OREANDA-NEWS. March 30, 2015. Fitch Ratings expects to assign the following rating to Babson CLO 2015-I Ltd/LLC:

--\\$320,000,000 class A floating rate notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Babson CLO 2015-I Ltd (the issuer) and Babson CLO 2015-I, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Babson Capital Management LLC. 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 an 18 month noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (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 an 'AAAsf' stress scenario. The degree of CE available to the class A notes is slightly lower than the average CE of 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, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are projected to be able to withstand default rates of up to 60.5%.

Strong Recovery Expectations: The indicative portfolio consists of 97.6% first lien senior secured loans. Approximately 90.6% 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 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 stress assumptions. The analysis of the class A notes assumed a 35% 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 notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'BBB+sf' and 'AAAsf' for the class A notes.

Sources of information used to assess these ratings were provided by the arranger, J.P. Morgan Securities LLC, and the public domain.

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

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