RPT-Fitch Rates New Guggenheim Private Debt Fund Note Issuer Notes; Affirms Existing Ratings

Fri May 23, 2014 9:27am EDT

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May 23 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings assigned the following ratings to Guggenheim Private Debt Fund Note Issuer, LLC (Guggenheim PDFNI) on May 22, 2014.

-- $41,842,106 class A notes, series A-5, 'Asf', Outlook Stable;

-- $6,973,684 class B notes, series B-5, 'BBBsf', Outlook Stable;

-- $8,600,877 class C notes, series C-5, 'BBsf', Outlook Stable;

-- $5,811,404 class D notes, series D-5, 'Bsf', Outlook Stable;

-- $2,245,614 class E1 notes, series E1-5, not rated;

-- $10,666,666 class E2 notes, series E2-5, not rated;

-- $16,842,106 limited liability company membership interests, series 5, not rated.

A full list of rating affirmations on existing notes follows at the end of this release.

Fitch assigned ratings to the new notes issued commensurate with the fifth funding occurring on May 22, 2014 and also affirmed its ratings on the notes that were issued pursuant to the previous funding dates. Guggenheim PDFNI (the issuer) is a collateralized loan obligation (CLO) transaction that closed in July 2012 and had its first, second and third funding dates in July 2012, October 2012 and March 2013, respectively. The fourth funding date closed recently in April 2014. The transaction is managed by Guggenheim Partners Investment Management, LLC (GPIM).

The fifth funding date will be the final funding date for Guggenheim PDFNI. Pursuant to the fifth funding date, the issuer has drawn approximately $93 million of cash from investors and has issued a commensurate $76.1 million of new notes, each designated as 'series 5', including approximately $12.9 million of first-loss notes that are not rated by Fitch. In addition, approximately $16.8 million was issued in the form of LLC interests, which are also not rated by Fitch. The notes and LLC interests were issued in the same proportion as the initial capital structure, as was contemplated at the transaction's closing. All notes from each series are cross-collateralized by the entire collateral portfolio, which is expected to consist of approximately $1.2 billion of broadly syndicated loans and private debt investments (PDIs) as well as approximately $71.3 million of cash.

The fifth funding draws on all outstanding commitments in Guggenheim PDFNI. Total commitments made to the transaction to date totaled $1.237 billion, but approximately $20 million had failed to fund at the fourth and fifth funding dates.

KEY RATING DRIVERS

Fitch analyzed the current portfolio as represented to Fitch by GPIM and included five additional assets expected to be purchased with the proceeds from the fifth funding, as well as an additional loan purchase made from the fourth funding date that is expected to close. Fitch also analyzed a 'Fitch-Stressed' portfolio that accounted for the worst-case portfolio concentrations permitted by the indenture (which is further detailed in Fitch's press release 'Fitch Rates Guggenheim Private Debt Fund Note Issuer, LLC' dated July 12, 2012).

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 5' notes as indicated above. Fitch has affirmed the existing 'series 1,' 'series 2,' 'series 3' and 'series 4' notes based on the analysis described above as well as the stable performance of the transaction thus far. The April 4, 2014 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 on the April payment date. Also on this payment date, approximately $7.5 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.

RATING SENSITIVITIES

Standard sensitivity analysis was conducted on the Fitch-stressed portfolio at close in July 2012, as described in Fitch's corporate CDO criteria. The transaction performed within the expectations of each respective rating in these scenarios.

Given the stable portfolio performance since the closing date and the unchanged investment guidelines of the portfolio, Fitch determined that the results of the initial sensitivity analysis are sufficient for the transaction following the fifth funding and therefore did not update the initial sensitivity analysis. Initial Key Rating Drivers and Rating Sensitivity are further described in the commentary published on July 12, 2012. A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is also available by accessing the reports and links indicated below.

Fitch has taken the following rating actions:

-- $292,499,994 class A notes, series A-1, affirmed at 'Asf', Outlook Stable;

-- $48,749,993 class B notes, series B-1, affirmed at 'BBBsf', Outlook Stable;

-- $60,124,994 class C notes, series C-1, affirmed at 'BBsf', Outlook Stable;

-- $40,624,994 class D notes, series D-1, affirmed at 'Bsf', Outlook Stable;

-- $8,732,724 class E1 notes, series E1-1, not rated;

-- $137,083,157 class E2 notes, series E2-1, not rated;

-- $44,051,727 limited liability company membership interests, series 1, not rated;

-- $44,999,995 class A notes, series A-2, affirmed at 'Asf', Outlook Stable;

-- $7,499,995 class B notes, series B-2, affirmed at 'BBBsf', Outlook Stable;

-- $9,249,995 class C notes, series C-2, affirmed at 'BBsf', Outlook Stable;

-- $6,249,996 class D notes, series D-2, affirmed at 'Bsf', Outlook Stable;

-- $1,357,923 class E1 notes, series E1-2, not rated;

-- $21,177,018 class E2 notes, series E2-2, not rated;

-- $6,849,960 limited liability company membership interests, series 2, not rated;

-- $90,900,011 class A notes, series A-3, affirmed at 'Asf', Outlook Stable;

-- $15,150,012 class B notes, series B-3, affirmed at 'BBBsf', Outlook Stable;

-- $18,685,011 class C notes, series C-3, affirmed at 'BBsf', Outlook Stable;

-- $12,625,010 class D notes, series D-3, affirmed at 'Bsf', Outlook Stable;

-- $2,781,461 class E1 notes, series E1-3, not rated;

-- $43,016,557 class E2 notes, series E2-3, not rated;

-- $14,030,944 limited liability company membership interests, series 3, not rated;

-- $77,407,894 class A notes, series A-4, affirmed at 'Asf', Outlook Stable;

-- $12,901,316 class B notes, series B-4, affirmed at 'BBBsf', Outlook Stable;

-- $15,911,623 class C notes, series C-4, affirmed at 'BBsf', Outlook Stable;

-- $10,751,096 class D notes, series D-4, affirmed at 'Bsf', Outlook Stable;

-- $4,154,384 class E1 notes, series E1-4, not rated;

-- $19,733,332 class E2 notes, series E2-4,not rated;

-- $31,157,898 limited liability company membership interests, series 4, not rated.

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