OREANDA-NEWS. Fitch Ratings has assigned Orwell Park CLO Limited's notes the following ratings:

Class A-1: 'AAAsf'; Outlook Stable
Class A-2: 'AA+sf'; Outlook Stable
Class B: 'Asf'; Outlook Stable
Class C: 'BBBsf'; Outlook Stable
Class D: 'BB+sf'; Outlook Stable
Class E: 'Bsf'; Outlook Stable
Subordinated notes: not rated

Orwell Park CLO Limited is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the notes issue will be used to purchase a EUR400m portfolio of mostly European leveraged loans and bonds. The portfolio is managed by Blackstone/GSO Debt Funds Management Europe Limited. The reinvestment period is scheduled to end in 2019.

KEY RATING DRIVERS
'B'/'B-' Portfolio Credit Quality
Fitch places the average credit quality of obligors in the 'B'/'B-' range. The agency has public ratings or credit opinions on all but one of the obligors in the identified portfolio. The covenanted maximum Fitch weighted average rating factor (WARF) for assigning final ratings is 34. The WARF of the identified portfolio is 32.8.

High Recovery Expectations
The portfolio will comprise a minimum 90% senior secured obligations. The covenanted minimum weighted average recovery rate (WARR) for assigning final ratings is 67.5%. The WARR of the identified portfolio is 72.0%.

Diversified Asset Portfolio
Unlike other CLO 2.0s, this transaction contains a covenant that limits the top 10 obligors in the portfolio to 20% of the portfolio balance. This ensures that the asset portfolio will not be exposed to excessive obligor concentration.

Limited Interest Rate Risk Exposure
Fitch modelled a 10%, 5% and a 0% fixed-rate bucket in its analysis, and the rated notes can withstand the interest rate mismatch associated with each scenario.

Participation Agreement
At closing, the issuer entered into a participation agreement with Blackstone/GSO Corporate Funding Limited (the seller) regarding the initial portfolio assets. The seller has granted the issuer a fixed charge over the initial portfolio assets while the title is being transferred to the issuer. A fixed charge over such financial assets is difficult to establish, given the lack of control. However, Fitch received a legal opinion that the fixed charge in this case is likely to be upheld, given the control over the accounts of the seller.

TRANSACTION SUMMARY
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.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

DATA ADEQUACY
The majority of the underlying assets have ratings or credit opinions from Fitch. Fitch has relied on the practices of the relevant Fitch groups to assess the asset portfolio information.

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

SOURCES OF INFORMATION
The information below was used in the analysis.
- Identified portfolio data provided by the arranger, BNP Paribas as at 12 May 2015

REPRESENTATIONS AND WARRANTIES
A comparison of the transaction's Representations, Warranties & Enforcement Mechanisms to those typical for the asset class is available by accessing the appendix that accompanies the initial new issue report (see Orwell Park CLO Limited Representations and Warranties - New Issue Appendix, dated 4th of June at www.fitchratings.com). In addition refer to the special report "Representations, Warranties, and Enforcement Mechanisms in Global Structured Finance Transactions" dated 26 March 2015 available on the Fitch website.