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Structured Finance

Structured Credit / U.S.A.

Avery Point II CLO, Limited/Corp.
Presale Report
Inside This Report
Transaction Summary Key Rating Drivers Additional Rating Drivers Transaction Comparison Asset Analysis Cash Flow Analysis Rating Sensitivity Portfolio Management Additional Structural Features Counterparty Risk Transaction and Legal Structure Criteria Application, Model, and Data Adequacy Performance Analytics Appendices Page 1 1 2 2 2 4 7 9 9 11 12 12 13 1418

Capital Structure
Class A B-1 B-2 C D E F Subordinated Notes Total
a

Expected Rating AAAsf NR NR NR NR NR NR NR

Expected Outlook Stable N.A. N.A. N.A. N.A. N.A. N.A. N.A.

Amount ($ Mil.) 304.00 46.00 25.00 36.00 26.00 24.00 13.50 42.25 516.75

CE (%)

a

39.2 25.0 25.0 17.8 12.6 7.8 5.1 N.A.

Interest Rate (%) 3mL + 1.11 3mL + 1.55 3.21 3mL + 2.75 3mL + 3.45 3mL + 4.25 3mL + 5.10 Residual

Final Maturity July 2025 July 2025 July 2025 July 2025 July 2025 July 2025 July 2025 July 2025

TT (%) 58.8 N.A. N.A. N.A. N.A. N.A. N.A. N.A.

TTLM (x) 4.9 N.A. N.A. N.A. N.A. N.A. N.A. N.A.

Credit enhancement (CE) is based on the target par amount of $500.0 million. Notes: Expected ratings do not reflect final ratings and are based on information provided by the issuer as of June 7, 2013. These expected ratings are contingent on final documents conforming to information already received. Ratings are not a recommendation to buy, sell, or hold any security. The offering circular and other material should be reviewed prior to any purchase. TT – Tranche thickness. TTLM – Tranche thickness loss multiple. NR  Not rated. N.A.  Not applicable.

Related Presale Appendix
Avery Point II CLO Limited/Corp. (June 2013)

Transaction Summary
Avery Point II CLO, Limited and Avery Point II CLO, Corp. (together, Avery Point II, or the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Sankaty Advisors, LLC (Sankaty). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $500.0 million of primarily leveraged loans. The CLO will have a four-year reinvestment period, expected to end in July 2017.

Related Criteria
Global Structured Finance Rating Criteria (May 2013) Global Rating Criteria for Corporate CDOs (August 2012) Global Criteria for Cash Flow Analysis in CDOs (September 2012) Criteria for Interest Rate Stresses in Structured Finance Transactions (January 2013) Counterparty Criteria for Structured Finance and Covered Bonds (May 2013)

Key Rating Drivers
Sufficient Credit Enhancement: Credit enhancement (CE) of 39.2% for class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an ‗AAAsf‘ stress scenario. The level of CE for class A notes is above the average CE of recent CLOs. ‘B/B‒’ Asset Quality: The average credit quality of the indicative portfolio is ‗B/B‒‘, which is comparable to recent CLOs. Issuers rated in the ‗B‘ category denote a highly speculative credit quality; however, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are robust against default rates of up to 67.8%.

Analysts
Erika Tsang, CFA +1 212 908-0817 erika.tsang@fitchratings.com Robert Rhein +1 312 606-2314 robert.rhein@fitchratings.com Derek Miller +1 312 368-2076 derek.miller@fitchratings.com

Strong Recovery Expectations: The indicative portfolio consists of 95.8% senior secured loans, approximately 91.5% of which have strong recovery prospects or a Fitch Ratings-assigned recovery rating of ‗RR2‘ or higher. This is in line with the seniority profile of recent vintage CLOs.

www.fitchratings.com

June 7, 2013

9 2400 5.0 2. Asset Analysis Related Research Sankaty Advisors.5 35.0 7. given the manager‘s ability to reinvest principal proceeds.5 3150 7.0 7. including 64 unidentified obligors with assumed loan characteristics Avery Point II CLO.5 4.5 91. 2nd Lien and Subordinate (%) Max.0 2 2 a Maximum 898.0 2800 5.6 10.0 8.0 3.0 36. 2013 (the indicative portfolio) consists of 126 assets from 120 obligors.3 42. WAS (%) Actual WAS (%) Max.5 10.S. the concentration limitations and collateral quality test levels presented to date are within the range of limits set in the majority of recent CLOs. Fitch addressed the impact of the most prominent risk-presenting concentration allowances and targeted test levels in its analysis.0 4 2 Race Point VIII CLO 500.4 4 2 Minimum 300. Leveraged Finance: Road to Recovery Ratings (February 2012) CLO Market Quarterly (January 2013) The Fitch Portfolio Credit Model (PCM v2. Fixed Assets (%) Min.) Reinvestment Period (Years) Noncall Period (Years) Avery Point II CLO 500. Leveraged Finance Market Quarterly (First.0 2. while the class A notes benefit from a relatively higher degree of CE than the average of recently rated CLOs. (October 2012) LLC U.0 39.Quarter Synopsis) (April 2013) U. as described below.0 0. Initial WAL (Years) Initial Target WARF Max.5 90.5 90. Senior Secured (%) Max.4 0. Single Obligor (%) Min.0 3.8 50.0 0.0 50.0 8. The portfolio presented to Fitch on May 30.0 0.4 A/B 142.5 3.0 8.1 8. 2013.1 3.0 8.0 2553 7. Transaction Comparison 1Q132Q13 CLOs Transaction Target Par Amount ($ Mil.7 5.9 33.0 2.3. as well as a Fitch stressed portfolio that was created according to the portfolio concentration limits and collateral quality tests. Aside from the lack of limitation on assets that pay less frequently than quarterly.0 10.0 4.S.9 2725 7.0 10. Fitch‘s analysis focused on the Fitch stressed portfolio.3 A/B 118. 1.0 40.4 Portfolio Covenants and Concentration Limitations Max. Covenant-Lite (%) Maximum Long-Dated Assets (%) a 8.9 A/B 124.0 4 2 Average 488.8 6.3 2.0 2.0 70.Structured Finance Additional Rating Drivers Consistent Portfolio Parameters The structure and portfolio composition of Avery Point II closely resembles that of recently issued CLOs.9 4. The portfolio will be actively managed and bound by concentration limitations and collateral quality tests addressing various loan and structural characteristics.0 90. or RDRs) and expected portfolio recovery rates (rating recovery rates.0 Includes CLOs backed by portfolios of broadly syndicated loans that priced from Jan. WAC (%) Max. June 7. 2013 2 .9 10.2) was used to determine hurdle default rates (rating default rates.7 4 3 Notes  CE Senior Class (%) Structure Senior Overcollateralization (OC) Test Senior OC Test Level (%) A/B 124.9 2. CCC Assets (%) Min.2 6.2 6.2 38. or RRRs) for the ‗AAAsf‘ rating level.7 4.0 10. 2013 through May 31.9 4.9 4. The PCM was run on the indicative portfolio.0 95. Limited/Corp.3 A/B 125.0 2.

