OREANDA-NEWS. Fitch Ratings has affirmed Carlyle Global Market Strategies Euro CLO 2014-2 Limited as follows:

EUR234.6m class A-1 affirmed at 'AAAsf'; Outlook Stable
EUR31.4m class A-2A affirmed at 'AA+sf'; Outlook Stable
EUR11.6m class A-2B affirmed at 'AA+sf'; Outlook Stable
EUR26m class B affirmed at 'A+sf'; Outlook Stable
EUR21m class C affirmed at 'BBB+sf'; Outlook Stable
EUR27.3m class D affirmed at 'BBsf'; Outlook Stable
EUR11m class E affirmed at 'B-sf'; Outlook Stable
EUR39.1m subordinated notes: not rated

Carlyle Global Market Strategies Euro CLO 2014-2 Limited is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the issuance of the notes were used to purchase a EUR391m portfolio of European leveraged loans and bonds. The portfolio is managed by CELF Advisors LLP (part of The Carlyle Group LP). The transaction features a four-year reinvestment period.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance over the past 12 months. Credit enhancement has increased marginally for all rated notes and there have been no reported defaults. The transaction is EUR0.4m above target par and is currently passing all portfolio profile tests.

Since closing the transaction has increased the maximum weighted average rating factor and minimum weighted average spread while reducing the minimum weighted average recovery rate. The transaction covenants represent a compliant matrix point and the current levels are within the thresholds. The transaction has a significant cushion on the weighted average recovery rate and the weighted average rating factor has recently improved. The weighted average spread remains above its covenant and the weighted average life has a moderate cushion of 1.6 years.

The portfolio is of lower rating quality than the target portfolio, but is more diverse with lower country and industry concentration. Peripheral exposure, defined as exposure to countries with a Country Ceiling below 'AAA', is 8.6% and is to Italy and Spain. This is 2.6% above the target portfolio but within the 10% restriction.

RATING SENSITIVITIES
A 25% increase in the expected obligor default probability would lead to a downgrade of up to three notches for the rated notes. A 25% reduction in the expected recovery rates would lead to a downgrade of up to four 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
Fitch has checked the consistency and plausibility of the information it has received about the 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 its ongoing monitoring.

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.

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.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by State Street Global Services as at 7 April 2015.
- Transaction reporting provided by State Street Global Services as at 7 April 2015.