OREANDA-NEWS.  Fitch Ratings has affirmed Phoenix Park CLO Limited as follows:

EUR236m class A-1 affirmed at 'AAAsf'; Outlook Stable
EUR47m class A-2 affirmed at 'AA+sf'; Outlook Stable
EUR24m class B affirmed at 'Asf'; Outlook Stable
EUR23m class C affirmed at 'BBBsf'; Outlook Stable
EUR24m class D affirmed at 'BB+sf'; Outlook Stable
EUR14m class E affirmed at 'B-sf'; Outlook Stable
EUR45.3m subordinated notes: not rated

Phoenix Park CLO Limited is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the notes were used to purchase a EUR400m portfolio of European leveraged loans and bonds. The portfolio is managed by Blackstone/GSO Debt Funds Management Europe Limited. The transaction features a four-year reinvestment period.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance. There have been no reported defaults and the transaction is currently passing all portfolio profile and collateral quality tests. Credit enhancement has increased marginally for all rated notes and the transaction is EUR1.5m above target par.

On the effective date, the transaction increased the maximum weighted average rating factor to 34.5 from 34, the minimum weighted average spread to 4.1% from 4% and reduced the minimum weighted average recovery rate to 65.8% from 69.35%. The transaction covenants represent a compliant matrix point and the current levels are within the thresholds. Most notably the weighted average recovery rate is passing the minimum covenant by 3.6% and the weighted average rating factor is 1.72 below the maximum covenant.

The portfolio has experienced positive rating migration compared with the target portfolio at closing. Based on Fitch's classification, debt from the US, France and Germany represents 53.5% of the portfolio and the top five industries represent 47.14%. Peripheral exposure, defined as exposure to countries with a Country Ceiling below 'AAA', accounts for 8.4% of the portfolio and resides within Italy and Spain, within the restriction of 10%. Floating rate assets currently represent 100% of the collateral balance.

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 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
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 Virtus Partners 20 May 2015
- Transaction reporting provided by Virtus Partners 20 May 2015