June 7. In the case of assets for which no asset-specific recovery ratings have been assigned. second lien loans. 1.6% of the indicative portfolio‘s assets. Fitch assumed the average portfolio quality remains in the ‗B/B‒‘ rating category in its construction of the Fitch stressed portfolio (see the portfolio distribution in the Underlying Rating Distribution chart below). these obligors were generally assumed to maintain these ratings in the Fitch stressed portfolio. senior secured notes.0%.3% of the total portfolio par balance. 2013) Indicative Portfolio (%) 45 40 35 Fitch Stressed portfolio 30 25 20 15 10 5 0 BBB BB BB‒ B+ B B‒ CCC+ CCC Fitch considers 4. and 2% bonds.7% of the portfolio.6% of the indicative portfolio has no public rating or Fitch credit opinion and was considered ‗CCC‘.9% of the total portfolio were derived using Fitch‘s issuer default rating (IDR) equivalency map. 2. Underlying Rating Distribution (As of June 7. Fitch applied the standard Fitch recovery rate assumptions for assets based in the same jurisdiction and having the same ranking in the capital structure (as determined via the agency‘s global rating criteria for corporate CDOs). The concentration limitations specify that senior secured loans and eligible investments must represent at least 90. and senior unsecured loans in total cannot exceed 10. Fitch increased the ‗CCC‘ concentration for the Fitch stressed po rtfolio to match the maximum permitted ‗CCC‘ exposure. Avery Point II CLO. Fitch has assigned asset-specific recovery ratings to 15. In addition.8% of the indicative portfolio to be rated in the ‗CCC‘ category. unidentified obligors were predominantly indicated to be within the ‗B‘ rating category.0 1. Asset Security The indicative portfolio consists of 95. Adjustments were made to the Fitch stressed portfolio to mirror this distribution.3 1.6 4.2% second lien loans. Limited/Corp. Fitch considers the indicative portfolio to be of similar diversity in terms of obligor and industry concentrations.8% senior secured loans.Structured Finance comprising 38. As the transaction documents do not contain a covenant for a maximum Fitch weighted average rating factor (WARF).0% of the portfolio.0% of the portfolio.8 The weighted average rating of the indicative portfolio is ‗B/B‒‘ (as determined by Fitch‘s global rating criteria for corporate CDOs). Asset Quality Distribution of Assets Treated CCC+ or Lower Fitch IDR Mapping Rated < or = ‗CCC+‘ ‗B–‗/Rating Outlook Negative No Rating Total Portfolio (%) 2. Senior secured bonds. Of this amount. 2013 3 . highyield bonds. while the maximum permitted exposure to assets rated ‗CCC‘ (as defined by S&P ) is 5. relative to recently issued CLOs. ratings for 37. Fitch has an explicit rating or a credit opinion for 21 obligors from the indicative portfolio comprising 23.

which were incorporated into the Fitch stressed portfolio.0 7. The remaining obligors may each constitute up to 2.0% of the portfolio. 2013 4 .1 8.5 Metals & Mining Recovery 2.Structured Finance Recovery Distribution (As of June 7.0 12.7 Fitch Stressed Por folio (%) 15.5 Industrial/Manufacturing Rr1 (Outstanding: 91%‒100%) 2.3 Cash Flow Analysis Fitch used a customized proprietary cash flow model to replicate the principal and interest waterfalls (described in detail in Appendix D.8 8.0 2. The transaction also allows for up to 12.9 1.0 12.0 12. June 7. including the structural protection provided by excess spread diverted through the overcollateralization (OC) and interest coverage (IC) tests.Weak Recovery 70%) Moderate Recovery Obligor and Industry Concentration The concentration limitations allow exposure of up to 2. with a maximum 10.0% for one additional industry.5% each for five obligors. Each model run considers 12 stress scenarios to account for different combinations of default timings and interest rate stresses. page 18) and various structural features of the transaction to assess their effectiveness. as well as for the Fitch Avery Point II CLO. Limited/Corp.5 Energy Strong Recovery 1. Fitch accounted for the maximum allowable industry concentration in its analysis of the Fitch stressed portfolio. 2013) Indicative Portfolio (%) 90 80 70 Fitch Stressed Portfolio 60 50 40 30 20 10 0 RR1 (Outstanding: 91%-100%) RR2 (Superior: 71%-90%) Strong Recovery RR3 (Good: 51%.6 Computers & Electronics Rr3 (Good: 51%‒70%) 1. Top Five Obligor Concentrations Obligor 1 2 3 4 5 Fitch Rating BB B BB‒ CCC B‒ Indicative Fitch Stressed Portfolio (%) Portfolio (%) 2.0% concentration for remaining industries.6 Seniority Strong Recovery and Weak 2.3 9. as described in Fitch‘s cash flow analysis criteria.0 1.6 Telecommunications Strong Recovery Fitch Industry Top Five Industry Concentrations Industry Gaming and Leisure and Enter ainment Industrial/Manufacturing Metals & Mining Energy Business Services Indicative Portfolio (%) 11.0% concentration in each of three industries and up to 15.6 1.4 9. The cash flow model was run using the PCM outputs for the indicative portfolio.

