OREANDA-NEWS. Fitch Ratings assigns the following ratings to Magnetite XVII, Limited/LLC:

--$320,000,000 class A notes 'AAAsf'; Outlook Stable;
--$2,400,000 class X notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY
Magnetite XVII, Limited (the issuer) and Magnetite XVII, LLC (the co-issuer) is an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by BlackRock Financial Management, Inc. (BlackRock). Net proceeds from the issuance of the secured notes and subordinated securities 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% for class A notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in a '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 primarily from the application of interest proceeds via the interest waterfall.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is approximately 'B+/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 A and X notes are unlikely to be affected by the foreseeable level of defaults. Class A and X notes are projected to be able to withstand default rates of up to 63% and 98.8%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 97.1% first lien senior secured loans. Approximately 90.6% 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 80.2%. In determining the class A and X 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 41.5% 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 weighted average spread or recovery rates and increases in default rates or correlation. Fitch expects the class A and X notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios were consistently 'AAAsf' for the class X notes and ranged between 'A+sf' and 'AAAsf' for the class A notes.

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