OREANDA-NEWS. Fitch Ratings has assigned the following rating to Mariner CLO 2015-1 LLC:

--\$331,000,000 class A floating rate notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Mariner CLO 2015-1 LLC (the issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Mariner Investment Group, LLC (Mariner). Net proceeds from the issuance of secured and subordinated notes will be used to purchase assets to reach a target portfolio of approximately \$500 million of primarily leveraged loans. The CLO does not have a reinvestment period; the noncall period is one year.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 33.8% for class A notes, 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 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 comparable to recent CLOs. Issuers rated in the 'B' rating category denote relatively weak 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 robust against default rates of up to 52.7%.

Strong Recovery Expectations: The indicative portfolio consists of 97.4% senior secured loans, of which about 94.2% have strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, and the base case recovery assumption is 78.0%. This is in line with the seniority profile of recently issued CLO transactions. In determining the ratings for class A 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 39.0% 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 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.

Sources of information used to assess these ratings were provided by the arranger, Merrill Lynch, Pierce, Fenner & Smith 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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