OREANDA-NEWS. Fitch Ratings has assigned the following ratings to CIFC Funding 2015-I, Ltd./LLC:

--\$340,000,000 class A-1 senior secured floating rate notes 'AAAsf'; Outlook Stable;
--\$50,000,000 class A-2 senior secured loans 'AAAsf'; Outlook Stable;
--\$0 class A-2 senior secured floating rate notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

CIFC Funding 2015-I, Ltd. (the issuer) and CIFC Funding 2015-I, LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by CIFC Asset Management LLC (CIFC). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately \$600 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a one and a half year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 35% for class A-1 notes, class A-2 loans, and class A-2 notes (together, class A debt), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an 'AAAsf' stress scenario. The degree of CE available to class A debt is lower than the average CE of recent CLO issuances; however, cash flow modeling indicates performance in line with other 'AAAsf' CLO notes.

'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 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 debt is projected to be able to withstand default rates of up to 59%.

Strong Recovery Expectations: The indicative portfolio consists of 97.9% first lien senior secured loans. Approximately 91.6% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, resulting in a base case recovery assumption of 76.2%. In determining the class A debt rating, 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 stress assumptions. The analysis of class A debt assumed a 35.2% 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 debt to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A-sf' and 'AAAsf' for the class A debt.