OREANDA-NEWS. Fitch Ratings assigns the following ratings to Halcyon Loan Advisors Funding 2015-2 Ltd./LLC:

--\$316,500,000 class A notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Halcyon Loan Advisors Funding 2015-2 Ltd. and Halcyon Loan Advisors Funding 2015-2 LLC (together, Halcyon 2015-2, or the issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Halcyon Loan Advisors 2015-2 LLC (Halcyon; a wholly owned subsidiary of Halcyon Loan 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.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36.7% 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 in line with the average 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 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 62.2%.

Strong Recovery Expectations: The indicative portfolio consists of 98.6% senior secured loans, of which about 90.4% have strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, and the base case recovery assumption is 78%. In determining the ratings for the 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 37.2% 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.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.