8% if LIBOR is increased above 1. C. including the benefit for LIBOR floors. and WAS cases at or before the end of the ramp-up period. The transaction documents permit a maximum of 10. maximum WAL. namely the minimum weighted average recovery rate (WARR).5%. and minimum weighted average spread (WAS). of the interest received from semi-annual pay assets above the 10% threshold over the amount of interest that would have been received from those assets had they been quarterly pay. The indicative portfolio‘s WAS is 4. Instead. Avery Point II CLO. which was represented to Fitch as initially 3. Fitch assumed the class A.2% of the current indicative portfolio has LIBOR floors between 0.5%. Fitch assumed a 10% fixed-rate collateral bucket in its cash flow analysis of the Fitch stressed portfolio and assumed the remaining 90.0% fixed-rate collateral with a minimum weighted average coupon (WAC) of 7.9% over LIBOR. Fitch modeled the WAS at 3.5%. WAL.75% and 1. Interest Income and LIBOR Floors The calculation of the WAS includes additional spread above actual LIBOR from loans that have a LIBOR floor mechanism in place. Approximately 97.71% over three-month LIBOR and that the class B-2 notes earn a fixed coupon of 3. the Fitch stressed portfolio assumed that 10% of the underlying assets pay interest less frequently than quarterly. there is an interest smoothing mechanism senior to class A interest in the interest waterfall that will deposit the liquidity reserve amount back into the interest collection account to be distributed on the following payment date. Fitch‘s analysis of the indicative portfolio accounted for the benefit of addi tional spread from LIBOR floors. toward which the portfolio will be managed. as represented to Fitch. if the aggregate principal balance of assets that pay less frequently than quarterly exceeds 10%. 2013 5 .9%. The liquidity reserve amount is essentially the excess. the benefit is expected to disappear after LIBOR reaches 1.2% in its cash flow analysis. More discussion on the use of these multiple parameters as a portfolio management tool can be found in the Management to Dynamic Collateral Quality Tests section on page 9. while the analysis of the Fitch stressed portfolio assumed all floating-rate assets earn interest at the minimum WAS test level. B-1. if any. The portfolio manager will determine the initial WARR. The transaction documents provide the portfolio manager the flexibility to choose certain combinations of cases for compliance with the S&P CDO Monitor Test. though no assets may pay less frequently than semi-annually. while the same portfolio would lead to a WAS of 3. Interest Reserve Mechanism The concentration limitations do not restrict the amount of assets that pay less frequently than quarterly. While LIBOR floors will create additional interest cash flow for Avery Point II during periods of low LIBOR.0% of the portfolio to pay on a floating-rate basis. The calculation method of the reserve and its placement in the waterfall effectively mitigates the transaction‘s exposure to assets that pay semi-annually in excess of 10%. Limited/Corp.25%. Therefore.6%. according to the initial level targeted by the portfolio manager. June 7.Structured Finance stressed portfolio. E and F notes earn a weighted average cost of funding of 1. D.

Fitch considered a sensitivity scenario in which credit was not given to excess spread or the diversion of interest proceeds through OC and reinvestment OC tests during the four-year reinvestment period. as applicable. Since assets purchased at a price below par. yet above discount obligation thresholds.65 114. BDRs for the class A notes Avery Point II CLO. Limited/Corp. may be marked at par for calculations of the OC and reinvestment OC test ratios.00 105.74 266. Therefore.00 7.91 245.28 286.00 105.74 330.37 3.96 102.46 124.00 110.37 105.87% after the reinvestment period.42 108. Failure of an OC or IC test will result in interest or principal proceeds.00 7. While discount obligations are generally included at their purchase price for purposes of calculating OC tests. yet above the discount obligation thresholds.42 108. a senior secured loan will not be considered to be a discount obligation unless it is rated ‗B‒‘ or higher by S&P and is purchased at a price below 80% of par.00 4.26 326.50 6.00 386. IC tests.65 114.Structured Finance Overcollateralization and Interest Coverage Tests The structure includes standard OC tests.19 278.37 3.28 181. this may minimize the effectiveness of these tests during the reinvestment period. the purchase price threshold increases to 85% of par.11 Initial OC levels based on target portfolio amount of $500 million.33 114. Coverage Tests (%) Indicative Portfolio Trigger Overcollateralization (OC) Tests Class A/B (Senior) OC Test Class C OC Test Class D OC Test Class E OC Test Interest Diversion Tests Reinvestment OC Testb Interest Coverage (IC) Tests Class A/B (Senior) IC Test Class C IC Test Class D IC Test a Fitch Stressed Portfolio Cushion 9. Effectiveness of Coverage Tests: May be Diminished by Discount Obligation Provisions The transaction features discount obligation provisions that are standard among recent CLO issuances.26 216.00 4. June 7. 2013 6 . Failure of the reinvestment OC test after the reinvestment period results in the lesser of 50% of remaining interest proceeds and the required cure amount being used to redeem the notes. The IC tests are not applicable in the priority of payments until the second payment date.19 168. and a reinvestment OC test.91 140.46 Cushion 9. bReinvestment OC Test trigger changes to 101.50 Initial Levela 133.00 120.33 121.50 Initial Levela 133. For senior secured loans rated below ‗B‒‘ by S&P.33 121. Cash Flow Model Outputs Break-even default rates (BDRs) show the maximum portfolio default rates the class A notes could withstand in stress scenarios without experiencing a loss.50 6.42 103. Failure of the reinvestment OC test during the reinvestment period leads to the lesser of 50% of remaining interest proceeds and the required cure amount to be reinvested in additional collateral assets. to be diverted to redeem the rated notes sequentially.11 210. The portfolio manager may potentially build par with the purchases of assets priced below par.15 108.

0 37. Avery Point II CLO. Rating Sensitivity to Default Probability A default probability multiplier of 125% and 150% is applied to the default probability of each obligor. and obligor and industry concentrations.5 Mid Up a Fitch stressed portfolio based on eight-year WAL. Rating Sensitivity In addition to Fitch‘s stated criteria.8 Mid Up Fitch Stressed Class A 67. The key model assumptions analyzed are described below. The rating sensitivity analysis is based on the Fitch stressed portfolio.2 14. Rating Sensitivity to Recovery Rates A 75% and 50% multiplier is applied to asset-level recovery rates. maximum second lien.0x base correlation for the country are applied. This is designed to provide information about the sensitivity of the rating to key model assumptions. in line with an ‗AAAsf‘ stress scenario. These sensitivities only describe the model-implied impact of a change in one or more of the input variables. Rating Sensitivity to Correlation A 2.9% WAS. Rating Sensitivity to Combined Stress A default probability multiplier of 125%. Fitch was comfortable assigning ‗AAAsf‘ ratings to the class A notes because the agency believes the tranche can sustain a robust level of defaults.3 5. the agency analyzed the structure‘s sensitivity to the potential variability of key model assumptions. 2013 7 . The class A notes passed the PCM hurdle rate on both the indicative and Fitch stressed portfolio analysis in all 12 stress scenarios. 3.8 34.3 55. It should not be used as an indicator of possible future performance. June 7.0x base country correlation increase is applied. in this case ‗AAAsf‘ for the class A notes. as well as due to the strong performance of the notes in several sensitivity scenarios. Rating Sensitivity to Inefficient Coverage Tests OC and IC tests were not accounted for during the reinvestment period.Structured Finance were then compared with the PCM hurdle rates at the ‗AAAsf‘ rating stress. and 2.7 62. recovery rate multiplier of 75%. A rating committee would typically expect the BDR to be above the PCM hurdle rate to achieve a given rating. Limited/Corp. Break-Even Default Rates (%) Portfolio Class Break-Even Default Rate Assumed Recovery Rate PCM Hurdle Default Rate Default Cushion Default Timing LIBOR a Indicative Class A 70. The table below presents the lowest BDR of the 12 stress scenarios.

