OREANDA-NEWS. Fitch Ratings expects to assign the following rating and Rating Outlook to ICG US CLO 2016-1, Ltd./LLC:

--$256,000,000 class A-1 notes 'AAA(EXP)sf'; Outlook Stable.

Fitch does not expect to rate class A-2, B, C, D, or subordinated notes.

TRANSACTION SUMMARY

ICG US CLO 2016-1, Ltd. (issuer) and ICG US CLO 2016-1, LLC (co-issuer) 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 notes will be used to purchase assets to reach a target portfolio of approximately $400 million of primarily senior secured loans. The CLO will have an approximately four-year reinvestment period and two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for the class A-1 notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a 'AAAsf' scenario. The degree of CE available to the class A-1 notes is in line with the average CE of recent CLO issuances.

'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+/B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, the class A-1 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 notes are projected to be able to withstand default rates of up to 59%.

Strong Recovery Expectations: The indicative portfolio consists of 97.5% first lien senior secured loans. Approximately 90.7% 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 78.5%. In determining the class A-1 note 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 stresses, resulting in a 38.4% 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 weighted average spread or recovery rates and increases in default rates or correlation. Fitch expects the class A-1 notes 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-1 notes.

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.