OREANDA-NEWS. Fitch Ratings has affirmed Jubilee CLO 2014-XII B.V., as follows:

EUR302m Class A: affirmed at 'AAAsf'; Outlook Stable
EUR51m Class B1: affirmed at 'AA+sf'; Outlook Stable
EUR5m Class B2: affirmed at 'AA+sf'; Outlook Stable
EUR26.5m Class C: affirmed at 'A+sf'; Outlook Stable
EUR24.9m Class D: affirmed at 'BBB+sf'; Outlook Stable
EUR36.9m Class E: affirmed at 'BB+sf'; Outlook Stable
EUR19m Class F: affirmed at 'B-sf'; Outlook Stable
EUR47.8m subordinated notes: not rated

Jubilee CLO 2014-XII B.V. is an arbitrage cash flow CLO. Net proceeds from the issuance of the notes were used to purchase a EUR498.75m portfolio of European leveraged loans and bonds. The portfolio is managed by Alcentra Limited.

KEY RATING DRIVERS
The affirmation reflects the stable performance of the transaction, which is in line with Fitch's expectations.

The transaction has been actively trading since it closed in May 2014 and asset manager Alcentra has increased the market value of the portfolio. The transaction is currently 0.8% above the target par of EUR498.75m. This has resulted in an increase of credit enhancement levels across the transaction. For example at the senior level the class A note's credit enhancement has risen to 39.9% from 39.5%.

The transaction is failing its weighted average recovery rate (WARR) test. The result is 66.3%, which is under the trigger level of 67.7%. This means future reinvestment must now either maintain or improve the result of the test until the transaction is passing the test again. The transaction is passing all other tests in collateral quality, coverage and portfolio profile.

The transaction is passing the weighted average rating factor test at 31.97, only three basis points underneath the maximum limit of 32. As a result even minor negative rating migration in the portfolio may cause the test to fail. If this occurs, as with the WARR test, the manager would be required to buy higher-quality assets to maintain or improve the test result or move to a different set of thresholds.

The transaction has significant buffer on its weighted average life test at 5.4 years, under the trigger level of 7.07 years.

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. Detailed sensitivity analysis is available in the new issue report dated 15 May 2014 at www.fitchratings.com.