OREANDA-NEWS. Fitch Ratings expects to assign the following ratings and Rating Outlooks to Upland CLO, Ltd./LLC:

--$235,000,000 class A-1A notes 'AAAsf'; Outlook Stable;
--$25,000,000 class A-1B notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Upland CLO, Ltd. (the issuer) and Upland CLO, LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Invesco Senior Secured Management, Inc. (Invesco). Net proceeds from the issuance of secured debt and subordinated notes will be used to purchase a portfolio of approximately $400 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 35.0% for class A-1A and A-1B notes (collectively, class A-1 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 to class A-1 notes is slightly below the average CE of recent 'AAAsf' CLO notes; however, cash flow modeling indicates performance in line with other 'AAAsf' Fitch-rated CLO notes.

'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, in Fitch Ratings' opinion, class A-1 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 notes are projected to be able to withstand default rates of up to 63.9%.

Strong Recovery Expectations: The indicative portfolio consists of 98.4% first-lien senior secured loans. Approximately 93.1% 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 79.7%. In determining the class A-1 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 40% 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-1A and A-1B 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-1A and A-1B notes.