OREANDA-NEWS. Fitch Ratings has assigned the following rating to ECP CLO 2015-7, Ltd./LLC:

--\$321,100,000 class A-1 notes 'AAAsf'; Outlook Stable.

Fitch does not rate the class A-1-F, A-2, A-2-F, B-1, B-1-F, B-2, B-2-F, C, C-F, D, D-F, E, E-F or subordinated notes.

TRANSACTION SUMMARY

ECP CLO 2015-7, Ltd. (the issuer) and ECP CLO 2015-7 LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Silvermine Capital Management (Silvermine). A portion of net proceeds from the issuance of notes will be used to repay parties that provided interim financing, allowing the issuer to purchase collateral prior to the closing date. The remainder of net proceeds will be used to purchase assets to reach a target portfolio of \$500 million of leveraged loans. The CLO will have a four-year reinvestment period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 35.8% for class A-1, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The level of CE for class A-1 notes is below the average for recent CLO issuances.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is slightly better than that of recent CLOs. Issuers rated in the 'B' rating category denote relatively weak credit quality; however, in Fitch's opinion, class A-1 notes are unlikely to be affected by the foreseeable level of defaults. The class A-1 notes are robust against default rates of up to 58.5%.

Strong Recovery Expectations: The indicative portfolio consists of 94.9% senior-secured loans. Approximately 89.5% of the indicative portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher and the base case recovery assumption is 74%. In determining 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 stresses resulting in a 35% recovery rate assumption 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-1 notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'Asf' and 'AAAsf' for the class A-1 notes.