Fitch Downgrades Coltrane

Fitch Ratings downgraded four classes of notes issued by Coltrane CLO. All classes are on rating watch negative by the rating agency. Fitch lowered the transaction’s €26,000,000 class B notes to ‘CC’ from ‘CCC’, €45,000,000 class C notes to ‘CC’ from ‘CCC’, €1,750,000 class D-1 notes to ‘CC’ from ‘CCC’ and €2,000,000 class D-2 notes to ‘CC’ from ‘CCC’. On Feb. 25, the rating agency was informed that this CLO had experienced an event of default attributed to a threshold value event that was uncured for five business days. Fitch has not received confirmation that the controlling class or the trustee intend to liquidate the underlying loan collateral in the near term. If they actually chose to liquidate the underlying loan collateral, another rating action might be taken, Fitch said in a release. This market value CLO, which is backed by leveraged loans, was Deerfield Capital Management’s first foray into the European CLO market. The €300 million CLO was priced in October 2006 via Banc of America Securities (ASR, 10/26/06).