read

Fitch Ratings, a leading credit rating agency, has recently assigned Wilton Park CLO DAC reset final ratings, detailing a securitisation of mainly senior secured obligations with a component of senior unsecured, mezzanine, second-lien loans, and high-yield bonds. The transaction has a 4.5-year reinvestment period and a 7.5-year weighted-average life (WAL) test. The portfolio is actively managed by Blackstone Ireland Limited, with a target par of EUR400 million.

Key Takeaways:

  • The Wilton Park CLO DAC transaction features a portfolio with an average credit quality of 'B'/'B-', with a Fitch weighted-average rating factor (WARF) of 24.7.
  • The transaction includes a diversified portfolio with a 7.5-year WAL test covenant, and a 12.5% fixed-rate asset limit, with various concentration limits to prevent excessive exposure to any single obligor or industry.
  • The portfolio management structure includes a reinvestment period of 4.5 years, with reinvestment criteria similar to other European transactions.
  • Fitch's credit analysis is based on a Fitch-stressed portfolio, tested against covenants and portfolio guidelines to ensure the deal structure can withstand expected losses.
  • The rating sensitivity analysis indicates that a 25% increase in the mean default rate (RDR) and a 25% decrease in the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A notes, and lead to downgrades of one notch each for the class B1-R to E-R notes, while the class F-R notes would be rated below 'B-sf'.
  • The rating agency notes that upgrades may occur based on better-than-expected portfolio credit quality and a shorter remaining WAL test, allowing the notes to withstand larger-than-expected losses for the remaining life of the transaction.

Statistics:

  • The Fitch weighted-average rating factor (WARF) of the identified portfolio is 24.7.
  • The Fitch weighted-average recovery rate (WARR) of the identified portfolio is 61.2%.
  • The transaction has a 4.5-year reinvestment period and a 7.5-year weighted-average life (WAL) test.
  • A 25% increase in the mean default rate (RDR) and a 25% decrease in the recovery rate (RRR) across all ratings of the identified portfolio would have no impact on the class A notes.

Sources:

  • Fitch Ratings: "Applicable Criteria: CLOs and Corporate CDOs Rating Criteria" (pub. 22 Jul 2023)
  • Fitch Ratings: "Applicable Criteria: Structured Finance and Covered Bonds Counterparty Rating Criteria" (pub. 29 Nov 2023)
  • Fitch Ratings: "Applicable Criteria: Global Structured Finance Rating Criteria" (pub. 18 Nov 2024)
  • Fitch Ratings: "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions" (Special Report)
  • Fitch Ratings: "ESG Relevance Scores" (available on https://www.fitchratings.com/topics/esg/products)

Read more