OREANDA-NEWS. Fitch Ratings has assigned Arbour CLO IV Designated Activity Company's notes expected ratings, as follows:

EUR30.00m class A-1 notes due 2030: 'AAA(EXP)sf'; Outlook Stable

EUR214.00m class A-2 notes due 2030: 'AAA(EXP)sf'; Outlook Stable

EUR42.20m class B notes due 2030: 'AA(EXP)sf'; Outlook Stable

EUR25.00m class C notes due 2030: 'A(EXP)sf'; Outlook Stable

EUR21.50m class D notes due 2030: 'BBB(EXP)sf'; Outlook Stable

EUR26.75m class E notes due 2030: 'BB(EXP)sf'; Outlook Stable

EUR11.00m class F notes due 2030: 'B-(EXP)sf'; Outlook Stable

EUR43.00m subordinated notes due 2030: 'NR(EXP)'

The assignment of final ratings is contingent on the receipt of final documents conforming to information already reviewed.

Arbour CLO IV Designated Activity Company is an arbitrage cash flow collateralised loan obligation. Net proceeds from the issuance of the notes will be used to purchase a portfolio of EUR400m of mostly European leveraged loans and bonds. The portfolio is actively managed by Oaktree Capital Management (UK) LLP.

KEY RATING DRIVERS

'B'/'B-' Portfolio Credit Quality

Fitch places the average credit quality of obligors in the 'B/B-' range. The agency has public ratings or credit opinions on all obligors in the identified portfolio. The WARF of the identified portfolio is 30.85.

High Recovery Expectations

At least 90% of the portfolio comprises senior secured obligations. Fitch has assigned Recovery Ratings (RR) to all assets in the identified portfolio. The covenanted minimum Fitch weighted average recovery rate (WARR) for assigning the final ratings is 69.5%. The WARR of the indicative portfolio is 73.20%.

Above-Average Concentration

Portfolio profile tests limit exposure to the top one Fitch industry to 20% and the top three Fitch industries to 40%. Furthermore, obligors can represent up to 3% each of the current portfolio. Senior secured obligors in the portfolio can represent 2.5%, and the top three may represent up to 3%. The limit on non-senior secured obligations is 1.5% per obligor.

Partial Interest Rate Hedge

Between 5% and 15% of the portfolio may be invested in fixed rate assets, while fixed rate liabilities account for 7.5% of the target par amount. However, the collateral manager is allowed to reinvest into additional obligations, subject to the minimum and maximum limit to be improved if failing.

Limited FX Risk

The transaction is allowed to invest in non-euro-denominated assets, provided these are hedged with perfect asset swaps within six months of purchase. Unhedged non-euro assets may not exceed 2.5% of the portfolio at any time and can only be included if at their trade date the portfolio balance is above the target par amount when their principal balance converted into euros at spot rate is haircut by 50%.

Documentation Amendments

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 the structure considers the confirmation to be given if Fitch declines to comment.

RATING SENSITIVITIES

A 25% increase in the 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 two notches for the rated notes.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO RULE 17G-10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

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 groups within Fitch 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.

SOURCES OF INFORMATION

The information below was used in the analysis.

- Loan-by-loan data provided by the arranger as at 08 September 2016.

- Offering circular provided by the arranger as at 29 September 2016

REPRESENTATIONS AND WARRANTIES

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering documents for EMEA leveraged finance CLOs transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for EMEA leveraged finance CLOs transactions will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated 31 May 2016.