Discretionary Sales Type of Proceeds: Credit Risk Sales Type of proceeds: Credit and Credit Improved Sales and Defaulted Obligations Sales Risk sales Collateral Quality Tests Concentration Limitations Coverage Tests Maturity Requirements Satisfaction.9% to 2.A.A. or if failing. or if failing. and S&P minimum WARR tests) Satisfaction. Avery Point II CLO. and credit-improved assets at any time. Discretionary sales are permitted at any time and are limited to 25% of the portfolio during the same calendar year (as measured by the portfolio balance as of the beginning of such calendar year). Limited/Corp. ‒ Not applicable.0x Base Correlation Increase Rating Sensitivity to Inefficient Coverage Tests Rating Sensitivity to Spread Compression over Two Years AAA AA+ AAA AA+ AAA AA AA+ AAA Class A Lowest Rating AA+ AA+ AA+ AA AAA AA‒ AA AAA Portfolio Management Avery Point II will have a four-year reinvestment period. Subject to certain criteria. Par Amount Requirements Rating Requirements N. maintain or improve Satisfaction of OC tests Weighted average maturity of new asset must be same or earlier than that of the related disposed obligation RBC will be satisfied. APB of all additional collateral will at least equal the sales proceeds. RBC ‒ Reinvestment balance criteria.0x Base Correlation Increase Rating Sensitivity to Combined Stress – 125% DP Multiplier. or if failing. Satisfaction. or if failing. Rating Sensitivity Median Rating Rating Sensitivity to Default Probability (DP) – 125% DP Multiplier Rating Sensitivity to DP – 150% DP Multiplier Rating Sensitivity to Recovery Rates (RRs) –75% RR Multiplier Rating Sensitivity to RRs –50% RR Multiplier Rating Sensitivity to Correlation – 2. all unscheduled principal proceeds and proceeds from credit-risk and credit-improved sales may be reinvested after the reinvestment period. including after the reinvestment period. The assumed portfolio WAL was also reduced by two years to six years. 75% RR Multiplier. New asset must have same or better S&P rating than that of the related disposed asset S&P CDO Monitor Test N. maintain or improve Satisfaction. maintain or improve Satisfaction. 2013 8 . June 7.A. RBC will be satisfied. or (ii) RBC will be satisfied. credit-risk. APB of additional collateral will at least equal the sales proceeds. or if failing. which is expected to expire in July 2017.A. maintain or improve N. no credit migration was assumed to occur. minimum floating spread.Structured Finance Rating Sensitivity to Spread Compression over Two Years The minimum WAS of the portfolio was reduced from the current covenanted level of 3. Conditions to Reinvestment During Reinvestment Period After Reinvestment Period Type of proceeds: Credit Improved sales and Unscheduled Principal Payments Type of Proceeds: Scheduled/Unscheduled Principal Payments. or if failing. Satisfaction. APB ‒ Aggregate principal balance.A. maintain or improve N.0%. N. Note: Conditions to reinvestment outlined above assume additional assets meet the definition of a collateral obligation as defined in the indenture. 2. maintain or improve (only applies to minimum fixed coupon. or (ii) RBC will be satisfied. The portfolio manager will be permitted to sell defaulted.

Fitch has tested various sensitivity scenarios. surrendered notes will be deemed to remain outstanding for purposes of the OC test calculations until all notes of the applicable class and any notes senior to such class are redeemed. and deferrable interest loans. Fitch assumed an eight-year WAL in the Fitch stressed portfolio. are kept to a minimum.0 years. among others. Consequently. synthetic assets. However. An optional redemption may only occur if the expected liquidation proceeds and/or refinancing proceeds are sufficient to repay the full principal amount and any accrued and unpaid fees. second lien loan.Structured Finance Additional Portfolio Concentrations In addition to the permitted ‗CCC‘ bucket. the minimum WARR would be increased. Limited/Corp. the documents include other notable concentration limitations. June 7. Exposures to fixed-rate assets. industry. Additional Structural Features Repurchased/Surrendered Notes The transaction allows for notes to be surrendered without payment to noteholders. Fitch has assessed the capability of the portfolio manager to manage the transaction. the portfolio guidelines do not permit long-dated assets. Optional Redemption/Refinancing The transaction features standard optional redemption and refinancing provisions that may be undertaken after the two-year noncall period expires at the direction of a majority of the subordinated notes and with written consent of the portfolio manager. in accordance with the terms of the transaction documents. and interest amounts on all classes of notes. 2013 9 . An optional redemption consists of either liquidating the collateral (redemption) or acquiring a loan or issuing new notes (refinancing). expenses. including a scenario evaluating the wide spectrum of minimum WAS requirements permitted by the documents. Management to Dynamic Collateral Quality Tests The minimum WAS. for example. Additionally. and loans from emerging markets are not permitted. The exact combinations of the chosen covenants at any given time are determined based on the satisfaction of a model that is not transparent to the investor. First. Additionally. among others. the introduction of additional portfolio risk should be mitigated with a concurrent tightening of another covenant. and WAL covenants will be selected on or prior to the last day of the ramp-up period and thereafter can be changed by the portfolio manager at any time. The indicative portfolio has a WAL of approximately 6. WARR. The holders of any Avery Point II CLO. to lower the applicable minimum WAS covenant. the key risks of relying on a third-party modeling tool as a monitoring test are the lack of transparency and the potential variability of the tool. and has gained comfort with the manager‘s ability to adequately manage the Avery Point II portfolio. Investments in structured finance assets. as discussed in this report. In Fitch‘s view. while the transaction is initially covenanted to an eight-year maximum WAL that steps down with the passage of time. The concentration limitations and collateral quality tests are further detailed in Appendix D on page 18. Also. the results of the S&P CDO Monitor Test must be maintained or improved upon changes to any of the selected covenanted levels. which highlight the strong performance of the notes in high default and/or low recovery scenarios. Fitch views several factors as mitigating the risk presented by the limited transparency in the collateral quality parameters. and obligor concentrations.

