The swap agreement between the counterparty in the Pro Rata Funding synthetic CLO and Citibank has been amended to reduce the transaction's swap notional amount by US$75m. The transaction is currently under-invested in reference obligations and therefore the swap notional is currently under-utilised.

As a result of this amendment, certain deal expenses that are owed under the swap confirmation will be reduced, including the retained calculation amount, the base reference portfolio manager fee amount, the subordinate reference portfolio manager fee amount and the aggregate unfunded amount.

The amendment received the consent of a majority of each class of noteholders, according to Moody's. The rating agency has determined that the amendment to the portfolio swap transaction and performance of the activities contemplated therein will not cause the current ratings of the notes to be reduced or withdrawn.