OREANDA-NEWS. Fitch Ratings has assigned Grosvenor Place CLO 2015-1 B.V.'s notes final ratings, as follows:

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

Grosvenor Place CLO 2015-1 B.V. (the issuer) is an arbitrage cash flow collateralised loan obligation (CLO).

KEY RATING DRIVERS
'B'/'B-' Portfolio Credit Quality
Fitch assesses the average credit quality of obligors in the 'B'/'B-' range. The agency has public ratings or credit opinions on all the obligors in the identified portfolio. The covenanted minimum Fitch weighted average rating factor (WARF) for assigning final ratings is 33. The WARF of the identified portfolio is 33.

High Recovery Expectations
The portfolio will comprise a minimum 90% of senior secured obligations. Fitch has assigned Recovery Ratings to 100% of the identified portfolio. The covenanted minimum weighted average recovery rate (WARR) for assigning final ratings is 67.13%. The WARR of the identified portfolio is 71.5%.

Class E Turbo OC Test
Unlike some second-generation European CLOs, this transaction features a turbo overcollateralisation (OC) test for the most junior tranche (Class E). A breach of this test in the interest waterfall will result in interest proceeds being diverted to redeem the Class E notes. Once the Class E notes are fully repaid, any remaining interest proceeds would be applied to redeem the most senior notes. In the principal waterfall, a breach of the Class E OC test will result in principal proceeds being diverted to redeem the most senior notes.

Limited Interest Rate Risk
Interest rate risk is naturally hedged for most of the portfolio, as fixed-rate liabilities and assets represent 4.86% and between 0% and 10% of the target par amount, respectively.

Limited FX Risk
The transaction is allowed to invest up to 10% of the portfolio in non-euro-denominated assets, provided that suitable asset swaps can be entered into.

TRANSACTION SUMMARY
Net proceeds from the notes issue are being used to purchase a EUR350m portfolio of mostly European leveraged loans and bonds. The portfolio is managed by CQS Investment Management Limited. The reinvestment period is scheduled to end in 2019.

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 confirmation is considered 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 two notches for the rated notes. A 25% reduction in the expected recovery rates would lead to a downgrade of one to four 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 will shortly be available at www.fitchratings.com.