If an EOD has occurred and is continuing. 2013 10 . The weighted average spread over LIBOR or fixed rate of interest of the new class of notes would be less than or equal to the weighted average spread or fixed interest rate of the notes being refinanced. New notes would be issued in the same amount as those being replaced. Fitch‘s credit view on these features is neutral. This feature makes a call operationally easier to execute and provides the affected noteholders the option to remain invested in a familiar transaction. page 18. Events of Default: Undercollateralization An event of default (EOD) will occur if the ratio of the aggregate principal balance of the portfolio (with no haircuts to discounted or ‗CCC‘ obligations but with defaulted obligations treated at market value) to the aggregate outstanding amount of class A notes is less than 102. since repayment in whole of the applicable class of notes is a prerequisite to any redemption or refinancing. which notification will indicate the proposed spread and request for consent for the proposed spread. a majority of the subordinated notes or the portfolio manager may direct the issuer to reduce the spread over LIBOR or fixed rate of interest on any class of notes (repricing). Any noteholders that do not consent to the re-pricing may be required to sell their notes to other parties at a price not less than par plus accrued interest. This transaction also features the possibility for partial redemption via refinancing.Structured Finance class of notes may agree by unanimous consent to decrease the redemption price for that class of notes and receive a lesser amount in exchange for that redeemed class of notes. However. and the notes have been accelerated. Absent any salient credit issues in the portfolio. for the par value EOD test calculation details). Fitch views the re-pricing of the notes as similar to the traditional call features from earlier vintage CLOs. which may have otherwise been called by the equity investor. class A notes have a somewhat controlled exposure to market value losses should an EOD occur (see Appendix D. analyzing the then-current capital structure and portfolio composition. Noteholders will need to provide written response if they do consent to the repricing.5%. if appropriate. Re-Pricing of Notes Following the noncall period. June 7. a lack of response will be deemed a non-consent to the re-pricing. Fitch expects to maintain its rating. a liquidation of all or part of the collateral pool may occur if either the expected liquidation proceeds are sufficient to repay all classes of notes (other than the subordinated notes) in Avery Point II CLO. if applicable. and make a public comment. holders of a supermajority of the controlling class may vote to accelerate the transaction and declare all notes to be immediately due and payable. Fitch notes that this test is less sensitive to early warning signs of portfolio deterioration than if the haircuts to discounted or ‗CCC‘ assets were applied. Limited/Corp. since any reduction in spread of a CLO will result in a lower cost of funding to the CLO and generate more excess spread that could be available in the interest waterfall to pay notes following the failure of a coverage test. The transaction also includes standard provisions for the potential liquidation of the collateral pool after an EOD occurs. Noteholders of the affected class will be notified at least 30 days prior to the proposed repricing date. where either a majority of the subordinated noteholders or the portfolio manager may elect to redeem only one or more classes of notes through a refinancing. Fitch expects to review the terms of any spread reduction. Fitch expects the re-pricing of the notes would be a credit-neutral event at worst and a modest credit-positive at best. If an EOD occurs under this clause. given the voting threshold to direct the sale and liquidation of the collateral. and would have the same priority in the capital structure. As long as the notes remain outstanding.

respectively. Avery Point II CLO. Limited/Corp. The senior management fee is paid prior to class A note interest. Fitch‘s Fund and Asset Manager Rating Group evaluated Sankaty and determined its capabilities satisfactory in the context of ratings assigned to the transaction and investment parameters that govern Sankaty‘s activities.) As compensation for managing the portfolio. Fitch views the asset management fees as being in line with industry averages. which is an important factor in facilitating the replacement of a portfolio manager in the event of the departure of key members of the management team or any other form of wind-down. Hedge Counterparties The floating rate notes and most of the indicative assets reference the same index. (For additional information. while the subordinate management fee will be payable after all note interest is paid and after the reinvestment OC test. June 7. and custodian. Counterparty Risk Portfolio Manager Fitch views Sankaty as satisfactory for the management of Avery Point II. As part of its analysis. pages 1516. as well as the rating requirements of the institutions at which the issuer‘s various bank accounts will be established. see Fitch’s Asset Manager Profile Report in Appendix B. minimizing basis risk. based on the total portfolio size as of the beginning of each collection period. conform to Fitch‘s counterparty criteria for supporting note ratings of ‗AAAsf‘. The transaction will be managed by Sankaty. Requirements for other counterparties. or insolvency of the existing portfolio manager. No hedging strategies are included in the analysis at this time. the portfolio manager will receive senior and subordinated investment management fees of 15 bps and 35 bps per annum. bankruptcy. voting separately.Structured Finance full or if a liquidation is directed by more than two-thirds of each class of notes (other than the subordinated notes). such as the trustee. 2013 11 . Other Counterparties Provisions for the eligible investments to be purchased with intra-period interest and principal collections. collateral administrator. also conform to Fitch criteria.

Avery Point II CLO. The notes are secured by the underlying loan portfolio. they are urged to contact relevant advisers in the relevant jurisdictions. LLC (Asset Manager) Class A Notes Class B1 & B2 Notes Class C Notes Loan Portfolio $500 Million High-Yield Loans Sale of Loans to Issuer Principal and Interest Avery Point II CLO. and ―Global Criteria for Cash Flow Analysis in CDOs. and/or structuring advice from Fitch. special-purpose vehicle organized under the laws of the Cayman Islands and the state of Delaware.fitchratings. June 7. Model. tax. (Issuer) Note Proceeds (for Loan Purchase) Note Proceeds Class D Notes Class E Notes Class F Notes The Bank of New York Mellon (Trustee and Collateral Administrator) Subordinated Notes Disclaimer For the avoidance of doubt. The disclaimer at the foot of this report makes it clear that this report does not constitute legal. and Data Adequacy Criteria Application Key criteria reports used are ―Global Rating Criteria for Corporate CDOs.2. both are available on Fitch‘s website at www. As Fitch has always made clear. Criteria Application. Fitch does not provide legal and/or tax advice or confirm that the legal and/or tax opinions or any other transaction documents or any transaction structures are sufficient for any purpose. 2013 12 . tax.3. and/or structuring advice from Fitch and should not be used or interpreted as legal. Limited/Corp. tax. First. and/or structuring advice. Transaction Structure Sankaty Advisors. in its credit analysis. Model The credit analysis followed a two-step process. in accordance with its corporate CDO criteria. Additional criteria used in Fitch‘s analysis are listed on page 1. Should readers of this report need legal. Limited/Corp. a bankruptcy-remote. the agency analyzed the portfolio‘s default and recovery probabilities using Fitch‘s PCM V2.com. on legal and/or tax opinions provided by transaction counsel. Fitch relies. Payments to the notes will be made quarterly and are expected to begin in January 2014.‖ dated August 2012.Structured Finance Transaction and Legal Structure The notes will be issued by Avery Point II.‖ dated September 2012.

