Fitch Ratings has taken the following rating actions on TCW's Global Project Fund II:
--$330 million revolving senior notes affirmed at 'AAAsf/LS2'; Outlook Stable;
--$70 million class A-1 floating-rate notes affirmed at 'AAAsf/LS3'; Outlook Stable;
--$64 million class A-2-A floating-rate notes downgraded to 'Asf/LS3' from 'AAsf/LS-3'; Outlook Negative;
--$6 million class A-2-B fixed-rate notes downgraded to 'Asf/LS3' from 'AAsf/LS-3'; Outlook Negative;
--$61 million class B-1 floating-rate notes downgraded to 'BBsf/LS3' from 'BBBsf/LS3'; Outlook Negative;
--$14 million class B-2 fixed-rate notes downgraded to 'BBsf/LS3' from 'BBBsf/LS3'; Outlook Negative;
--$33 million class C floating-rate notes downgraded to 'CCCsf/LS4' from 'Bsf/LS4'
--$17 million class D floating-rate notes downgraded to 'CCsf/LS5' from 'CCCsf/LS5'
These rating actions reflect deterioration in the credit quality of the portfolio of assets in the transaction. With the exception of the revolving senior notes and A-1 notes, the notes are sensitive to the liquidation value at transaction final maturity of asset balances that mature beyond June 2016 when combined to the default stresses associated with specific rating categories.
Amortizations on the revolving senior notes have benefited from prepayments of certain assets. Enhancement levels to the revolving senior notes and A-1 notes continue to increase and support high break-even default rates and asset coverage levels consistent with the 'AAAsf' rating.
The downgrades to the ratings assigned to the B, C, and D notes are a direct result of lower ability to absorb further losses and increased concentration of lower rated assets. The transaction's cash flow waterfall, which allocates cash collections to more senior notes in case certain coverage tests are breached, increases such exposure.
Additional information is available at 'www.fitchratings.com'.
The primary source of information for this rating review was EIG Management Company, LLC.
Applicable Criteria and Related Research:
'Global Structured Finance Rating Criteria' (Aug., 13, 2010);
'Global Rating Criteria for Project Finance Collateralised Debt Obligations' (Aug. 18, 2008);
'Global Rating Criteria for Collateralized Debt Obligations with Emerging Market Exposure' (March 2, 2009);
'Criteria for Interest Rate Stresses in Structured Finance Transactions (Global SF)' (Feb. 17, 2010).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
Global Rating Criteria for Project Finance Collateralised Debt Obligations
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=397200
Global Rating Criteria for Collateralised Debt Obligations with Emerging Market Exposure
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=427786
Criteria for Interest Rate Stresses in Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=605426
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