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

EUR235m class A-1 affirmed at 'AAAsf'; Outlook Stable
EUR40m class A-2 affirmed at 'AA+sf'; Outlook Stable
EUR37m class B affirmed at 'Asf'; Outlook Stable
EUR21m class C affirmed at 'BBBsf'; Outlook Stable
EUR23.5m class D affirmed at 'BBsf'; Outlook Stable
EUR12m class E affirmed at 'B-sf'; Outlook Stable
EUR44.6m subordinated notes: not rated

Herbert Park B.V. (the issuer) is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the issuance of 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 reinvestment period is scheduled to end in 2017.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance since the last review on 29 July 2014. The transaction is currently passing all portfolio profile and collateral quality tests, there have been no reported defaults and credit enhancement has increased for all rated notes. The transaction has significantly increased par and is currently EUR4.4m above target par, compared with EUR1.7m at last review.

Since the last review the transaction has moved to the six-year weighted average life matrix. As a result, the maximum weighted average rating factor covenant has increased to 34 from 33, the minimum weighted average spread has increased to 4.25% from 4.00% and the minimum weighted average recovery rate has fallen to 68.25% from 69.50%. 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 1.22%.

The transaction has increased par by EUR2.7m since last review primarily due to the sale of equity. This has resulted in improved credit enhancement for all rated notes, most significantly for the class D and E notes, with an approximate 1% increase each.

The portfolio has experienced positive rating migration since the last review. Industry concentration has remained relatively constant and country concentration has fallen. Based on Fitch's classification, debt from the US, UK and France represent 51% of the portfolio with the top five industries representing 43%. Peripheral exposure, defined as exposure to countries with a Country Ceiling below 'AAA', accounts for 8.03% 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 two notches for the rated notes. A 25% reduction in the expected recovery rates would lead to a downgrade of up to two 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 USbank 12 May 2015
- Transaction reporting provided by USbank 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 (Herbert Park BV - Appendix, dated 12 September 2013 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.