Fitch Rates CIFC Funding 2015-I, Ltd./LLC Refinancing Obligations

NEW YORK--()--Fitch Ratings has assigned the following ratings to CIFC Funding 2015-I, Ltd./LLC (CIFC 2015-I):

--$75,000,000 class A-1R notes 'AAAsf'; Outlook Stable;

--$315,000,000 class A-2R loans 'AAAsf'; Outlook Stable;

--$0 class A-2R notes 'AAAsf'; Outlook Stable.

Class A-1 and A-2 notes and the class A-2 loans have been marked 'PIF.'

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

KEY RATING DRIVERS

CIFC 2015-I issued class A-1R, A-2R, B-R and C-R notes (collectively, the refinancing notes) and incurred the class A-2R loans (together with the refinancing notes, the refinancing obligations) and applied the net proceeds thereof to redeem the existing class A-1, A-2, B and C notes and class A-2 loans at par (plus accrued interest) on the refinancing date of Dec. 8, 2016. No other classes of notes were refinanced.

The refinancing notes generally have the same terms as the previously outstanding classes; except that the stated coupons have changed and the $340 million class A-1 notes and $50 million class A-2 loans are refinanced with the issuance of $75 million class A-1R notes and incurrence of $315 million of class A-2R loans (together with the class A-2R notes, the class A debt). The class B-R and C-R notes were issued in the same amounts as the previously outstanding class B and C notes. Spreads over three-month LIBOR were reduced to 1.39%, 1.95% and 2.80% on the class A debt, class B-R notes and class C-R notes, respectively. The class A debt and class C-R notes are also subject to a 0% LIBOR floor.

The reduction in the cost of the liabilities is viewed as credit positive and no other material changes were made to the capital structure or underlying portfolio as a result of the refinancing.

The transaction is still in its reinvestment period (ending April 2019) and continues to display stable performance since Fitch's last review in January 2016. All coverage tests continue to pass, and the rating default rate (RDR) and rating loss rate (RLR) for the current portfolio are still lower than the RDR and RLR modelled for the stress portfolio at close. As a result, the modelled Fitch stressed portfolio at close continues to serve as a proxy, and an updated cash flow model analysis was not conducted for this rating action. Fitch has determined that the ratings on the class A-1R notes, A-2R notes and class A-2R loans shall be assigned at the same rating levels ('AAAsf'; Outlook Stable) as the original class A-1 notes, A-2 notes and class A-2 loans.

The loan portfolio par amount plus principal cash is approximately $602.1 million, as of the November 2016 trustee report, and all collateral quality tests and concentration limitations are in compliance. The current weighted average spread (WAS) is 4.10% versus a minimum WAS threshold of 3.95%. The weighted average Fitch rating factor remains at 'B/B-', based on Fitch's Issuer Default Rating (IDR) Equivalency Map. Additionally, approximately 91.8% of the portfolio has a strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher.

CIFC 2015-I is executing the partial refinancing via the First Supplemental Indenture, which also amends certain provisions regarding the subsequent refinancing and re-pricing of the refinancing obligations. No class of the refinancing obligations shall be subject to any optional redemption by refinancing or re-pricing until after the refinancing non-call period ending in December 2017. No class of refinancing obligations shall be subject to any redemption by refinancing unless all classes of secured debt are subject to such refinancing. In addition, no class of refinancing obligations shall be subject to a re-pricing, unless all classes of secured debt (except the class A debt) are subject to such re-pricing. The class A debt is not subject to re-pricings at any time.

The Stable Outlooks on the class A-1R notes, A-2R notes and A-2R loans reflect the expectation that each class has sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with such class's rating.

RATING SENSITIVITIES

The rating of the A-1R notes may be sensitive to the following: asset defaults, significant negative credit migration, and lower than historically observed recoveries for defaulted assets. Fitch conducted rating sensitivity analysis on the closing date of CIFC Funding 2015-I, Ltd./LLC, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities. Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on May 9, 2016.

DUE DILIGENCE USAGE

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

REPRESENTATIONS, WARRANTIES AND ENFORCEMENT MECHANISMS

A description of the transaction's representations, warranties and enforcement mechanisms (RW&Es) that are disclosed in the offering document and which relate to the underlying asset pool was not prepared for this transaction. Offering documents for U.S. CLO transactions do not typically include RW&Es that are available to investors and that relate to the asset pool underlying the security. Therefore, Fitch credit reports for U.S. CLO transactions will not typically include descriptions of RW&Es. For further information, please see Fitch's Special Report titled 'Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions,' dated May 31, 2016.

Additional information is available at www.fitchratings.com.

Sources of Information:

The information used to assess these ratings was sourced from periodic trustee reports, the public domain and the arranger (Nomura Securities International, Inc.).

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 01 Sep 2016)

https://www.fitchratings.com/site/re/886006

Global Rating Criteria for CLOs and Corporate CDOs (pub. 09 Sep 2016)

https://www.fitchratings.com/site/re/887497

Global Structured Finance Rating Criteria (pub. 27 Jun 2016)

https://www.fitchratings.com/site/re/883130

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1016144

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1016144

Endorsement Policy

https://www.fitchratings.com/regulatory

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Fitch Ratings
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Timothy Chan
Associate Director
+1-646-582-4955
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Christine Yoon
Senior Director
+1-212-908-0603
or
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Alina Pak, CFA
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+1-312-368-3184
or
Media Relations:
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sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Timothy Chan
Associate Director
+1-646-582-4955
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Christine Yoon
Senior Director
+1-212-908-0603
or
Committee Chairperson
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com