OREANDA-NEWS. Fitch Ratings has assigned the following ratings to Dorchester Park CLO Limited/LLC:

--\$312,500,000 class A notes 'AAAsf'; Outlook Stable;
-- \$62,750,000 class B notes 'AAsf'; Outlook Stable;
-- \$27,250,000 class C notes 'A-sf'; Outlook Stable;
-- \$19,000,000 class D notes 'BBB-sf'; Outlook Stable;
-- \$25,000,000 class E notes 'BB-sf'; Outlook Stable;
-- \$17,000,000 class F notes 'Bsf'; Outlook Stable.

Fitch does not rate the subordinated notes.

TRANSACTION SUMMARY

Dorchester Park CLO Limited (the issuer) and Dorchester Park CLO, LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GSO/Blackstone Debt Funds Management LLC (GSO). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately \$500 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and approximately a two-year non-call period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) available to the notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the respective rating stress scenarios. The degree of CE available to each class of notes is the same or exceeds the average CE of notes at the same rating level in recent CLO issuances.

'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, each class of rated notes is projected to be sufficiently robust against default rates in line with its applicable rating stress.

Strong Recovery Expectations: The indicative portfolio consists of 96.3% first lien senior secured loans. Approximately 90% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, resulting in the base case recovery assumption of 75.3%. In determining the ratings for each class of 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. The recovery rates used in the analysis of Dorchester Park CLO are shown on page 6 of the accompanying new issue report.

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, while classes B, C, D, E and F are generally expected to remain within two rating categories of their assigned ratings, even under the most extreme sensitivity scenarios.

Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for the class A notes, between 'BB+sf' and 'AA+sf' for the class B notes, between 'BBsf' and AA-sf' for the class C notes, between 'Bsf' and 'BBB+sf' for the class D notes, between a level below 'CCCsf' and 'BB+sf' for the class E notes and between a level below 'CCCsf' and 'B+sf' for the class F notes. The results of these scenarios remain consistent with the assigned ratings.

Sources of information used to assess these ratings were provided by the arranger, Deutsche Bank Securities Inc., and the public domain. Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report which will be available shortly to investors on Fitch's website at 'www.fitchratings.com'.

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