OREANDA-NEWS. Fitch Ratings expects to assign the following ratings and Rating Outlooks to AMMC CLO 18, Limited/Corp.:

--$58,000,000 class AL1 notes 'AAAsf'; Outlook Stable;
--$155,000,000 class AL2 notes 'AAAsf'; Outlook Stable;
--$30,000,000 class AF notes 'AAAsf'; Outlook Stable.

Fitch does not expect to rate the class B, C, D, E1, E2 or subordinated notes.

TRANSACTION SUMMARY
AMMC CLO 18, Limited (the issuer) and AMMC CLO 18, Corp. (the co-issuer) comprise an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by American Money Management Corporation. Net proceeds from the issuance of the secured and subordinated notes will be used to purchase a portfolio of approximately $400 million of primarily senior secured leveraged loans. The CLO will have a four-year reinvestment period and a two-year noncall period.

KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 39.3% for class AL1, AL2 and AF notes (when referenced together, class A), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The degree of CE to class A notes is above the average CE of recent 'AAAsf' CLO notes, and 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 comparable to recent CLOs. Issuers rated in the 'B' rating category denote a highly speculative credit quality; however, in Fitch's opinion, class A notes are unlikely to be affected by the foreseeable level of defaults. Class A notes are robust against default rates of up to 68.8%.

Strong Recovery Expectations: The indicative portfolio consists of 99.7% first lien senior secured loans. Approximately 93.6% 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 81.8%. In determining the class A note ratings, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions of higher rating stress assumptions, resulting in a 41% recovery rate assumption 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 AL1, AL2 and AF notes to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'AA+sf' and 'AAAsf' for the class AL1, AL2 and AF notes.

Fitch published an exposure draft of its Counterparty Criteria for Structured Finance and Covered Bonds on April 14, 2016. The exposure draft serves as the operable criteria report for this ratings analysis. The transaction currently also conforms to Fitch's existing counterparty criteria (dated May 14, 2014). Therefore, there would be no impact to expected ratings should the proposed criteria not be adopted.