OREANDA-NEWS. Fitch Ratings expects to assign the following ratings to Carlyle Global Market Strategies CLO 2015-3, Ltd./LLC:

--\$100,000,000 class A-1 loans 'AAAsf'; Outlook Stable;
--\$215,000,000 class A-1 notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY
Carlyle Global Market Strategies CLO 2015-3, Ltd. (the issuer) and Carlyle Global Market Strategies CLO 2015-3, LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Carlyle Investment Management L.L.C. (CIM). Net proceeds from the issuance of the notes and incurrence of the class A-1 loans will be used to purchase a portfolio of approximately \$500 million of primarily senior secured leveraged loans. The CLO will have a five-year reinvestment period and a three-year noncall period.

KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 37% for class A-1 loans and class A-1 notes (together, the class A-1 debt), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a 'AAAsf' stress scenario. The degree of CE available to class A-1 debt is slightly above the average CE of 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 a highly speculative credit quality; however, in Fitch's opinion, class A-1 debt is unlikely to be affected by the foreseeable level of defaults. Class A-1 debt is projected to be able to withstand default rates of up to 62.3%.

Strong Recovery Expectations: The indicative portfolio consists of 96.4% first lien senior secured loans. Approximately 93.1% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, and the base case recovery assumption is 77.7%. In determining the expected rating of class A-1 debt, 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 class A-1 debt assumed a 36.8% 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-1 debt 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 debt.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report.

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

The publication of a Representations, Warranties and Enforcement Mechanisms appendix is not required for this transaction.