OREANDA-NEWS. Fitch Ratings has upgraded Jubilee CDO VIII B. V. as follows:

Class A-1 (ISIN XS0331559640): affirmed at 'AAAsf'; Outlook Stable

Class A-2 (ISIN XS0331560572): affirmed at 'AAAsf'; Outlook Stable

Class B (ISIN XS0331560655): upgraded to 'A+sf' from at 'Asf'; Outlook Stable

Class C (ISIN XS0331560903): upgraded to 'BBB+sf' from 'BBBsf'; Outlook Positive

Class D (ISIN XS0331561208): upgraded to 'BB+sf' from 'BBsf'; Outlook Stable

Class E (ISIN XS0331561463): upgraded to 'B+sf' from 'B-sf'; Outlook Stable

Jubilee CDO VIII B. V. is a securitisation of mainly European senior secured loans, senior unsecured loans, second-lien loans, mezzanine obligations and high-yield bonds. The portfolio is actively managed by Alcentra Ltd.

KEY RATING DRIVERS

The upgrades reflect the increase in credit enhancement (CE) across the capital structure due to the deleveraging of the transaction. The Positive Outlook on the class C notes reflects potential further upgrades if deleveraging continues at the current rapid pace.

The senior class A-1 notes have paid down by EUR75.6m over the past 12 months and CE has increased for all rated notes: for the class A-1 notes to 82.4% from 62.2%, for the class A-2 notes to 69.7% from 52.9%, for the B notes to 47.5% from 36.6%, for the class C notes to 36.9% from 28.9%, for the class D notes to 27.4% from 21.9% and for the class E notes to 18.9% from 15.7%.

The transaction is increasingly exposed to high obligor concentration risk with the largest and top 10 obligors representing 6.7% and 50.6%, respectively, as of the September 2016 investor report, up from 4.9% and 40.2% 12 months ago. The senior notes benefit from large CE and are able to withstand the default of the top obligors in the portfolio. However, the mezzanine and junior notes may be adversely impacted by a few assets that may under perform.

Following the deleveraging of the transaction, the portfolio credit quality has slightly deteriorated. The weighted average rating factor, as reported by the trustee, increased to 32.1 from 30 between September 2015 and September 2016, indicating a slight worsening of the portfolio credit quality. During the same period, assets rated 'CCC' and below by Fitch increased to 27.0% from 20.8%. All overcollateralisation tests have been in compliance since the last review and deleveraging more than offset the rise in the share of assets rated 'CCC' or below.

The transaction exited its reinvestment period in January 2014. Reinvestment of unscheduled principal proceeds and sale proceeds from credit-improved or credit-impaired assets is currently not permitted due to several conditions not being met (including passing the Fitch weighted average rating factor test).

The transaction uses a macro currency swap to hedge sterling exposure. The hedge is not perfect and residual currency risk is borne by the structure. When a sterling asset defaults, the sterling recovery proceeds might be insufficient to reduce the swap balance to the performing sterling collateral balance and the manager will have to obtain sterling in the spot market. Also, while awaiting recovery proceeds, the structure continues to make payments on the sterling leg of the macro currency swap, even though the defaulted asset no longer generates sterling interest. This currency mismatch is partially mitigated through the use of currency options. The remaining exchange rate exposure is absorbed by the structure.

The macro currency swap is scheduled to expire in January 2019. As of September 2016 the portfolio contained sterling assets totalling GBP12.5m (down from GBP17.5m a year ago), which mature after the expiration of the macro currency swap. This increases the sensitivity of the transaction to currency risk at the tail end of its life. Fitch has found that the transaction can withstand the various combinations of interest rate and currency stresses overlaid with default skews between sterling and euro assets at the proposed rating stress levels.

RATING SENSITIVITIES

A 25% increase in the obligor default probability may lead to a downgrade of up to two notches for the rated notes. A 25% reduction in expected recovery rates may lead to a downgrade of up to one notch for the rated 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

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. There were no findings that affected the rating analysis. Fitch has not reviewed the results of any third party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

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 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 as of 06 September 2016 provided by The Bank of New York Mellon

-Loan-by-loan data of 06 September 2016 provided by The Bank of New York Mellon