Fitch Affirms GoldenTree Loan Opportunities VII, Limited at 'AAAsf'

Fitch Ratings has affirmed the class A notes issued by GoldenTree Loan Opportunities VII, Limited (GoldenTree VII) at 'AAAsf'. The Rating Outlook remains Stable.

KEY RATING DRIVERS

The rating affirmation on the class A notes is based on the stable performance of the underlying portfolio since the transaction's closing in May 2013 and the stable credit enhancement available to the notes. As of the March 11, 2014 trustee report, the transaction continues to pass all of its coverage tests and collateral quality tests, and there have been no defaults in the underlying portfolio to date.

The performing loan portfolio par amount plus principal cash is approximately $655.6 million, compared to the effective date target par balance of $650 million, resulting in an increase in credit enhancement for the class A notes. The weighted average spread (WAS) is reported to be 4.67%, relative to a trigger of 4.00% and the weighted average rating factor of the portfolio remains at 'B/B-'. The trustee reports 0.73% 'CCC' assets versus a maximum allowance of 7.5%, based upon Moody's ratings. Fitch currently considers 9.1% of the portfolio (excluding cash) to be rated in the 'CCC' category, decreased from 10.7% at the closing of the transaction, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. The portfolio is diversified with 121 obligors, and invested in 99.75% senior secured loans and 0.25% second lien loans. Additionally, approximately 89.4% of the portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

The Stable Outlook reflects the expectation that the class A note has a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio, based on the results of the Fitch sensitivity analysis described below.

RATING SENSITIVITIES

The rating of the notes may be sensitive to the following: asset defaults, portfolio migration, coverage test breaches, or breach of concentration limitations or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of GoldenTree VII, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.

This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. Given the stable performance of the transaction since closing, Fitch has not updated the cash flow modeling analysis. The WAS has improved since closing, while the weighted average life (WAL) and PCM outputs are in line with the levels at closing. The current portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery Rate (RRR) outputs from PCM are 54.6% and 39.4%, respectively, versus an RDR of 59.4% and RRR of 36.7% for the indicative portfolio at closing.

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on May 30, 2013. 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.

GoldenTree VII is an arbitrage, cash flow collateralized loan obligation (CLO) that closed on May 2, 2013 and is managed by GoldenTree Asset Management LP. The transaction remains in its reinvestment period, which is scheduled to end in April 2017.

Fitch has affirmed the following rating:

GoldenTree Loan Opportunities VII, Limited

--Class A at 'AAAsf'; Outlook Stable.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2013);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 13, 2013);

--'GoldenTree Loan Opportunities VII, Limited/LLC New Issue Report' (May 30, 2013);

--'GoldenTree Loan Opportunities VII, Limited/LLC Representations and Warranties New Issue Appendix' (May 20, 2013).

Applicable Criteria and Related Research:

GoldenTree Loan Opportunities VII, Limited/LLC

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708255

GoldenTree Loan Opportunities VII, Limited/LLC -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708781

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=827245

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