Fitch‘s goal is to ensure that the assigned ratings remain an appropriate reflection of the issued notes‘ credit risk. or po rtions of the portfolio being placed on Rating Watch Negative or Rating Outlook Negative. The rating committee has a similar profile to those for Fitch‘s explicit ratings in terms of the number and seniority of voting members in the quorum.fitchratings. Details of the transaction‘s performance are available to subscribers on Fitch‘s Web site a t www. In addition. Merrill Lynch. Fitch will review and update its credit opinions and recovery ratings through this committee process at least annually. as customized for the transaction‘s specific structural features.  Future changes to Fitch‘s rating criteria. Fenner & Smith Incorporated. June 7. paying particular attention to restructurings and recoveries. The information utilized in Fitch‘s analysis is as of June 7. including assets being downgraded to ‗CCC‘. Fitch analyzed the structure using its proprietary cash flow model. in accordance with the cash flow analysis criteria. Performance Analytics Fitch will monitor the transaction regularly and as warranted by events with a review. Avery Point II CLO.  OC or IC test breach. Pierce. and the public domain. Fitch‘s credit opinions and recovery ratings are produced by the corporate rating group and reviewed by a rating committee.  Portfolio migration. 2013. Limited/Corp.Structured Finance Second. with informal reviews on a quarterly basis and ongoing monitoring of information in the market. 2013 13 .com. Fitch publicly rates 12. Sources of information used to assess these ratings were the transaction documents provided by the arranger. Data Adequacy Fitch utilized publicly available information to provide credit opinions on 11.2% of the underlying public companies. Surveillance analysis is conducted on the basis of the then-current portfolio.1% of the portfolio.  Breach of concentration limitations or portfolio quality covenants. Events that may trigger a review include the following:  Asset defaults.

is sufficient to protect against portfolio default and recovery rate projections in an ‗AAAsf‘ stress scenario. N. The concentration limitations and collateral quality test levels presented to date are within the range of limits set in the majority of recent CLOs.2 100.8 5.25 516. which is comparable to recent CLOs.0 5.5 42. Key Rating Drivers Sufficient Credit Enhancement: Credit enhancement (CE) of 39. N.Structured Finance Appendix A: Transaction Overview Avery Point II CLO. Fitch addressed the impact of the most prominent risk-presenting concentration allowances and targeted test levels in its analysis.0 25. Limited/Corp. Interest Rate (%) 3mL + 1.A. Transaction Structure Sankaty Advisors.A.A./Structured Credit Size (%) 58.0 Size ($ Mil.00 46.S. Limited/Corp. Capital Structure Class A B-1 B-2 C D E F Subordinated Notes Total a U.2% for class A notes.A. CFA +1 212 908-0817 Robert Rhein +1 312 606-2314 Darin Schmalz +1 312 606-2324 Trustee and Collateral Administrator Portfolio Manager Issuer Merrill Lynch. Fenner & Smith Incorporated The Bank of New York Mellon Trust Company Sankaty Advisors.00 13. This is in line with the seniority profile of recent vintage CLOs.2 25. N.1  a Expected Ratings AAAsf NR NR NR NR NR NR NR Expected Rating Outlook Stable N. however. June 7. NR – Not rated.00 36. 2013 14 .A.00 24.10 Residual PMT Frequency Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly Quarterly — Final Maturity July 2025 July 2025 July 2025 July 2025 July 2025 July 2025 July 2025 July 2025 Based on the target par amount of $500. Limited/Corp. Additional Rating Drivers Consistent Portfolio Parameters: The portfolio will be actively managed and bound by concentration limitations and collateral quality tests addressing various loan and structural characteristics.8%.6 8. ‘B/B‒’ Asset Quality: The average credit quality of the indicative portfolio is ‗B/B‒‘.S.9 4.8 7. Limited/Corp.75 3mL + 3. LLC (Asset Manager) Class A Notes Class B1 & B2 Notes Class C Notes Loan Portfolio $500 Million High-Yield Loans Sale of Loans to Issuer Principal and Interest Avery Point II CLO. in addition to excess spread.21 3mL + 2. (Issuer) Note Proceeds (for Loan Purchase) Note Proceeds Class D Notes Class E Notes Class F Notes The Bank of New York Mellon (Trustee and Collateral Administrator) Subordinated Notes Avery Point II CLO. Class A notes are robust against default rates of up to 67.00 26.8% senior secured loans.75 CE (%) 39.A. approximately 91.6 2.55 3.0 4. N. N. ‒ Not applicable. Pierce.A.A.00 million. Issuers rated in the ‗B‘ category denote a highly speculative credit quality. LLC Avery Point II CLO.45 3mL + 4.8 8. Strong Recovery Expectations: The indicative portfolio consists of 95.8 12.6 7.) 304.00 25. N. The level of CE for class A notes is above the average CE of recent CLOs. Four years Two years Swaps Payment Frequency None Quarterly Scheduled Revolving Period Scheduled Non-Call Period Key Information Details: Closing Date Country of Assets and Type Country of SPV Primary Analyst Secondary Analyst Leveraged Finance Analyst Parties: Arranger June 2013 (expected) U.25 3mL + 5. class A notes are unlikely to be affected by the foreseeable level of defaults.11 3mL + 1. N.5% of which have strong recovery prospects or a Fitch Ratings-assigned recovery rating of ‗RR2‘ or higher.0 17. leveraged loans Cayman Islands Erika Tsang.

