OREANDA-NEWS. Fitch Ratings has affirmed Carlyle Global Market Strategies Euro CLO 2014-1 Limited as follows:

EUR218.3m class A notes (XS1032519313) affirmed at 'AAAsf', Outlook Stable
EUR40m class B notes (XS1032519586) affirmed at 'AAsf', Outlook Stable
EUR19.35m class C notes (XS1032519743) affirmed at 'A+sf', Outlook Stable
EUR17m class D notes (XS1032519826) affirmed at 'BBB+sf', Outlook Stable
EUR31.6m class E notes (XS1032520592) affirmed at 'BBsf', Outlook Stable
EUR10.9m class F notes (XS1032520758) affirmed at 'B-sf', Outlook Stable

Carlyle Global Market Strategies Euro CLO 2014-1 Limited is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the issuance of the notes were used to purchase a EUR363.8m portfolio of European leveraged loans and bonds. The portfolio is managed by CELF Advisors LLP (part of The Carlyle Group LP). The reinvestment period is scheduled to end in 2018.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance since our last rating action in January 2015. Since then credit enhancement has decreased marginally as a result of a default which was sold in March with a loss of just over EUR4m. As a result the transaction is now marginally below target par and credit enhancement for the class A notes has subsequently dropped to 39.9% from 40.3% and for the class B notes to 28.9% from 29.4%. Fitch analysed the par loss and considered it not material enough to not have an impact on the current ratings.

All portfolio profile, collateral quality and coverage tests are passing. The covenants of the collateral quality tests have been adjusted since January 2015. An increase in the weighted average recovery rate was offset by a decrease of the weighted average rating factor. The weighted average rating factor is currently 33.01 with a maximum threshold of 34.0, compared with the threshold of 34.5 in January 2015. The minimum weighted average recovery rate threshold has eased to 68.2% from 69.9% with a current result of 70.4%. The minimum weighted average spread threshold remains at 4.3%, with the current result up at 4.55% from 4.45%.

The transaction is well diversified with 111 assets from 91 obligors. The majority of the assets are rated in the 'B' category. The three largest industries are business services, packaging and containers and computer and electronics, each contributing around 9% to the performing portfolio. The largest country remains Germany with just over 20%, followed by the US with 17% and the UK with 15%. European peripheral exposure is represented by Spain and Italy and was reduced to 5% currently from 8% in January 2015 and with a maximum allowed exposure of 10%. There is currently one 'CCC' asset included in the portfolio, representing 0.5% of the outstanding balance.

RATING SENSITIVITIES
As the loss rates for the current portfolio are below those modelled for the stress portfolio, the sensitivities shown in the new issue report still apply for this transaction. Detailed sensitivity analysis is available in the new issue report dated 26 March 2014 at www.fitchratings.com.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed 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 were material to this 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 Recognised Statistical Rating Organisations 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 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.
-Loan-by-loan data provided by State Street as at 2 October 2015
-Transaction reporting provided by State Street as at 2 October 2015