OREANDA-NEWS. Fitch Ratings has assigned GLG Euro CLO I Limited's notes final ratings as follows:

Class A-1: 'AAAsf'; Outlook Stable
Class A-2: 'AAAsf'; Outlook Stable
Class B-1: 'AAsf'; Outlook Stable
Class B-2: 'AAsf'; Outlook Stable
Class C: 'Asf'; Outlook Stable
Class D: 'BBBsf'; Outlook Stable
Class E: 'BBsf'; Outlook Stable
Class F: 'B-sf'; Outlook Stable
Subordinated notes: not rated

GLG Euro CLO I Limited is a cash flow collateralised loan obligation (CLO).

KEY RATING DRIVERS

Low Credit Enhancement
Fitch considers the credit enhancement (CE) available to the notes as low compared with other CLO 2.0s. This is especially the case for the senior class A notes, which have the lowest CE of all senior notes in Fitch-rated CLO 2.0s. Despite this, the CE available to the class A notes is sufficient to withstand the losses associated with the agency's 'AAA' stress scenario. Key features mitigating the low CE include the diversified asset portfolio and limited interest rate risk.

Portfolio Credit Quality
Fitch has public ratings or credit opinions on 73 of the 74 obligors in the identified portfolio (79.8% of target par) and expects the average credit quality to be in the 'B' to 'B-' range. The Fitch weighted average rating factor (WARF) of the identified portfolio is 35.0. The portfolio WARF must be in compliance with the covenant on the effective date.

High Expected Recoveries
At least 90% of the portfolio will comprise senior secured obligations. Fitch has assigned Recovery Ratings to 77 of the 79 obligations. The Fitch weighted average recovery rate (WARR) of the identified portfolio is 68.7%.

Diversified Asset Portfolio
Unlike the majority of other CLO 2.0s, this transaction contains a covenant that limits the top 10 obligors in the portfolio to 20% of the portfolio balance. This ensures that the asset portfolio will remain granular, which provides significant benefit in high stress scenarios, where increased diversification reduces expected default rates.

Limited Interest Rate Risk
Interest rate risk is naturally hedged for most of the portfolio, as fixed rate liabilities and assets initially represent 6% and up to 10% of target par, respectively. The junior fixed-paying liabilities (class B-2) provide material protection to the transaction in high interest scenarios and reduce the mismatch between fixed-paying liabilities and assets as the portfolio amortises. Fitch tested both a 0% and 10% fixed rate bucket in its analysis.

TRANSACTION SUMMARY
Net proceeds from the notes are being used to purchase a EUR300m portfolio of mostly euro-denominated leveraged loans and bonds. The transaction features a four-year reinvestment period and the portfolio of assets is managed by GLG Partners LP.

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 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 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.

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 Fitch groups 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.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, which is available at www.fitchratings.com or by clicking the link above.