OREANDA-NEWS. Fitch Ratings has assigned CVC Cordatus Loan Fund V Limited notes expected ratings, as follows:

Class A-1: 'AAA(EXP)sf'; Outlook Stable
Class A-1: 'AAA(EXP)sf'; Outlook Stable
Class B-1: 'AA(EXP)sf'; Outlook Stable
Class B-2: 'AA(EXP)sf'; Outlook Stable
Class C: 'A(EXP)sf'; Outlook Stable
Class D: 'BBB(EXP)sf'; Outlook Stable
Class E: 'BB(EXP)sf'; Outlook Stable
Class F: 'B-(EXP)sf'; Outlook Stable
Subordinated notes: not rated

The assignment of the final ratings is contingent on the receipt of final documents conforming to information already reviewed.

CVC Cordatus Loan Fund V Limited is an arbitrage cash flow collateralised loan obligation.

KEY RATING DRIVERS
Average Portfolio Credit Quality
Fitch expects the average credit quality of obligors to be in the 'B' category. Fitch has credit opinions on all obligors in the indicative portfolio. The covenanted minimum Fitch weighted average rating factor (WARF) for assigning expected ratings is 34.0. The WARF of the identified portfolio is 33.8.

High Recovery Expectation
At least 90% of the portfolio will comprise senior secured obligations. Fitch views the recovery prospects for these assets as more favourable than for second-lien, unsecured and mezzanine assets. Fitch has assigned Recovery Ratings to all of the assets in the identified portfolio. The covenanted minimum weighted average recovery rate (WARR) for assigning expected ratings is 66.0%. The WARR of the identified portfolio is 66.6%.

Unhedged Non-euro Assets Exposure
The transaction is allowed to invest up to 2.5% of the portfolio in non-euro-denominated assets. Unhedged non-euro assets are limited to a maximum exposure of 2.5% of the portfolio subject to principal haircuts. The manager can only invest in unhedged assets if, after the applicable haircuts, the aggregate balance of the assets is above the reinvestment target par balance.

Partial Interest Rate Hedge
Between 0% and 10% of the portfolio can be invested in fixed rate assets, while fixed rate liabilities account for 3.7%. Therefore, the transaction is partially hedged against rising interest rates.

TRANSACTION SUMMARY
Net proceeds from the notes will be used to purchase a EUR450m portfolio of European leveraged loans. The portfolio will be managed by CVC Credit Partners Group Limited. The transaction will have a four year re-investment period scheduled to end in 2019.

The transaction documents may be amended subject to rating agency confirmation or noteholder approval. Where rating agency confirmation relates to risk factors, Fitch will analyse the proposed change and may provide a rating action commentary if the change has a negative impact on the ratings. Such amendments may delay the repayment of the notes as long as Fitch's analysis confirms the expected repayment of principal at the legal final maturity.

If in the agency's opinion the amendment is risk-neutral from a rating perspective Fitch may decline to comment. Noteholders should be aware that confirmation is considered to be given if Fitch declines to comment.

RATING SENSITIVITIES
Key Rating Drivers and Rating Sensitivities are further described in the accompanying pre-sale report, which will shortly be available at www.fitchratings.com.