OREANDA-NEWS. Fitch Ratings expects to assign the following rating and Rating Outlook to Jamestown CLO VII Ltd./Corp. (Jamestown CLO VII):

--$322,500,000 class A-1 notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Jamestown CLO VII Ltd. (the issuer) and Jamestown CLO VII Corp. (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by 3i Debt Management U.S. LLC (3iDM). 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 and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 35.5% 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 slightly lower than the average CE of recent CLO issuances; however, cash flow modeling indicates performance is in line with other 'AAAsf' rated CLO notes.

'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 Ratings' opinion, the class A-1 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 notes are projected to be able to withstand default rates of up to 58.0%.

Strong Recovery Expectations: The indicative portfolio consists of 97.6% first lien loans. Approximately 92.6% 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 77.4%. In determining the class A-1 note rating, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions of higher rating stresses, resulting in a 35.8% 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 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.

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.