OREANDA-NEWS. October 07, 2015. Fitch Ratings expects to assign the following ratings to THL Credit Wind River 2015-2 CLO Ltd./LLC:

--\\$230,400,000 class A-1 notes 'AAAsf'; Outlook Stable;
--\\$47,350,000 class A-2 notes 'AAAsf'; Outlook Stable.

Fitch does not expect to rate the class B, C, D, E, F, or subordinated notes.

THL Credit Wind River 2015-2 CLO Ltd. (issuer) and THL Credit Wind River 2015-2 CLO LLC (co-issuer), together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by THL Credit Senior Loan Strategies, LLC. Net proceeds from the issuance of the secured notes and subordinated notes will be used to purchase a portfolio of approximately \\$435 million primarily senior secured leveraged loans. The CLO will have an approximately four-year reinvestment period and a two-year noncall period.

Sufficient Credit Enhancement: Credit enhancement (CE) of 36.1% for the class A-1 and A-2 notes (collectively, the class A notes), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an 'AAAsf' stress scenario. The level of CE for the class A notes is below the average for recent CLO issuances; however, cash flow modeling indicates performance in line with other 'AAAsf' Fitch-rated CLO notes.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote relatively weak credit quality; however, in Fitch's opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are robust against default rates of up to 63.4%.

Strong Recovery Expectations: The indicative portfolio consists of 97.4% senior secured loans. Approximately 94.9% 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 78.5%. In determining the ratings for the class A notes, 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 36.3% recovery rate assumption in Fitch's 'AAAsf' scenario.

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-1 and A-2 notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for these classes of notes.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, which is available to investors on Fitch's website at 'www.fitchratings.com'.

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