Investment staff has extensive experience in structuring and negotiating complex transactions involving high-yield assets. all potential issues found by its compliance department are followed up with senior management as necessary. All approvals are made by a committee that includes five Sankaty managing directors and the industry analysts who follow the credit. The investment strategy relies on an approach of fundamental business. Turnover has remained low. Loan portfolios outperformed LSTA in terms of annual gross return and annual default rates from 1999‒2011. good performance track record demonstrated to date. Avery Point II CLO.Structured Finance Appendix B: Fitch’s Asset Manager Profile Report  The Fitch View Sankaty Advisors. New York. Extensive experience level of key personnel within the leveraged loan asset class. debtor-in-possession loans. Sankaty typically retains large percentages of equity classes in the CLOs it manages. and the firm has added 16 investment professionals over the past five years. and a compliance oversight committee. Chicago. Senior managers across the firm average 20-plus years of experience. Company and Staffing           Total committed assets under management totaled approximately $18. and London. oversight. LLC Strengths       Experienced CLO manager that has managed 19 CLOs since 1999. Sankaty employs a total staff of 180. Challenges To maintain CLO performance in more challenging markets. and credit-monitoring policies. June 7. credit default swaps. the chief credit officer. Sankaty is a registered investment adviser with the SEC. each industry team covers approximately 2045 credits. 2013. and competitive analysis. and all internal audit reports are reviewed by Bain‘s senior management. and special situations investments. Portfolio and Risk Management  Sankaty‘s research function is overseen by a 38-member industry research team. mezzanine/private placements. Limited/Corp. Sankaty has a sound oversight function. Invests across the credit universe. credit-based equities. including performing and distressed bank loans and high-yield bonds. Credit Selection Sankaty utilizes a classic buy-and-hold strategy based on fundamental credit analysis and disciplined portfolio monitoring. including the in-house counsel. Robust investment. 2013 15 . 1. mitigated by the long. To maintain stability among key staff and preserve the talent pool amidst increasing industry competition. manages the workout process for distressed investments. structured products. A dedicated distressed/workout team.6 billion as of Jan. including 87 investment professionals and has offices in Boston. industry.

The last test of the system was completed in May 2011 and resulted in no material findings. Scalability of processes is demonstrated through the successful integration of CLOs issued since 1999. Investor reporting is available via password-protected Web access. On a quarterly basis. provide enhanced management/investor reporting. 13-person investor relations team. A comprehensive disaster recovery plan is in place and regularly tested for robustness. prime brokerage. The company has devoted significant resources over the past several years to develop robust business systems and IT infrastructure that support the overall structured product platform. Investment Administration      Dedicated CLO administration resources provide independent trustee reconciliation and indenture compliance monitoring. capital account balances. under which each analytical team provides a monthly sheet with an update of every credit. whereby investors can access quarterly commentary. and fund performance. and shadow the CDO trustee‘s accounting. headed by the chief operating officer. An automated system is in place that reconciles daily all activities and cash balances against Sankaty‘s internal Wall Street office database. manage CDO compliance. a more detailed update is provided by the analytical team on each name covered. to handle all investor requests. and certain valuations. There is a daily reconciliation of cash and weekly reconciliation of securities with custodians and administrators.Structured Finance  There is a thorough investment monitoring process. no core functions are outsourced. Proprietary models and Intex software are used to model CLO structures and cash flow waterfalls. account-specific information. Sankaty also has a dedicated. custody. and operational activities are conducted inhouse. Technology    Robust CDO-specific tools/systems enable Sankaty to analyze trades on a pro forma basis. 2013 16 . Avery Point II CLO. finance. While third-party providers are used for banking/cash management. June 7. and all back-office. Limited/Corp.

the lesser of 50% remaining interest proceeds or amount to cure the test applied as principal proceeds. special redemption or optional redemption. Class F interest Class F deferred interest 18. During the reinvestment period. Limited/Corp. Class C coverage tests 8. Liquidity reserve amount and hedge counterparties 4. at manager's discretion Accrued and unpaid administrative expenses or hedge counterparty payments Subordinated notes up to the incentive interest threshold (12% IRR) Remaining proceeds to be paid: 20% to portfolio manager (as incentive interest) and 80% to subordinated notes 19. after the reinvestment period. second. Taxes. 22. unpaid hedge counterparty payments 20. accrued and unpaid administrative expenses 16. governmental fees and administrative expenses 2. then class C deferred interest. If a tax event. 12. governmental fees. any deferred management fees. 8. During the reinvestment period. if the reinvestment test is not satisfied. Class B interest 6. Avery Point II CLO. any deferred management fees.Structured Finance Appendix C: Priority of Payments Payment Waterfalls Interest Waterfall 1. 7. any interest on management fees deferred by the portfolio manager that remains accrued and unpaid from prior distribution dates. to redeem notes in accordance with the note payment sequence 17. During the reinvestment period. Base management fee 3. then class E deferred interest. 3. Class E deferred interest 15. class E interest. Class D coverage tests 9. the lesser of 50% remaining interest proceeds or amount to cure the test to redeem notes in accordance with the note payment sequence Accrued and unpaid subordinated management fees First. 4. remaining proceeds to be paid: 20% to portfolio manager (as incentive interest) and 80% to subordinated notes 21. then class D deferred interest. 5. subordinated notes up to the incentive interest threshold (12% IRR) 21. to purchase additional collateral using principal proceeds from credit risk obligations. During the reinvestment period. 23. redemption of the notes in accordance with the note payment sequence. to reinvest in additional collateral. if the reinvestment test is not satisfied. class F interest. During the reinvestment period. credit improves obligations or unscheduled principal payments 16. June 7. any interest on deferred management fees. 2. During the reinvestment period. 6. provided the class D coverage tests will be satisfied pro forma 13. Class D deferred interest Class D coverage tests Class E interest 14. 19. accrued and unpaid subordinated management fees. Class A/B coverage tests 7. After the reinvestment period. 9. provided the reinvestment test will be satisfied pro forma 11. at manager's discretion 18. then class F deferred interest. provided the class E coverage test will be satisfied pro forma 14. Class E OC test 15. Class A interest 5. 20. 13. class C interest. After the reinvestment period. or to the subordinated notes in connection with an optional redemption if the secured notes are PIF 11. Class E coverage test 10. class D interest. After the reinvestment period. After the reinvestment period. provided the class C coverage tests will be satisfied pro forma 12. after the reinvestment period. 10. 17. Taxes. 2013 17 . After the reinvestment period. and administrative expenses Base management fee Liquidity reserve amount and hedge counterparties Class A interest Class B interest Class A/B coverage tests Class C interest Class C deferred interest Class C coverage tests Class D interest Principal Waterfall 1. After the reinvestment period.

