OREANDA-NEWS. Fitch Ratings has assigned the following ratings to Wellfleet CLO 2015-1, Ltd./LLC:

--\\$2,000,000 Class X Notes 'AAAsf'; Outlook Stable;
--\\$215,000,000 Class A-1 Notes 'AAAsf'; Outlook Stable;
--\\$9,000,000 Class A-2 Notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Wellfleet CLO 2015-1, Ltd. and Wellfleet CLO 2015-1, LLC (together, Wellfleet CLO 2015-1) comprise an arbitrage cash flow collateralized loan obligation (CLO) managed by Wellfleet Credit Partners LLC (WCP). Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of \\$350 million of primarily senior secured leveraged loans. The CLO will have an approximately four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36.0% for class A-1 and A-2 notes (together, the 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 in line with average CE of recent CLO issuances.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, 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 76.3% and 63.3%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 96.2% first lien loans. Approximately 93.9% of the indicative portfolio has strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher and the base case recovery assumption of 76.6%. In determining the class X and A notes 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 37.8% 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 and A-2 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 and A-2 notes. The class X notes passed at the 'AAAsf' rating level in all tested sensitivity scenarios.