Fitch Assigns New Ratings to Guggenheim Private Debt Fund Note Issuer, LLC; Affirms Existing Ratings
Fitch Ratings assigned the following ratings to Guggenheim Private Debt Fund Note Issuer, LLC (Guggenheim PDFNI) on Oct. 26, 2012:
--$44,999,995 class A notes, series A-2, 'Asf'; Outlook Stable;
--$7,499,995 class B notes, series B-2, 'BBBsf'; Outlook Stable;
--$9,249,995 class C notes, series C-2, 'BBsf'; Outlook Stable;
--$6,249,996 class D notes, series D-2, 'Bsf'; Outlook Stable.
Additionally, Fitch affirmed the ratings on the following classes of notes on Oct. 26, 2012:
--$292,499,994 class A notes, series A-1, at 'Asf'; Outlook Stable;
--$48,749,993 class B notes, series B-1, at 'BBBsf'; Outlook Stable;
--$60,124,994 class C notes, series C-1, at 'BBsf'; Outlook Stable;
--$40,624,994 class D notes, series D-1, at 'Bsf'; Outlook Stable.
Guggenheim PDFNI (the issuer) is a collateralized loan obligation (CLO) transaction that closed and had its first funding date in July 2012 and is managed by Guggenheim Partners Investment Management, LLC (GPIM). Fitch assigned ratings to the new notes issued commensurate with the second funding that occurred on Oct. 26, 2012 and also affirmed its ratings on the notes that were issued pursuant to the first funding in July. For additional information on this transaction see Fitch's press release 'Fitch Rates Guggenheim Private Debt Fund Note Issuer, LLC' dated July 12, 2012 and available at www.fitchratings.com.
Pursuant to the second funding date, the issuer has drawn an additional $100 million of cash from investors and has issued a commensurate $100 million of new notes, each designated as 'series 2', including approximately $32 million of first-loss notes that are not rated by Fitch. The notes were issued in the same proportion as the initial capital structure, as was contemplated at the transaction's closing. All notes from 'series 1' and 'series 2' are cross-collateralized by the entire collateral portfolio, which currently consists of approximately $689 million of broadly syndicated loans and private debt investments (PDIs) as well as approximately $71.7 million of cash.
In conjunction with the second funding date Fitch analyzed the current portfolio characteristics, as represented to Fitch by GPIM, as well as analyzing a 'Fitch-Stressed' portfolio that accounted for many of the worst-case portfolio concentrations permitted by the indenture. Fitch's cash flow modeling analysis of both portfolios indicated that each class of notes performs in line with the ratings assigned or affirmed, as applicable. Fitch therefore assigned the ratings to the 'series 2' notes as indicated above.
Fitch has affirmed the existing 'series 1' notes due to the analysis described above as well as the stable performance of the transaction thus far. The Oct. 3, 2012 trustee report indicated that all collateral quality tests, concentration limitations, and coverage tests were in compliance. All rated notes received their full interest and commitment fees at the first payment date on Oct. 15, 2012. Also on this payment date, approximately $5.9 million of excess spread was redirected to the principal collection account for investment in future collateral, increasing the degree of collateral coverage for the notes.
After the second funding date the issuer will have issued a total of $750 million of notes and maintain $202 million of additional commitments from investors, which are expected to be drawn on one or more future funding dates.
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 sources of information used to assess these ratings were the transaction documents provided by the manager, GPIM, and the public domain. The manager provided pertinent financial information related to the PDIs to Fitch's leveraged finance group, which used the information to establish credit opinions on these borrowers.
Applicable Criteria & Related Research:
--'Fitch Rates Guggenheim Private Debt Fund Note Issuer, LLC' (July 12, 2012)
--'Guggenheim Private Debt Fund Note Issuer, LLC (New Issue Appendix; July 12, 2012)
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2012);
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012);
--'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
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
Guggenheim Private Debt Fund Note Issuer, LLC
Robert Rhein, +1-312-606-2314
70 West Madison Street
Chicago, IL 60602
Christine Choo, +1-212-908-0603
Derek Miller, +1-312-368-2076
Sandro Scenga, +1-212-908-0278
Media Relations, New York