OREANDA-NEWS. Fitch Ratings has affirmed Holland Park CLO Limited as follows:

EUR291.875m class A-1 affirmed at 'AAAsf'; Outlook Stable
EUR58.75m class A-2 affirmed at 'AAsf'; Outlook Stable
EUR30m class B affirmed at 'A+sf'; Outlook Stable
EUR23.75m class C affirmed at 'BBB+sf'; Outlook Stable
EUR37.5m class D affirmed at 'BB+sf'; Outlook Stable
EUR17.5m class E affirmed at 'B-sf'; Outlook Stable
EUR54.25m subordinated notes: not rated

Holland Park CLO Limited is a EUR500m arbitrage cash flow collateralised loan obligation (CLO) of European leveraged loans and bonds. The portfolio will be managed by Blackstone/GSO Debt Funds Management Europe Limited (DFME), an affiliate of The Blackstone Group LP. The transaction features a four-year reinvestment period.

KEY RATING DRIVERS
The affirmation reflects the transaction's performance, which is in line with Fitch's expectations. All portfolio quality tests and portfolio profile tests are passing.

The transaction became effective as of July 2014. Between closing in April 2014 and the report date as of February 2015, the manager made EUR1.7m from trading. This marginally increased the credit enhancement for all notes, for the class A-1 notes to 41.82% from 41.63% at closing and for the most junior class E notes to 8.44% from 8.13%.

The majority of underlying assets (89.5% of the portfolio) are rated in the 'B' category and 99.4% of the assets are senior secured. There are no 'CCC' or below rated assets and no defaulted assets. According to the January 2015 report, the largest industry is healthcare with 8.92%. The largest country is France, contributing to 20.44% of the portfolio, followed by the US with 17.12%. European peripheral exposure is presented by Spain and Italy which make up 6.36% of the performing portfolio and cash balance. The largest single obligor is 2.26% with a trigger at 3% of the portfolio. There are no fixed rate assets.

RATING SENSITIVITIES
Fitch has incorporated two stress tests to simulate the ratings' sensitivity to changes of the underlying assumptions.

A 25% increase in the expected obligor default probability would lead to a downgrade of two to three notches for the rated notes. A 25% reduction in the expected recovery rates would lead to a downgrade of three to four notches for the rated notes.