OREANDA-NEWS. Fitch Ratings assigns the following rating to Steele Creek CLO 2015-1, Ltd./LLC:

--\$222,250,000 class A notes 'AAAsf'; Outlook Stable.

Fitch does not rate the class B, C, D, E, or F notes, the subordinated notes, or the delayed draw notes corresponding to each class of secured notes.

TRANSACTION SUMMARY

Steele Creek CLO 2015-1, Ltd. (the issuer) and Steele Creek CLO 2015-1, LLC (the co-issuer) together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Steele Creek Investment Management LLC (Steele Creek). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately \$350 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a 1.5-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36.5% for 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 class A 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 approximately 'B+/B', which is in line with other 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 61.9%.

Strong Recovery Expectations: The indicative portfolio consists of 99.1% first lien senior secured loans. Approximately 96.4% 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 78.3%. In determining the class A notes' ratings, 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 36.7% 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 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 'A+sf' and 'AAAsf' for the class A notes.

The sources of information used to assess these ratings were provided by the arranger, BNP Paribas Securities Corp., and the public domain.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, available at 'www.fitchratings.com' or by clicking on the above link.