OREANDA-NEWS. Fitch Ratings has assigned Jubilee 2016-XVII B. V.'s notes the following expected ratings:

Class A: 'AAA(EXP)sf'; Outlook Stable

Class B: 'AA(EXP)sf'; Outlook Stable

Class C: 'A(EXP)sf'; Outlook Stable

Class D: 'BBB(EXP)sf'; Outlook Stable

Class E: 'BB(EXP)sf'; Outlook Stable

Class F: 'B-(EXP)sf'; Outlook Stable

Subordinated notes: not rated

Jubilee 2016-XVII is a 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 Alcentra Ltd. The reinvestment period is scheduled to end in 2020.

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

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 weighted average rating factor (WARF) of the identified portfolio is 32.6, below the maximum Fitch WARF for the expected ratings of 33.

High Expected Recoveries

The portfolio will comprise a minimum of 90% senior secured obligations. The weighted average recovery rate (WARR) of the identified portfolio is 67%, above the covenanted minimum of 66% for the expected ratings.

Diversified Asset Portfolio

The covenanted maximum exposure to the top 10 obligors for assigning the expected ratings is 20% of the portfolio balance. This covenant 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 the liabilities pay a floating-rate coupon. Fitch modelled both 0% and 5% fixed-rate buckets and the rated notes can withstand the interest rate mismatch associated with each scenario.

Hedged Non-Euro Asset Exposure

The transaction is permitted to invest up to 30% of the portfolio in non-euro assets, provided perfect asset swaps can be entered into.

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 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 three notches for the rated notes.

DUE DILIGENCE USAGE

All but two 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, see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 21 January 2016.

SOURCES OF INFORMATION

The information below was used in the analysis.

- Loan-by-loan data provided by the arranger as at 29 June 2016

- Offering circular provided by the arranger as at 15 July 2016