OREANDA-NEWS.  Fitch Ratings has affirmed Harvest CLO IX Limited as follows:

EUR304.2m class A affirmed at 'AAAsf'; Outlook Stable
EUR60.8m class B affirmed at 'AAsf'; Outlook Stable
EUR30.4m class C affirmed at 'Asf'; Outlook Stable
EUR24.1m class D affirmed at 'BBBsf'; Outlook Stable
EUR35.5m class E affirmed at 'BBsf'; Outlook Stable
EUR15m class F affirmed at 'B-sf'; Outlook Stable
EUR55m subordinated notes: not rated

Harvest CLO IX Limited is an arbitrage cash flow collateralised loan obligation (CLO). Net proceeds from the issuance of the notes were used to purchase a EUR507m portfolio of mostly European leveraged loans. The portfolio is managed by 3i Debt Management Investments Limited and the reinvestment period is scheduled to end in 2018.

KEY RATING DRIVERS
The affirmation reflects the transaction's stable performance over the past 12 months. Credit enhancement has increased marginally for all rated notes and there have been no reported defaults. The transaction is EUR0.66m above target par and is currently passing all portfolio profile and collateral quality tests.

On the effective date the transaction increased the maximum weighted average rating factor from 33.5 to 34 and the minimum weighted average spread from 3.7% to 4.1% and reduced the minimum weighted average recovery rate from 68% to 65.8%. The transaction covenants represent a compliant matrix point and the current levels are within the thresholds. Most notably the weighted average recovery rate is passing the minimum covenant by 2.7% and the weighted average rating factor is 0.99 below the maximum covenant.

The portfolio is well within the covenants but has experienced negative rating migration, as reflected in the increased weighted average rating factor. Based on Fitch's classification, loans from the US, Germany and UK represent 57% of the portfolio and the top five industries represent 47%. Peripheral exposure, defined as exposure to countries with a Country Ceiling below 'AAA', accounts for 7.73% of the portfolio and resides within Italy and Spain, within the restriction of 10%. Floating rate loans currently represent 100% of the collateral balance.

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 the expected recovery rates would lead to a downgrade of up to four notches for the rated notes.

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 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 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 USbank as at 29 May 2015.
- Transaction reporting provided by USbank as at 29 May 2015.