OREANDA-NEWS.  Fitch Ratings has affirmed Harvest CLO VIII Limited, as follows:

EUR243.0m Class A: affirmed at 'AAAsf'; Outlook Stable
EUR47.0m Class B: affirmed at 'AAsf'; Outlook Stable
EUR27.0m Class C: affirmed at 'Asf'; Outlook Stable
EUR21.0m Class D: affirmed at 'BBBsf'; Outlook Stable
EUR31.0m Class E: affirmed at 'BBsf'; Outlook Stable
EUR10.0m Class F: affirmed at 'Bsf'; Outlook Stable
EUR46.0m Subordinated Notes: not rated

Harvest CLO VIII Ltd is an arbitrage cash flow CLO. Net proceeds from the issuance of the notes were used to purchase a EUR412m portfolio of European leveraged loans and bonds. The portfolio is managed by 3i Debt Management Investments Limited. The reinvestment period is scheduled to end in 2018.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance since the deal closed in March 2014.

The deal went effective on 20 June 2014. As of January 2015 the transaction had built par and total assets exceeded the target par of EUR412m by EUR2m.

There are no defaulted assets and no assets rated 'CCC' by Fitch in the portfolio. The weighted average recovery rate as reported in January 2015 was 66.1%. All portfolio profile tests and Fitch's collateral quality tests are passing.

Senior secured assets make up 95.7% of the portfolio, with the remainder consisting of senior unsecured loans. Peripheral exposure is to Spain (2.2%) and Italy (2.4%). The three largest country exposures are to the US (21.3%), UK (20.9%) and France (14.8%). The three largest industries the portfolio is exposed to are healthcare (13.4%), industrial/manufacturing (11.8%) and business services (12.1%).

All overcollateralisation (OC) tests are passing with comfortable cushions and interest coverage tests are also passing. The cushion on the junior OC test is currently 4.5%, close to its effective date level of 4.2%.

RATING SENSITIVITIES
Since the loss rates for the current portfolio are below those modelled for the stress portfolio; the sensitivities shown in the new issue report still apply for this transaction.