OREANDA-NEWS. Fitch Ratings expects to assign the following rating and Rating Outlook to Apollo Credit Funding IV Ltd./LLC (Apollo IV):

--\$298,500,000 class A-1 notes 'AAAsf'; Outlook Stable.

Fitch does not expect to rate the class A-2, B, C, D, preferred shares or the delayed draw notes corresponding to each class.

TRANSACTION SUMMARY

Apollo Credit Funding IV Ltd. (the issuer) and Apollo Credit Funding IV LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Apollo ST Fund Management LLC (Apollo ST). Net proceeds from the issuance of the notes will be used to purchase a portfolio of approximately \$466.5 million of leveraged loans. The CLO will have a four-year reinvestment period.

KEY RATING DRIVERS

Sufficient Credit Enhancement (CE): CE of 36.0% for class A-1 notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The degree of CE available to class A-1 notes is lower than the average CE of recent CLO issuances. Cash flow modeling indicates performance in line with other Fitch-rated CLO notes.

'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 relatively weak credit quality. However, in Fitch Ratings' opinion, the class A-1 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 notes are robust against default rates of up to 61.3%.

Strong Recovery Expectations: The indicative portfolio consists of 94.1% first lien senior secured loans. Approximately 89.9% 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 74.2%. In determining the ratings for class A-1 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 analysis of the class A-1 notes assumed a 36.5% recovery rate in Fitch's 'AAAsf' scenario.

RATING SENSITIVITIES

In addition to Fitch's stated criteria, the agency analyzed 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.

The expected ratings are based on information provided to Fitch as of April 8, 2015. Sources of information used to assess these ratings were provided by the arranger, Mizuho Securities USA Inc., and the public domain. Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.

The presale report is available to investors on Fitch's web site at www.fitchratings.com. For more information about Fitch's comprehensive subscription service FitchResearch, which includes all presale reports, surveillance and credit reports on more than 20 asset classes, contact product sales at +1-212-908-0800 or at 'webmaster@fitchratings.com'.