OREANDA-NEWS. Fitch Ratings assigns the following ratings to Parallel 2015-1 Ltd./LLC:

--$3,000,000 class X notes 'AAAsf'; Outlook Stable;
--$256,000,000 class A notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Parallel 2015-1 Ltd. and Parallel 2015-1 LLC (together, Parallel 2015-1) comprise an arbitrage cash flow collateralized loan obligation (CLO) managed by DoubleLine Capital LP (DoubleLine). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of $400 million of primarily senior secured leveraged loans. The CLO will have an approximately 4.3-year reinvestment period and a 2.3-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a 'AAAsf' stress scenario. Class X notes are ultimately expected to be paid in full from the application of interest proceeds via the interest waterfall. The degree of CE available to class A notes is slightly lower than the average CE of recent CLO issuances; however, cash flow modeling indicates performance in line with other Fitch-rated 'AAAsf' CLO notes.

'B' Asset Quality: The average credit quality of the indicative portfolio is 'B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality, but class X and A notes are unlikely to be affected by the foreseeable level of defaults. Class X and A notes are projected to be able to withstand default rates of up to 77.2% and 60.7%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 95.9% first lien loans. Approximately 88.6% of the indicative portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher and a base case recovery assumption of 75.1%. In determining the class X and A note ratings, 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 36.9% 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 X and A notes to remain investment grade, even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'AA+sf' and 'AAAsf' for the class X notes and between 'Asf' and 'AAAsf' for the class A notes.

Key Rating Drivers and Rating Sensitivities are further detailed in the accompanying new issue report, available at 'www.fitchratings.com' or by clicking on the link.

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.