OREANDA-NEWS. Fitch Ratings expects to assign the following ratings to Cole Park CLO Limited/LLC:

-- $53,000,000 class A-1 loans 'AAAsf'; Outlook Stable;
-- $202,000,000 class A-1 notes 'AAAsf'; Outlook Stable;
-- $15,000,000 class A-2 notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY
Cole Park Limited (issuer) and Cole Park CLO LLC (co-issuer), together comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by GSO / Blackstone Debt Funds Management LLC. Net proceeds from the issuance of the secured debt and subordinated notes will be used to purchase a portfolio of approximately $425 million primarily senior secured leveraged loans. The CLO will have an approximately five-year reinvestment period and a two-year non-call period.

KEY RATING DRIVERS
Sufficient Credit Enhancement (CE): CE of 36.5% for the class A-1 loans, class A-1 notes, and class A-2 notes (together, class A debt) in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a 'AAAsf' stress scenario. The level of CE for class A debt is in line with the average for recent CLO issuances. Cash flow modeling indicates performance in line with other 'AAAsf' Fitch-rated 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 relatively weak credit quality; however, in Fitch's opinion, the class A debt is unlikely to be affected by the foreseeable level of defaults. Class A debt is robust against default rates of up to 62.6%.

Strong Recovery Expectations: The indicative portfolio consists of 96.6% senior secured loans. Approximately 90.9% of the indicative portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher, and the base case recovery assumption is 76.8%. In determining the ratings for the class 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 37.0% 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 A-1 loans, class A-1 notes, and class A-2 notes to remain investment grade even under the most extreme sensitivity scenarios; results under these sensitivity scenarios ranged between 'Asf' and 'AAAsf' for these three classes.

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 RW&Es appendix is not required for this transaction.