OREANDA-NEWS. Fitch Ratings has assigned BNPP IP Euro CLO 2015-1 B.V.'s notes final ratings as follows:

Class A-1: 'AAAsf'; Outlook Stable
Class A-2: 'AAAsf'; Outlook Stable
Class B-1: 'AAsf'; Outlook Stable
Class B-2: 'AAsf'; Outlook Stable
Class C: 'A+sf'; Outlook Stable
Class D: 'BBBsf'; Outlook Stable
Class E: 'BBsf'; Outlook Stable
Class F: 'B-sf'; Outlook Stable
Subordinated notes: not rated

BNPP IP Euro CLO 2015-1 B.V. is an arbitrage cash flow collateralised loan obligation (CLO).

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality
Fitch assesses the average credit quality of obligors in the 'B'/'B-' range. The agency has public ratings or credit opinions on all the obligors in the identified portfolio. The weighted average rating factor (WARF) of the identified portfolio was 32.5 as of January 2015.

High Recovery Expectations
The portfolio comprises a minimum of 95% senior secured loans. Recovery prospects for these assets are typically more favourable than for second-lien, unsecured and mezzanine loans. Fitch has assigned Recovery Ratings to the entire identified portfolio. The weighted average recovery rate (WARR) of the identified portfolio was 69.3% as of January 2015.

Payment Frequency Switch
The notes pay quarterly while the portfolio assets can reset to a semi-annual or annual basis. The transaction has an interest-smoothing account, but no liquidity facility. Liquidity stress for the non-deferrable class A-1, A-2, B-1 and B-2 notes, stemming from a large proportion of assets resetting to a semi-annual basis in any one quarterly period, is addressed by switching the payment frequency on the notes to semi-annual in such a scenario, subject to certain conditions.

Limited Interest Rate Risk
The transaction is only allowed to invest in floating-rate assets. This aligns the portfolio yield with the cost of the floating-rate liabilities as fixed-rate liabilities only represent approximately 6% of the target par amount. The presence of fixed rate liabilities partially lowers the impact of rising interest rates on the cost of liabilities.

TRANSACTION SUMMARY

Net proceeds from the notes issue are being used to purchase a EUR300m portfolio of mostly European leveraged loans. The portfolio is managed by BNP Paribas Asset Management SAS. The reinvestment period is 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

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

The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognized Statistical Rating Organizations 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.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying NIR report, which will shortly be available at www.fitchratings.com.