OREANDA-NEWS. Fitch Ratings has assigned Bosphorus CLO I Limited's notes expected ratings as follows:

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

Bosphorus CLO I Limited is a static cash flow collateralised loan obligation (CLO).

KEY RATING DRIVERS
Static Portfolio
The portfolio will be 100% ramped at closing. The manager is only allowed to sell credit impaired and defaulted obligations. Any principal proceeds will be used to redeem the notes.

Higher Obligor Concentration
The transaction is exposed to higher obligor concentration than other CLO transactions with the presented portfolio consisting of 57 assets from 45 obligors. The largest obligor represents 2.61% and the largest 10 obligors represent 26.08% of the portfolio notional.

Shorter Risk Horizon
The transaction's weighted average life is 5.68 years and the legal final maturity is set in November 2023. The shorter risk horizon means the transaction is less vulnerable to underlying prices, and economical and asset performances.

Portfolio Credit Quality
The average credit quality of obligors will be in the 'B'/'B-' range with the weighted average rating factor of the portfolio 34.3. Fitch has credit opinions or public ratings on 100% of the identified portfolio. There are no 'CCC' rated assets in the portfolio.

High Recovery Expectations
The portfolio will comprise senior secured loans and bonds. Recovery prospects for these assets are typically more favourable than for second-lien, unsecured, and mezzanine assets. Fitch has assigned Recovery Ratings for all assets in the presented portfolio.

First Time Manager
Commerzbank AG, London Branch (A+/Negative/F1+) by an independent and segregated division, has not previously issued a CLO. It commenced activities in 2007 and has been managing loan funds since 2009. As of October 2014, its assets under management were EUR830m.

TRANSACTION SUMMARY
Net proceeds from the notes are being used to purchase a EUR230m portfolio of 90.2% euro-denominated leveraged loans and 9.8% bonds. The transaction is static.

The transaction documents may be amended subject to rating agency confirmation or note-holder 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 then current 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 one to three notches for the rated notes.

A 25% reduction in expected recovery rates would lead to a downgrade of one to four notches for the rated notes.