Harvest CLO XLII DAC notes win expected Fitch ratings with stable outlook
Harvest CLO XLII DAC is moving ahead with a cash flow collateralized loan obligation backed by collateral that Fitch Ratings views as sound. The expected stable ratings across the note classes reflect the agency's assessment of the deal structure and the manager's track record.
Highlights
- Fitch Ratings assigned expected stable ratings to Harvest CLO XLII DAC notes, citing underlying collateral quality and manager's strategy.
- Fitch's stress analysis indicated the CLO can perform well across varied economic conditions, supporting stable outlook for all note classes.
- Structured credit investors gain access to tranche exposure calibrated to the loan pool risk and deal's capital structure in Harvest CLO XLII DAC.
Deal structure and rating rationale
As reported by Fitch Ratings, the transaction will be managed by Harvest Alternatives and has received expected ratings for the notes to be issued by Harvest CLO XLII DAC. Fitch says its assessment is based on the quality of the underlying collateral, the capital structure of the transaction and the asset manager's investment strategy.The rating agency also says it carried out a stress analysis of the portfolio, examining the potential effect of defaults and prepayments. On that basis, Fitch expects the transaction to perform well across a range of economic conditions.
Implications for structured credit investors
The expected stable ratings indicate that the note classes are being positioned for investors seeking exposure to structured credit with risk levels aligned to the underlying loan pool and tranche structure. In the CLO market, such assessments are closely tied to collateral quality, manager execution and resilience under adverse scenarios.Further information on the collateral pool and the deal structure is available in accompanying reports and presentations from Harvest Alternatives. Those materials provide additional detail on the assets supporting the issuance and the framework behind the transaction.
Our earlier coverage of Fitch’s rating on Hainan Rubber’s proposed subordinated perpetual sustainable securities explained how the instrument’s position in the capital structure and coupon-deferral features drove a rating two notches below the issuer. We also outlined Fitch’s view of the group’s leverage and liquidity profile, as well as the support considerations tied to its state-linked parent and the company’s role in China’s natural rubber supply chain.
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