OREANDA-NEWS. Fitch Ratings expects to assign the following ratings and Rating Outlooks to Venture XXIII CLO Limited/LLC:

--$2,500,000 Class X Notes 'AAA(EXP)sf', Outlook Stable;

--$256,000,000 Class A Notes 'AAA(EXP)sf', Outlook Stable.

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

TRANSACTION SUMMARY

Venture XXIII CLO, Limited (the issuer) and Venture XXIII CLO, LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by MJX Asset Management LLC (MJX). Net proceeds from the issuance of the notes will be used to purchase a portfolio of approximately $400 million of leveraged loans. The CLO will have an approximately four-year reinvestment period and two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE): CE of 36% for the class A notes, 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 available to class A notes is in line with the average for recent CLO issuances. The class X notes are ultimately expected to be paid in full from the application of interest proceeds via the interest waterfall.

'B' Asset Quality: The average credit quality of the indicative portfolio is '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 X and A notes are unlikely to be affected by the foreseeable level of defaults. Class X and A notes are robust against default rates of up to 100% and 60.7%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 98.5% first-lien senior secured loans. Approximately 91.3% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher and the base case recovery assumption is 78.8%. In determining the ratings for class X and 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 stress assumptions, resulting in a 37.3% 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 weighted average spread or recovery rates and increases in default rates or correlation. Fitch expects the class X and A notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios passed at 'AAAsf' in all scenarios for the class X notes and ranged between 'Asf' and 'AAAsf' for the class A notes.

Fitch published an exposure draft of its Counterparty Criteria for Structured Finance and Covered Bonds on April 14, 2016. The exposure draft serves as the operative criteria report for this ratings analysis. Under the exposure draft, a direct-support counterparty is expected to maintain a long-term rating of at least 'A' or a short-term rating of at least 'F1' in order to support note ratings of up to 'AAAsf'. The issuer's account holder, Citibank, N. A., satisfies the minimum expected ratings threshold for a direct-support counterparty under the exposure draft framework.

Fitch's existing counterparty criteria (dated May 14, 2014), as well as the issuer's governing documents, expect this role to be fulfilled by an institution with a long-term rating of at least 'A' and a short-term rating of at least 'F1'. Citibank has long-term and short-term ratings that currently meet these expectations. Therefore the ratings for class X and A notes remain achievable under Fitch's existing criteria.

The framework regarding expectations for qualified investments has not materially changed between the existing criteria and the exposure draft.

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

DUE DILIGENCE USAGE

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

The publication of a representations, warranties and enforcement mechanisms appendix is not required for this transaction.