OREANDA-NEWS. Fitch Ratings has assigned Bosphorus CLO II, Designated Activity Company notes final ratings, as follows:

EUR163.6m class A: 'AAAsf'; Outlook Stable
EUR30.5m class B: 'AA+sf'; Outlook Stable
EUR22.2m class C: 'Asf'; Outlook Stable
EUR13.9m class D: 'BBBsf'; Outlook Stable
EUR16.2m class E: 'BBsf'; Outlook Stable
EUR8m class F: 'Bsf'; Outlook Stable
EUR23.3m subordinated notes: not rated

Bosphorus CLO II, Designated Activity Company is a cash flow collateralised loan obligation. Net proceeds from the notes are being used to purchase a EUR275m portfolio of European leveraged loans and bonds. The portfolio is managed by Commerzbank AG.

KEY RATING DRIVERS
Limited Reinvestment Period
The portfolio is 100% ramped up at closing. The manager is only allowed to reinvest unscheduled principal proceeds for one year. Sales proceeds from credit-impaired and defaulted obligations are not allowed to be reinvested and will be used to redeem the notes.

Higher Obligor Concentration
The transaction is exposed to higher obligor concentration than other CLO transactions, with the portfolio consisting of 70 assets from 54 obligors. The largest obligor represents 2.4% and the 10 largest obligors represent 24.3% of the portfolio notional.

Shorter Risk Horizon
The transaction's weighted average life (WAL) is 5.3 years and the maximum WAL covenant is set at 5.8 years. The shorter risk horizon compared with other CLO transactions means the transaction is less vulnerable to underlying price movements and economic and asset performances.

Portfolio Credit Quality
The average credit quality of obligors is in the 'B' category, with the weighted average rating factor of the portfolio at 33.48. Fitch has credit opinions or public ratings on 100% of the identified portfolio. There are no 'CCC'-rated assets in the portfolio.

High Recovery Expectations
The portfolio comprises senior secured loans and bonds. Recovery prospects for these assets are typically more favourable than for second-lien, unsecured, and mezzanine assets. Fitch has assigned Recovery Ratings for all assets in the portfolio. The weighted average recovery rate of the portfolio is 68.64%.

Class F Turbo Feature
Twenty-five per cent of the interest proceeds remaining after payment of the subordinated management fee are diverted from the interest waterfall to pay down the class F notes on each payment. The effectiveness of this turbo feature is enhanced on the first payment date by the presence of the first period interest reserve account.

RATING SENSITIVITIES
A 25% increase in the obligor default probability could lead to a downgrade of up to three notches for the rated notes while a 25% reduction in expected recovery rates could lead to a downgrade of up to three notches for the rated notes.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant Fitch groups and/or other rating agencies to assess the asset portfolio information.

Overall, Fitch's assessment of the asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the arranger as at 14 April 2016
- Offering circular provided by the arranger as at 27 April 2016
- Transaction documents provided by the arranger as at 25 April 2016.

REPRESENTATIONS AND WARRANTIES
A description of the transaction's Representations, Warranties and Enforcement Mechanisms ("RW&Es") that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering documents for EMEA leveraged finance collateralised loan obligations (CLOs) typically do not include RW&Es that are available to investors and that relate to the asset pool underlying the CLO. Therefore, Fitch credit reports for EMEA leveraged finance CLO offerings will not typically include descriptions of RW&Es.