OREANDA-NEWS. July 14, 2015. Fitch Ratings has assigned Carlyle Global Market Strategies Euro CLO 2015-2 Limited's notes the following expected ratings:

Class A-1 A: 'AAA(EXP)sf'; Outlook Stable
Class A-1 B: 'AAA(EXP)sf'; Outlook Stable
Class A-2 A: 'AA+(EXP)sf'; Outlook Stable
Class A-2 B: 'AA+(EXP)sf; Outlook Stable
Class B: 'A(EXP)sf'; Outlook Stable
Class C: 'BBB(EXP)sf'; Outlook Stable
Class D: 'BB(EXP)sf'; Outlook Stable
Class E: 'B-(EXP)sf'; Outlook Stable
Subordinated notes: not rated

Carlyle Global Market Strategies Euro CLO 2015-2 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 CELF Advisors LLP. 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 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 33.1.

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 66%. The WARR of the identified portfolio is 72.1%.

Diversified Asset Portfolio
The 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
Between 0% and 5% of the portfolio can be invested in fixed rate assets, while fixed rate liabilities account for 4.3% of the rated note balance. Therefore, the transaction is partially hedged against rising interest rates.

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 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
All 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.
- Loan-by-loan data provided by the arranger as at 24 June 2015
- Preliminary offering circular provided by the arranger as at 25 June 2015

Key Rating Drivers and Rating Sensitivities are further described in the accompanying pre-sale report, which will shortly be available at www.fitchratings.com.