OREANDA-NEWS. Fitch Ratings has assigned Carlyle GMS Euro CLO 2013-2 D. A.C. refinancing notes expected ratings, as follows:

EUR179.0m Class A-1-R: 'AAA(EXP)sf'; Outlook Stable

EUR31.5m Class A-2A-R: 'AA+(EXP)sf'; Outlook Stable

EUR19.9m Class A-2B-R: 'AA+(EXP)sf'; Outlook Stable

EUR19.4m Class B-R: 'A+(EXP)sf'; Outlook Stable

EUR18.8m Class C-R: 'BBB+(EXP)sf'; Outlook Stable

The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed.

Carlyle GMS Euro CLO 2013-2 is a cash flow collateralised loan obligation. Net proceeds from the refinancing notes will be used to redeem the existing class A-1, A-2A, A-2B, B and C notes at par (plus accrued interest). The portfolio is managed by CELF Advisors LLP (part of The Carlyle Group LP).

KEY RATING DRIVERS

Fitch has been notified of a proposed supplemental trust deed and offering circular that would cause a refinancing of the outstanding class A to C notes and amend certain terms and definitions of the transaction documents.

On 17 October 2016, Carlyle GMS Euro CLO 2013-2 will issue refinancing notes as class A-1-R, A-2A-R, A-2B-R, B-R and C-R notes, and apply the net issuance and sales proceeds to redeem the existing class A-1, A-2A, A-2B, B and C notes at par (plus accrued interest).

The refinancing notes will be issued in the same amounts and have the same terms as the corresponding classes of original notes, except the spreads or coupon on all refinancing notes will be reduced. We view the overall reduction in costs on the liabilities as credit positive for the transaction.

The collateral portfolio continues to display stable performance since the last review on 1 July 2016 and credit enhancement will remain the same for the refinancing notes. The portfolio's credit quality is relatively unchanged at 'B'/'B-' since the last review and Fitch 'CCC' assets now represent 4.21%.

The transaction has performed well since closing in 2013. The collateral principal amount is EUR2.15m above target par and credit enhancement has increased for all rated notes. The transaction continues to pass all of its coverage tests with ample cushion and all of its concentration limitation and collateral quality tests. There are currently 94 obligors in the portfolio and no reported defaults.

The reinvestment period is scheduled to end in the payment date failing in October 2017. The transaction's weighted average life (WAL) is 4.88 years and the maximum WAL covenant is 5.05 years. The shorter risk horizon means the transaction is less vulnerable to underlying prices and economic and asset performance.

In conjunction with the refinancing, certain provisions of the transaction documents have been amended. The amendment addresses Volcker Rule concerns and will result in the introduction of voting, non-voting and non-voting exchangeable notes.

RATING SENSITIVITIES

A 25% increase in the obligor default probability or a 25% reduction in expected recovery rates would not lead to a downgrade for the refinancing notes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch 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 Recognized Statistical Rating Organizations and/or European Securities and Markets Authority registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch 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.

SOURCES OF INFORMATION

The information below was used in the analysis.

- Investor Report provided by State Street as at 12 September 2016

- Loan-by-loan data provided by State Street as at 12 September 2016

- Supplemental Offering Circular and Trust Deed provided by the arranger as at 23 September 2016

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 transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for EMEA leveraged finance CLOs transactions 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 31 May 2016.