OREANDA-NEWS. Fitch Ratings expects to assign the following ratings to ICG US CLO 2015-2, Ltd./LLC:

--$3,000,000 class X notes 'AAAsf'; Outlook Stable;
--$196,000,000 class A-1 notes 'AAAsf'; Outlook Stable;
--$50,000,000 class A loans 'AAAsf'; Outlook Stable;
--$0 class A-L notes 'AAAsf'; Outlook Stable;
--$10,000,000 class A-2 notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY
ICG US CLO 2015-2, Ltd. (issuer) and ICG US CLO 2015-2, LLC (co-issuer), together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by ICG Debt Advisors LLC. Net proceeds from the issuance of the secured notes and subordinated notes will be used to purchase a portfolio of approximately $400 million primarily senior secured leveraged loans. The CLO will have an approximately 4.2-year reinvestment period and 2.2-year noncall period.

KEY RATING DRIVERS
Credit enhancement (CE) of 36% for class A-1, A-2 and A-L notes and class A loans (together, class A debt), 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 debt is below the average for recent CLO issuances; however, cash flow modeling results indicate performance in line with other Fitch-rated 'AAAsf' CLO notes. Class X notes are expected to be paid in full from interest proceeds on the second payment date.

'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 X notes and A debt are unlikely to be affected by the foreseeable level of defaults. Class X notes and A debt are robust against default rates of up to 97.9% and 62.4%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 97.5% senior secured loans. Approximately 93.7% 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 78.5%. In determining ratings for class X notes and A 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 stresses, resulting in a 37.9% 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 X notes to remain 'AAAsf'. The class A-1, A-2 and A-L notes and class A loans are expected to remain investment grade even under the most extreme sensitivity scenarios; results under these sensitivity scenarios ranged between 'Asf' and 'AAAsf' for these four classes.

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

The publication of a RW&Es appendix is not required for this transaction.