OREANDA-NEWS. Fitch Ratings assigns the following ratings to Maranon Loan Funding 2015-1, Ltd./LLC:

--$94,000,000 class A-1 notes 'AAAsf', Outlook Stable;
--$99,100,000 class A-2 notes 'AAAsf', Outlook Stable.

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

TRANSACTION SUMMARY
Maranon Loan Funding 2015-1, Ltd. (the issuer) and Maranon Loan Funding 2015-1, LLC (the co-issuer) together comprise a middle-market (MM) collateralized loan obligation (CLO) that will be managed by Maranon Capital, L.P. Net proceeds from the issuance of the secured notes and subordinated notes will be used to purchase a portfolio of approximately $350 million primarily senior secured MM loans. The CLO will have an approximately four-year reinvestment period and two-year noncall period.

KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 44.8% for class A-1 and class 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 the 'AAAsf' stress scenario. The CE is significantly higher than the levels typically seen for CLOs backed by broadly syndicated loans and higher than levels seen on recent Fitch-rated MM CLOs.

'B/B-' Asset Quality: Fitch expects the credit quality of the underlying obligors to primarily fall in the 'B/B-' range. Fitch's base case analysis centered on a portfolio with a weighted average rating factor (WARF) of 38, in accordance with the initial expected matrix point. The analysis on such portfolio, in addition to analysis on the other permitted matrix points, indicated the class A notes demonstrate cash flow performance in line with other Fitch-rated 'AAAsf' CLO notes. In the base case analysis class A notes are projected to be able to withstand default rates of up to 73.6%.

Strong Recovery Expectations: The transaction documents require a minimum of 95% of the portfolio to be invested in senior secured loans, cash and eligible investments. Portfolio management is also governed by a Fitch weighted average recovery rate (WARR) test. In its base case analysis of the class A notes, Fitch modified the WARR of the portfolio to reach the base case trigger of 69%, and further reduced recovery assumptions for higher rating stress scenarios. The base case analysis of the class A notes assumed a 34.9% 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-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 class A-2 notes.

Key Rating Drivers and Rating Sensitivities are further described in the accompanying new issue report, which will be available shortly 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.