OREANDA-NEWS. Fitch Ratings has assigned Newhaven II CLO, Designated Activity Company notes final ratings, as follows:

EUR241.2m class A: 'AAAsf'; Outlook Stable
EUR37.25m class B-1: 'AAsf'; Outlook Stable
EUR9m class B-2: 'AAsf'; Outlook Stable
EUR21.25m class C: 'Asf'; Outlook Stable
EUR19.75m class D: 'BBBsf'; Outlook Stable
EUR26.25 class E: 'BBsf'; Outlook Stable
EUR12.95m class F: 'B-sf'; Outlook Stable
EUR49.4m subordinated notes: not rated

Newhaven II CLO, Designated Activity Company (the issuer) is a cash flow collateralised loan obligation (CLO).

KEY RATING DRIVERS
'B'/'B-' Portfolio Credit Quality
Fitch expects the average credit quality of obligors to be in the 'B' category. Fitch has credit opinions or public ratings on all assets but two in the identified portfolio. The weighted average rating factor of the identified portfolio is 32.7.

High Recovery Expectations
At least 90% of the portfolio will comprise senior secured obligations. Recovery prospects for these assets are typically more favourable than for second-lien, unsecured and mezzanine assets. Fitch has assigned Recovery Ratings to all but two assets in the identified portfolio. The weighted average recovery rating of the identified portfolio is 69.5%.

Diversified Asset Portfolio
The transaction contains a covenant that limits the top 10 obligors in the portfolio to 18% of the portfolio balance. This ensures that the asset portfolio will not be exposed to excessive obligor concentration.

Limited Interest Rate Risk
Fixed-rate assets cannot exceed 10% of the portfolio while fixed-rate liabilities account for 2.25% of the target par balance. Therefore, the transaction is partially hedged against rising interest rates.

Unhedged Non-Euro Assets Exposure
The manager may invest up to 2.5% in unhedged non-euro assets. Any unhedged asset in excess of the allowed limits or held for longer than 90 days after settlement will receive a zero balance for the calculation of the OC tests. Unhedged assets may only be purchased if after a haircut of 50% the portfolio notional is still above target par.

TRANSACTION SUMMARY
Net proceeds from the notes are being used to purchase a EUR400m portfolio of European leveraged loans and bonds. The portfolio is managed by Sankaty Advisors Ltd. The reinvestment period is scheduled to end in 2020.

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 could lead to a downgrade of up to two notches for the rated notes while a 25% reduction in expected recovery rates could 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
The majority of the underlying assets have ratings or credit opinions from Fitch and/or other Nationally Recognised Statistical Rating Organisations 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 asset pool information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REPRESENTATIONS AND WARRANTIES
A description of the transaction's Representations, Warranties and Enforcement Mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering documents for EMEA leveraged finance CLOs typically do not include RW&Es that are available to investors and that relate to the asset pool underlying the CLO. Therefore, Fitch credit reports for EMEA leveraged finance CLO offerings will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 21 January 2016.

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

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the arranger as at 2 December 2015
- Offering circular provided by the arranger as at 28 January 2016
- Transaction documents provided by the arranger as at 28 January 2016