OREANDA-NEWS. Fitch Ratings expects to assign the following ratings to Neuberger Berman CLO XX, Ltd./LLC:

--$3,000,000 class X notes 'AAA(EXP)sf'; Outlook Stable;
--$317,500,000 class A notes 'AAA(EXP)sf'; Outlook Stable.

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

TRANSACTION SUMMARY

Neuberger Berman CLO XX, Ltd. (the issuer) and Neuberger Berman CLO XX, LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Neuberger Berman Fixed Income LLC (Neuberger Berman). 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 an approximately four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 36.5% for class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in an 'AAAsf' stress scenario. The degree of CE available to class A notes is in line with the average CE of recent CLO issuances. Class X notes are ultimately expected to be paid in full from the application of interest proceeds via the interest waterfall.

'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 a highly speculative credit quality; however, in Fitch's opinion, 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 92.2% and 60.0% respectively.

Strong Recovery Expectations: The indicative portfolio consists of 95.0% first lien senior secured loans. Approximately 84.3% 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 74.0%. 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 A notes to remain investment grade even under the most extreme sensitivity scenarios; results under these sensitivity scenarios ranged between 'Asf' and 'AAAsf'. The class X notes passed at the 'AAAsf' rating level in all sensitivity scenarios tested.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying presale report, which is available to investors on Fitch's website at 'www.fitchratings.com'.

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.