OREANDA-NEWS. Fitch Ratings assigns the following ratings to Guggenheim Private Debt Fund Note Issuer 2.0, LLC (Guggenheim PDFNI 2.0):

--$149,000,000 class A notes series A-1 'A-sf'; Outlook Stable;
--$50,000,000 class B notes series B-1 'BBB-sf'; Outlook Stable;
--$45,000,000 class C notes series C-1 'BBsf'; Outlook Stable;
--$21,000,000 class D notes series D-1 'Bsf'; Outlook Stable.

The class sizes above are based on $500 million of issuance proceeds expected to be raised at the first funding date. Fitch does not rate the leverage tranche, class E notes and limited liability company interests.

TRANSACTION SUMMARY
Guggenheim PDFNI 2.0 is a collateralized loan obligation (CLO) transaction that will invest in a portfolio comprised of a combination of broadly syndicated loans and middle market private debt investments (PDIs). The manager, Guggenheim Partners Investment Management, LLC (GPIM) is expecting to raise not more than $2 billion of commitments from investors to fund the transaction. Investors will earn class-specific commitment fees on the undrawn portions of their commitments. The commitments are expected to be drawn upon at seven separate funding dates during the investment period. At each funding date, notes and the leverage tranche will be issued in proportions that may decrease the level of credit enhancement (CE) available for each class of rated notes. Assuming the leverage tranche and each class of notes is drawn as contemplated in the indenture at each funding date, credit enhancement can decrease from funding date one to funding date seven as follows:

--Class A notes: 52.2% at funding date one; 42.5% at funding date seven;
--Class B notes: 42.2% at funding date one; 32% at funding date seven;
--Class C notes: 33.2% at funding date one; 24.9% at funding date seven;
--Class D notes: 29% at funding date one; 21.2% at funding date seven.

Fitch expects to assess the creditworthiness of the notes at each of the seven funding dates.

The manager may reinvest proceeds during the transaction's four-year investment period. Fitch has conducted an operational review on GPIM and views GPIM as an acceptable manager for the transaction.

KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) for each class of rated notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in each class's respective rating stress scenario. The degree of CE available to each class of rated notes exceeds the average CE levels typically seen on like-rated tranches of recent CLO issuances backed by middle market loans.

'B-/CCC+' Asset Quality: The average credit quality of the Fitch stressed portfolio is 'B-/CCC+', which is below that of recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality while issuers in the 'CCC' rating category denote substantial credit risk. When analyzing the capital structure for the first funding date, class A, B, C and D notes are projected to be able to withstand default rates of up to 89.8%, 82.2%, 77.6% and 75.5%, respectively.

Strong Recovery Expectations: In determining the rating of the notes, 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 stress assumptions. The Fitch stressed portfolio assumed 100% of the assets were assigned a Fitch Recovery Rating of 'RR3', resulting in a base case recovery assumption of 54.5% for the first funding date. The analysis of the class A and B notes assumed recovery rates of 33.8% in Fitch's 'A-sf' scenario and 41.4% in Fitch's 'BBB-sf' scenario, respectively. Class C and D notes assumed recovery rates of 49.7% in Fitch's 'BBsf' scenario and 54.5% in Fitch's 'Bsf' scenario, respectively.

RATING SENSITIVITIES
Fitch evaluated the first funding date 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 also analyzed the impact of a failure to fund commitments beyond the first funding date, a reduced weighted average life (WAL), a reduction in portfolio par amounts and whether a related decrease of aggregate available excess spread over the lifetime of the transaction would negatively impact the expected performance of the notes. Fitch expects each class of notes to generally remain within one rating category below their original ratings even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'AAAsf' and 'BB+sf' for the class A notes, 'A+sf' and 'BBsf' for the class B notes, 'BBB+sf' and 'B+sf' for the class C notes and 'BBB+sf' and 'B-sf' for the class D notes. The results of the sensitivity analysis also contributed to Fitch's assignment of Stable Outlooks to each class of notes.

VARIATIONS FROM CRITERIA
Fitch analyzed the transaction in accordance with its CLO rating criteria, as described in its November 2015 report, 'Global Rating Criteria for CLOs and Corporate CDOs'.

The Fitch stressed portfolio for this transaction was not created using the indicative portfolio as a basis. Rather, it was created to account for certain unique features of the transaction, such as a relatively low obligor count. Instead of starting with the initial indicative portfolio and making adjustments thereto, the Fitch stressed portfolio for this transaction represents an entirely hypothetical portfolio constructed by Fitch. Fitch created a new portfolio based upon the concentration limitations and collateral quality tests, with a particular focus on obligor concentrations permissible under the indenture. Stressing all obligors to their covenanted levels is a more conservative assumption than stressing the five largest, as is customary with Fitch's analysis of broadly syndicated CLOs in the U.S. This application resulted in a moderate to significant impact on PCM output, since stresses to obligor size typically have a moderate to significant impact on PCM output under the standard application of criteria.

In its cash flow analysis, Fitch applied a flat amortization profile over five years (20 payment periods), evenly distributed around the maximum permissible WAL. This is a more conservative assumption than assuming bullet maturities and has a minor impact versus the standard application of criteria.

Fitch accounted for the maximum allowable industry concentration in the top six industries (as opposed to three, as highlighted in the CLO criteria) in its construction of the Fitch stressed portfolio, given the expectation of a concentrated portfolio of debt and preferred equity from middle market entities. The industries selected generally had the highest correlations in Fitch's PCM. This is a more conservative assumption and has a minor impact versus the standard application of criteria.

Fitch assumed 15% of the portfolio was able to defer interest payments in its cash flow model analysis, in line with the permissible exposure to deferrable items under the concentration limitations. According to the indenture, if these items have been deferring for over a year they will not be given par credit for certain tests. Fitch assumed these assets deferred their interest payments for one year to account for the period in which such asset would be deferring yet still be given par credit. This is a more conservative assumption and has a minor impact versus the standard application of criteria, which does not indicate a specific stress for deferrable assets.

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

An assessment of the transaction's representations, warranties and enforcement mechanisms available to investors was also completed and found to be consistent with the ratings assigned. For further information, see 'Guggenheim Private Debt Fund Note Issuer 2.0, LLC Representations and Warranties Appendix', dated May 20, 2015.