OREANDA-NEWS. Fitch Ratings has affirmed all ratings of CVC Cordatus Loan Fund III Limited as follows:

EUR235.5m class A-1 notes affirmed at 'AAAsf', Outlook Stable
EUR21.1m class A-2 notes affirmed at 'AAAsf', Outlook Stable
EUR38m class B-1 notes affirmed at 'AAsf', Outlook Stable
EUR14.5m class B-2 notes affirmed at 'AAsf', Outlook Stable
EUR14.7m class C-1 notes affirmed at 'A+sf', Outlook Stable
EUR9.4m class C-2 notes affirmed at 'A+sf', Outlook Stable
EUR21.6m class D notes affirmed at 'BBB+sf', Outlook Stable
EUR33.8m class E notes affirmed at 'BBsf', Outlook Stable
EUR13.5m class F notes affirmed at 'B-sf', Outlook Stable

CVC Cordatus Loan Fund is an arbitrage cash flow CLO. Net proceeds from the the notes' issue were used to purchase a EUR436.5m portfolio of mainly European leveraged loans and bonds.

KEY RATING DRIVERS
The affirmation reflects the transaction's performance, which is in line with Fitch's expectations. Since closing in May 2014, all notes have experienced marginal increases in credit enhancement as a result of trading increasing the par value.

The transaction went effective as of October 2014 and will remain in its reinvestment period until 2018, during which the manager can purchase and sell assets as long as collateral quality tests, portfolio profile tests and coverage tests are satisfied or if failing, maintained or improved.

According to investor reporting, the transaction is currently passing all portfolio profile and coverage tests. The current weighted average rating factor is 31.65, the weighted average spread is currently 4.45%, the weighted average coupon is currently 6.05% and the weighted average recovery rate is currently 62.5%.

The majority of the assets are rated in the 'B' category and are well diversified with 102 assets from 79 obligors. The largest industry is food, beverage and tobacco at 12%, followed by telecommunication and healthcare. The largest country exposure is to France with just over 20%, followed by the UK with 18% and Germany with just below 17%. European peripheral exposure is represented by Spain and Italy and remains around 9%, close to a maximum allowed exposure of 10%. There are no assets rated 'CCC' by Fitch in the portfolio.

RATING SENSITIVITIES
As 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. Detailed sensitivity analysis is available in the new issue report dated 9 May 2014 at www.fitchratings.com.

DATA ADEQUACY
Fitch has checked the consistency and plausibility of the information it has received about performance of the asset pool and the transaction. There were no findings that were material to this analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of the ongoing monitoring.

Prior to the transaction closing, Fitch did not review the results of a third party assessment conducted on the asset portfolio information.

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