Fitch Rates Voya CLO 2015-3, Ltd./LLC

NEW YORK--()--Fitch Ratings has assigned the following ratings to Voya CLO 2015-3, Ltd./LLC:

--$468,400,000 class A-1a notes 'AAAsf'; Outlook Stable;

--$0 class A-1b notes 'AAAsf'; Outlook Stable;

--$50,000,000 class A-1 loans 'AAAsf'; Outlook Stable;

--$89,400,000 class A-2 notes 'AAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

Voya CLO 2015-3, Ltd. (the issuer) and Voya CLO 2015-3, LLC (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by Voya Alternative Asset Management LLC (VAAM). Net proceeds from the issuance of notes and incurrence of the class A-1 loans will be used to purchase a portfolio of about $800 million of primarily senior secured leveraged loans. The CLO will have a five-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS

Sufficient Credit Enhancement: Credit enhancement (CE) of 35.2% for class A-1a and A-1b notes and class A-1 loans (together, the class A-1 debt) and of 24% for class A-2 notes, in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' and the 'AAsf' stress scenarios, respectively. The degree of CE available to class A-1 debt and class A-2 notes is lower than the average CE for recent 'AAAsf' and 'AAsf' CLO issuances, respectively.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is slightly better than that of recent CLOs. Issuers rated in the 'B' rating category denote relatively weak credit quality; however, in Fitch's opinion, class A-1 debt and class A-2 notes are unlikely to be affected by the foreseeable level of defaults. Class A-1 debt and class A-2 notes are robust against default rates of up to 59.2% and 55.1%, respectively.

Strong Recovery Expectations: The indicative portfolio consists of 96.1% first lien senior secured loans. Approximately 88.4% 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 77.3%.

In determining the ratings for class A-1 debt and A-2 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, resulting in recovery rates of 36.6% and 44.7% in Fitch's 'AAAsf' and 'AAsf' scenarios, respectively.

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 and class A-1 loans to remain investment grade and the class A-2 notes to remain within three rating categories of its assigned rating 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 and class A-1 loans and 'BB+sf' and 'AAsf' for the 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.

Additional information is available at www.fitchratings.com.

Sources of Information:

Sources of information used to assess these ratings were provided by the arranger, Citigroup Global Markets Inc. and the public domain

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 14 May 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 19 Dec 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=838868

Global Rating Criteria for CLOs and Corporate CDOs (pub. 30 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=868908

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=991584

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=991584

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

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Contacts

Fitch Ratings
Primary Analyst
Erika Tsang, CFA
Director
+1-212-908-0817
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Pasquale Giordano, CFA
Director
+1-212-908-0797
or
Committee Chairperson
Derek Miller
Senior Director
+1-312-368-2076
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Erika Tsang, CFA
Director
+1-212-908-0817
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Secondary Analyst
Pasquale Giordano, CFA
Director
+1-212-908-0797
or
Committee Chairperson
Derek Miller
Senior Director
+1-312-368-2076
or
Media Relations:
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com