Fitch Rates ICG US CLO 2015-2, Ltd./LLC

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has assigned the following ratings to ICG US CLO 2015-2, Ltd./LLC:

--$3,000,000 class X notes 'AAAsf'; Outlook Stable;

--$196,000,000 class A-1 notes 'AAAsf'; Outlook Stable;

--$50,000,000 class A-1 loans 'AAAsf'; Outlook Stable;

--$0 class A-1L notes 'AAAsf'; Outlook Stable;

--$10,000,000 class A-2 notes 'AAAsf'; Outlook Stable.

Fitch does not rate the class B-1, B-2, C, D, E, or subordinated notes.

TRANSACTION SUMMARY

ICG US CLO 2015-2, Ltd. (issuer) and ICG US CLO 2015-2, LLC (co-issuer), together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by ICG Debt Advisors LLC. Net proceeds from the issuance of the secured notes and subordinated notes will be used to purchase a portfolio of approximately $400 million primarily senior secured leveraged loans. The CLO will have an approximately 4.2-year reinvestment period and 2.2-year noncall period.

KEY RATING DRIVERS

Credit enhancement (CE) of 36% for class A-1, A-2 and A-1L notes and class A-1 loans (together, class A debt), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The level of CE for class A debt is below the average for recent CLO issuances; however, cash flow modeling results indicate performance in line with other Fitch-rated 'AAAsf' CLO notes. Class X notes are expected to be paid in full from interest proceeds on the second payment date.

'B' Asset Quality: The average credit quality of the indicative portfolio is 'B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote relatively weak credit quality; however, in Fitch's opinion, class X notes and A debt are unlikely to be affected by the foreseeable level of defaults. Class X notes and A debt are robust against default rates of up to 98.2% and 62.9%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 97.5% senior secured loans. Approximately 91.0% of the indicative portfolio has strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, and the base case recovery assumption is 78.6%. In determining ratings for class X notes and A debt, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stresses, resulting in a 38.4% recovery rate assumption in Fitch's 'AAAsf' scenario.

RATING SENSITIVITIES

Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates or correlation. Fitch expects the class X notes to remain 'AAAsf'. The class A-1, A-2 and A-1L notes and class A-1 loans are expected to remain investment grade even under the most extreme sensitivity scenarios; results under these sensitivity scenarios ranged between 'Asf' and 'AAAsf' for these four classes.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, which will be available shortly to investors on Fitch's website at 'www.fitchratings.com'.

DUE DILIGENCE USAGE

No third party due diligence was provided or reviewed in relation to this rating action.

The publication of a RW&Es appendix is not required for this transaction.

Additional information is available at www.fitchratings.com.

Sources of Information:

Sources of information used to assess these ratings were provided by the arranger, Morgan Stanley & Co. LLC and the public domain.

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Rating Criteria for CLOs and Corporate CDOs - Amended (pub. 12 Nov 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=873664

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=994253

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=994253

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20151117006863/en/

Fitch Ratings
Primary Analyst
Erika Tsang, CFA
Director
+1-212-908-0817
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Pasquale Giordano, CFA
Director
+1-212-908-0797
or
Committee Chairperson
Derek Miller
Senior Director
+1-312-368-2076
or
Media Relations:
Sandro Scenga, +1 212-908-0278
[email protected]

Source: Fitch Ratings

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