OREANDA-NEWS. Fitch Ratings has affirmed St Paul's CLO IV Limited as followed:

EUR248.25m class A-1 affirmed at 'AAAsf'; Outlook Stable
EUR55.75m class A-2 affirmed at 'AAsf'; Outlook Stable
EUR23.5m class B affirmed at 'Asf'; Outlook Stable
EUR21m class C affirmed at 'BBBsf'; Outlook Stable
EUR29m class D affirmed at 'BBsf'; Outlook Stable
EUR14m class E affirmed at 'B-sf'; Outlook Stable
EUR43.41m subordinated notes: not rated

St. Paul's CLO IV Limited is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the notes were used to purchase a EUR425m portfolio of European leveraged loans and bonds. The portfolio is managed by Intermediate Capital Managers Limited. The transaction features a four-year re-investment period scheduled to end in 2018.

KEY RATING DRIVERS
The affirmation reflects the transaction's performance being in line with Fitch's expectations. All portfolio quality tests and portfolio profile tests are passing.

The transaction became effective as of May 2014. Between closing in March 2014 and the report date as of January 2015, the manager made EUR0.86m from trading, which marginally increased the credit enhancement for all notes, with the class A-1 notes increasing to 41.71% from 41.59% at closing and the most class E notes increased to 8.07% from 7.88%.

The majority of underlying assets (89.9% of the portfolio) are rated in the 'B' category. There are no 'CCC' or below rated assets and no defaulted assets. According to the January 2015 report, the largest industry is healthcare with 14.25% and top two industries make up 23.64%. The largest country is France, contributing to 19.1% of the portfolio, followed by the UK with 17.7%. European peripheral exposure is presented by Spain and Italy which make up 6.02% of the performing portfolio and cash balance. The largest single obligor is 2.35% with a trigger at 3% of the portfolio.

RATING SENSITIVITIES
Fitch has incorporated two stress tests to simulate the ratings sensitivity to changes of the underlying assumptions.

A 25% increase in the expected obligor default probability would lead to a downgrade of two to three notches for the rated notes. A 25% reduction in the expected recovery rates would lead to a downgrade of three to four notches for the rated notes.