OREANDA-NEWS. Fitch Ratings has assigned CVC Cordatus Loan Fund VI Designated Activity Company final ratings, as follows:

Class A: 'AAAsf'; Outlook Stable
Class B: 'AAsf'; Outlook Stable
Class C: 'Asf'; Outlook Stable
Class D: 'BBBsf'; Outlook Stable
Class E: 'BBsf'; Outlook Stable
Subordinated notes: not rated

CVC Cordatus Loan Fund VI Designated Activity Company is a cash flow collateralised loan obligation (CLO). Net proceeds from the issuance of the notes were used to purchase a EUR400m portfolio of mainly European leveraged loans and bonds. The transaction features a four-year reinvestment period and the portfolio is managed by CVC Credit Partners Group Ltd.

KEY RATING DRIVERS
Average Portfolio Credit Quality
Fitch expects the average credit quality of obligors to be in the 'B' category. Fitch has credit opinions on 80 of the 83 obligors in the indicative portfolio. The covenanted minimum Fitch weighted average rating factor (WARF) for assigning the final ratings is 34.5. The WARF of the identified portfolio is 30.68.

High Recovery Expectation
At least 90% of the portfolio will comprise senior secured obligations. Fitch views the recovery prospects more favourable than for second-lien, unsecured and mezzanine assets. Fitch has assigned Recovery Ratings to 98 of the 101 obligations in the identified portfolio. The covenanted minimum weighted average recovery rate (WARR) for assigning the final ratings is 67%. The WARR of the identified portfolio is 68.02%

Unhedged Non-Euro Assets Exposure
The transaction is allowed to invest up to 2.5% of the portfolio in non-euro-denominated assets. Unhedged non-euro assets are limited to a maximum exposure of 2.5% of the portfolio subject to principal haircuts. The manager can only invest in unhedged assets if after the applicable haircuts the aggregate balance of the assets is above the reinvestment target par balance.

Partial Interest Rate Hedge
Between 0% and 10% of the portfolio can be invested in fixed-rate assets, while the liabilities pay a floating rate coupon. At closing the issuer entered into an interest rate cap to hedge the transaction against rising interest rates. The notional of the cap is EUR65m, representing 16.25% of the target par amount, and the strike rate is fixed at 4%. The cap will expire five years after the closing date.

Documentation Amendments
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 the structure considers the confirmation to be given if Fitch declines to comment.

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 expected recovery rates would lead to a downgrade of up to five notches for the rated notes.

DUE DILIGENCE USAGE
All but three of 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

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 is available at www.fitchratings.com or by clicking the link above.

SOURCES OF INFORMATION
The information below was used in the analysis.
- Loan-by-loan data provided by the arranger as at 3 March 2016
- Offering circular provided by the arranger as at 22 March 2016
- Transaction documents provided by the arranger as at 30 March 2016