Fitch Affirms St Paul's CLO II Limited

(Repeat for additional subscribers)

June 20 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has affirmed St Paul's CLO II Limited as follows:

EUR240.0m class A affirmed at 'AAAsf'; Outlook Stable

EUR40.0m class B affirmed at 'AAsf'; Outlook Stable

EUR26m class C affirmed at 'Asf'; Outlook Stable

EUR17m class D affirmed at 'BBBsf'; Outlook Stable

EUR15m class E affirmed at 'BB+sf'; Outlook Stable

EUR62m subordinated notes: not rated

St Paul's CLO Limited is an arbitrage cash flow collateralised loan obligation.

Net (Dusseldorf: NETK.DU - news) proceeds from the issuance of the notes were used to purchase a EUR400m portfolio of European leveraged loans and bonds. The portfolio is managed by Intermediate Capital Managers Limited, a wholly owned subsidiary of Intermediate Capital Group PLC.

KEY RATING DRIVERS

The affirmation reflects the transaction's performance, which is in line with Fitch's expectations. All portfolio quality tests and portfolio profile tests are passing.

The transaction became effective as of December 2013. Between closing in July 2013 and the investor report date as of April 2014credit enhancement increased marginally for all notes, despite some deterioration in the underlying portfolio due to limited negative rating migration and the default of one obligation, Vivarte, representing 1% of the performing balance. The slight increase in credit enhancement was due to active trading and par building.

The majority of underlying assets are rated in the 'B' category and the largest industry is healthcare with 12.5%, followed by business services with 11.3%. The largest country is France, contributing 19% of the portfolio followed by the UK contributing 18%. European peripheral exposure to Spain, Italy and Ireland (Other OTC: IRLD - news) make up 6.2% of the performing portfolio and cash balance. The 'CCC' and below bucket is just over 3%. The 10 largest obligors account for 23.4% of the portfolio. The largest obligor cannot account for more than 3% of the portfolio.

RATING SENSITIVITIES

Fitch has incorporated two stress tests to simulate the rating sensitivity to changes of the underlying assumptions. The first test addressed a decrease of the recovery rate by 25% and concluded that negative rating migration of up to one category could be triggered. The second test simulated a portfolio wide downgrade by one notch and indicates even stronger sensitivity.