(Repeat for additional subscribers)
April 30 (The following statement was released by the rating agency)
Fitch Ratings notes that the ratings of Grosvenor Place
CLO 2013-1 B.V.'s notes are not affected by either the earlier loss or the
release of the interest reserve, as all the coverage tests are still in
compliance and the interest reserve was factored into the initial analysis. In
Fitch's view, the performance to date is in line with the expectation at
Grosvenor Place CLO 2013-1 B.V. went effective on the 17th of February.
Following the effective date but prior to the first payment date the
transactions aggregated principal balance was reduced below the reinvestment
target par amount due to the sale of a credit risk obligation at a substantial
discount to the purchase price. As a result the transaction entered a restricted
Although the manager was able to build par which offset some of the loss, the
aggregated principal balance remained approximately EUR1.2m below the
reinvestment target par amount on the first payment date on 22 April 2014.
Despite the shortfall the manager chose to release an interest reserve that was
funded from note issuance proceeds as part of the interest priority of payment.
As the transaction is passing all of its par value tests the amount of the
interest reserve was ultimately paid to equity holders on the first payment
While the manager acted in accordance with the transaction documentation the
manager had discretion to allocate some of the interest reserve in the
supplemental reserve account to be reinvested in new collateral proceeds to make
up for the earlier losses. In the specific example, the manager chose to act in
the interest of the equity holders.
In this transaction the manager retained a vertical slice composed of 5% of each
note class in the capital structure.