OREANDA-NEWS. Fitch Ratings assigns the following ratings and Rating Outlooks to JFIN CLO 2016 Ltd./LLC:

--$160,500,000 class A-1 notes 'AAAsf'; Outlook Stable;

--$16,500,000 class A-2a notes 'AAAsf'; Outlook Stable;

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

--$35,000,000 class A-F notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

JFIN CLO 2016 Ltd. (the issuer) and JFIN CLO 2016 LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) managed by Apex Credit Partners LLC. Net proceeds from the issuance of the secured and subordinated notes are being used to purchase a portfolio of approximately $350 million of primarily senior secured leveraged loans. The CLO will have an approximately four-year reinvestment period and a two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE): CE of 60.5% for class A-2a notes and 36.6% for class A-1, A-2b and A-F notes (together, class A notes), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a 'AAAsf' stress scenario. The degree of CE available to class A-2a notes is well above the average CE of recent CLO issuances, while the CE available for the class A-1, A-2b and A-F notes is in line with the average CE of recent CLO issuances. Cash flow modeling results indicate performance in line with other Fitch-rated 'AAAsf' CLO notes.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A-2a notes are robust against default rates of up to 85.7%, while class A-1, A-2b and A-F notes are robust against default rates of up to 65.9%.

Strong Recovery Expectations: The indicative portfolio consists of 98.9% first lien senior secured loans. Approximately 90.1% 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 78.7%. In determining the class A note ratings, 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 39% recovery rate 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 A notes to remain investment grade even under the most extreme sensitivity scenarios. The class A-2a notes remained 'AAAsf' under all sensitivity scenarios. Results for the class A-1, A-2b and A-F notes ranged between 'BBB+sf' and 'AAAsf' under these sensitivity scenarios.

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

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

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

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 U. S. CLO 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 U. S. CLO 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 May 31, 2016.