5% of aggregate principal balance of assets rated ‗CCC+‘ and below: included at MV.0 110. Maximum % of Next Obligor Maximum % of Securities Rated CCC+ or Below by S&P Minimum % of Senior Secured Loans Maximum % of Second Lien Loans.33 114. ACPA (but with no haircuts for ‗CCC+‘ or discounted obligations.5 A equals class A principal amount outstanding. June 7. and Coverage Tests Notable Concentration Limitations Description Maximum % of Each of the Top Five Obligors Outside of the Five Obligors.0 (Declining) Determined by Sankaty and S&P Determined by Sankaty and S&P Coverage Tests (%) Test OC Class A/B Class C Class D Class E IC Class A/B Class C Class D Trigger 124. C equals class C principal amount outstanding. Par Value EOD Par value EOD a 102. Issuers Maximum % of Unfunded Commitments Maximum % of Deferrable and Partial Deferrable Securities Maximum % of Current-Pay Assets Maximum % of Step-Down Obligations Maximum % of Participations Maximum % of DIP Loans Maximum % of Bridge Loans Maximum % of Synthetic Securities Limit 2. or an obligation that is not a senior secured loan rated 'B –' or higher and purchased at a price below the lesser of 75% of its principal balance (or 80% of its principal balance for nonsenior secured loans rated below 'B–'). Limited/Corp. Adjusted Collateral Principal Amount (ACPA) equals aggregate principal balance of assets + principal cash. D.37 Post RP: 101. applicable RR. and class C notes (excluding class C deferred interest) Interest proceeds and expected interest income minus senior expenses. D and E deferred interest) 120. divided by interest due to class A and class B notes Interest proceeds and expected interest income minus senior expenses. Source: Transaction documents. and E + F deferred interest).96 Definitiona ACPA divided by A and B ACPA divided by A + B + C (including class C deferred interest) ACPA divided by A + B + C + D (including class C and D deferred interest) ACPA divided by A + B + C + D + E (including class C. or (ii) MV is above 85% for 30 consecutive days for any collateral obligation that is not a senior secured loan. Senior Unsecured Loans. 2013 18 .S.25 3.5 5 0 Collateral Quality Tests Description Minimum Weighted Average Coupon (%) Minimum Weighted Average Spread (%) Maximum Weighted Average Life (Years) S&P Minimum Weighted Average Recovery Rate Test (%) S&P CDO Monitor Test Limit 7. Maximum Single Industry % (Up to Three Industries) Outside of Top Four Industries. divided by interest due to class A.5 2 5 90 10 2. after which the asset will be included at par. Assets are generally included at their par value.5 5 20 7. lower of MV and RR. class B.5 15 12 10 10 40 20 10 0 2. B equals class B principal amount outstanding. defaulted obligations treated at MV) divided by the sum of the class A principal amount outstanding. D equals class D principal amount outstanding. class B. except for: Defaulted assets: if defaulted < 30 days. Discount obligations: are generally defined as either senior secured loan rated ‗B−‗ or higher and purchased at a price below the lesser of 80% of par (or 85% of par for senior secured loans rated below ‗B−‗).42 103. RP ‒ Rein vestment Period.9 8. divided by interest due to class A. Senior Secured Notes or Bonds Maximum % of Letters of Credit Maximum Top Industry % (One Industry) Outside of Top Industry. Maximum Single Industry % Maximum % of Fixed-Rate Assets Maximum % of Covenant-Lite Loans Maximum % of Non-U. Excess of 7. E equals class E principal amount outstanding.0 105.0 Interest proceeds and expected interest income minus senior expenses. MV ‒ Market value. discount obligations are included at purchase price until (i) MV is above 90% for 30 consecutive days for senior secured loans.15 108. Avery Point II CLO. if defaulted > 30 days and < 3 years.87 ACPA divided by A + B + C + D + E + F (including class C. RR ‒ Recovery rate.Structured Finance Appendix D: Collateral Quality Tests. Concentration Limitations. class C and class D notes (excluding class C and D deferred interest) Reinvestment OC Class F During RP: 102.

Ultimately.COM/UNDERSTANDINGCREDITRATINGS. including independent auditors with respect to financial statements and attorneys with respect to legal and tax matters. and underwriters for rating securities. Such fees are expected to vary from US$10. Inc. the suitability of any security for a particular investor. sell. access to the management of the issuer and its advisers. actuarial reports. Fitch will rate all or a number of issues issued by a particular issuer. The information in this report is provided ―as is‖ without any representation or warranty of any kind. Further.FITCHRATINGS.000 to US$750. This opinion is based on established criteria and methodologies that Fitch is continuously evaluating and updating. Fitch is not engaged in the offer or sale of any security. June 7. other obligors. Ratings do not comment on the adequacy of market price. Fitch conducts a reasonable investigation of the factual information relied upon by it in accordance with its ratings methodology.500. 2013 19 . and its subsidiaries. The manner of Fitch‘s factual investigation and the scope of the third-party verification it obtains will vary depending on the nature of the rated security and its issuer. Fax: (212) 480-4435. the issuer. and obtains reasonable verification of that information from independent sources. the availability of independent and competent third-party verification sources with respect to the particular security or in the particular jurisdiction of the issuer. the opinions stated therein. One State Street Plaza. Due to the relative efficiency of electronic publishing and distribution. The individuals are named for contact purposes only. Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. Fitch does not provide investment advice of any sort. Reproduction or retransmission in whole or in part is prohibited except by permission. COMPLIANCE. or insured or guaranteed by a particular insurer or guarantor. engineering reports. IN ADDITION. despite any verification of current facts. The assignment. unless such risk is specifically mentioned. verified and presented to investors by the issuer and its agents in connection with the sale of the securities. FITCH'S CODE OF CONDUCT. Ratings are not a recommendation to buy. to the extent such sources are available for a given security or in a given jurisdiction. for a single annual fee. AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. or the securities laws of any particular jurisdiction. the issuer and its advisers are responsible for the accuracy of the information they provide to Fitch and to the market in offering documents and other reports.COM. All Fitch reports have shared authorship. agreedupon procedures letters. Limited/Corp. Users of Fitch‘s ratings should understand that neither an enhanced factual investigation nor any third-party verification can ensure that all of the information Fitch relies on in connection with a rating will be accurate and complete.Telephone: 1-800-753-4824. Avery Point II CLO. AFFILIATE FIREWALL.000 (or the applicable currency equivalent). NY 10004. The rating does not address the risk of loss due to risks other than credit risk. As a result. AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE CODE OF CONDUCT SECTION OF THIS SITE. Ratings may be changed or withdrawn at anytime for any reason in the sole discretion of Fitch. the Financial Services and Markets Act of 2000 of the United Kingdom.000 to US$1. Individuals identified in a Fitch report were involved in. and a variety of other factors. publication. the availability of pre-existing third-party verifications such as audit reports. is solely responsible for a rating. 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