Fitch Ratings assigns the following ratings to the notes issued on the Third Funding Date by Guggenheim Private Debt Fund Note Issuer 2.0, LLC (Guggenheim PDFNI 2):

--$65,000,000 Class A, Series A-3, 'A-sf', Outlook Stable;

--$25,000,000 Class B, Series B-3, 'BBB-sf', Outlook Stable;

--$16,500,000 Class C, Series C-3, 'BBsf', Outlook Stable;

--$8,375,000 Class D, Series D-3, 'Bsf', Outlook Stable.

Fitch does not rate the leverage tranche, class E notes, and limited liability company membership interests.

In addition, the note issuance will not result in any rating action on the existing notes issued on April 12, 2016 (the first funding date) and the Series 2 notes issued on July 8, 2016 (the second funding date). A full list of existing rated notes follows at the end of this release.

TRANSACTION SUMMARY

Fitch assigned ratings to the notes issued on the third funding date, occurring on Aug. 30, 2016. Pursuant to the third funding date, the issuer has drawn an aggregate of $160 million from the commitments plus $90 million from the leverage tranche (not rated by Fitch). Of the $160 million, $45.125 million was issued in the form of first-loss class E notes and LLC membership interests, both of which are also not rated by Fitch.

The first and second funding dates had occurred on April 12, 2016 and July 8, 2016, respectively, achieving a total capitalization of $750 million through the second funding date. This amount consisted of $397.1 million of rated notes, $202.9 million of unrated first-loss class E notes and LLC interests, and $150 million from the leverage tranche. All notes from each series are cross-collateralized by the entire collateral portfolio, which is expected to consist of approximately $161.9 million of broadly syndicated loans, $758.4 million of private-debt investments (PDIs) and approximately $91.1 million in cash.

Guggenheim PDFNI 2.0 is a collateralized loan obligation (CLO) transaction that invests in a portfolio composed of a combination of broadly syndicated loans and middle-market PDIs. The manager, Guggenheim Partners Investment Management, LLC (GPIM) may raise up to $2 billion of commitments from investors to fund the transaction. Investors earn class-specific commitment fees on the undrawn portions of their commitments. The commitments are expected to be fully drawn through a maximum of 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. CE levels at each funding date are further described in Fitch's report 'Guggenheim Private Debt Fund Note Issuer 2.0, LLC' dated Sept. 25, 2015.

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

KEY RATING DRIVERS

Sufficient 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 third funding date, class A, B, C and D notes are projected to be able to withstand default rates of up to 85.5%, 77.9%, 73.9% and 72.7%, respectively.

Fitch's cash flow modelling results for each class of notes indicated higher passing ratings than the assigned rating levels. However, Fitch will not be assigning ratings higher than the current ratings due to the provision for additional funding dates resulting in a more leveraged capital structure, per the transaction's documents.

Strong Recovery Expectations: In determining the rating of the notes, Fitch created a stressed portfolio and assumed recovery prospects consistent with a Fitch Recovery Rating of 'RR3' in line with the collateral quality test limit for asset recoveries.

FITCH ANALYSIS

Analysis was conducted on a Fitch-stressed portfolio which was created by Fitch and designed to address the impact of the most prominent risk-presenting concentration allowances and targeted test levels to ensure that the transaction's expected performance is in line with the ratings assigned. The Fitch-stressed portfolio and notable portfolio concentration limitations are described in the press release 'Fitch Rates Guggenheim Private Debt Fund Note Issuer 2.0, LLC' dated April 12, 2016.

In the indicative portfolio Fitch had received for the third funding date, Fitch classified 24% of the loan assets as business services. This exceeds the maximum 20% limitation for the top industry, per the transaction documents. To address this excess exposure, the industry concentration for business services in the Fitch-stressed portfolio was increased to 24%.The remaining top five industries were increased to 20%, 15%, 15%, 15% and 11%, respectively.

RATING SENSITIVITIES

Fitch evaluated the third funding date structure's sensitivity to the potential variability of key model assumptions including decreases in recovery rates and increases in default rates or correlation. Fitch also analyzed the impact of a failure to fund commitments beyond the third funding date. Further details on additional rating sensitivities conducted at the first funding date can also be found in Fitch's press release 'Fitch Rates Guggenheim Private Debt Fund Note Issuer 2.0, LLC' dated April 12, 2016.

Fitch expects each class of notes to remain within one rating category of their original ratings even under the most extreme sensitivity scenarios. Some notes were able to withstand rating stresses within two rating categories in certain scenarios. Results under these sensitivity scenarios ranged between 'AA+sf' and 'BBBsf' for the class A notes; 'BBB+sf' and 'BBsf' for the class B notes; 'BBBsf' and 'B+sf' for the class C notes; and 'BB+sf' and 'B-sf' for the class D notes.

The results of the sensitivity analysis also contributed to Fitch's assignment of Stable Outlooks for each class of notes.

VARIATIONS FROM CRITERIA

Fitch analyzed the transaction in accordance with its CLO rating criteria, as described in its July 2016 report, 'Global Rating Criteria for CLOs and Corporate CDOs', with the following variations.

The Fitch stressed portfolio for this transaction represents an entirely hypothetical portfolio constructed by Fitch. This stressed portfolio contained a total of 39 obligors, each representing the maximum covenanted exposure permissible for the portfolio. Fitch's typical analysis of middle-market CLOs in the U.S. assumes a maximum covenant exposure for the largest 10 obligors only. The variation is a more conservative assumption and has a minor impact versus the standard application of criteria.

Fitch accounted for the maximum allowable industry concentration in the top five 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. 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.

USE OF THIRD-PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G-10

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 is available by accessing the appendix referenced under "Related Research" below. The appendix also contains a comparison of these RW&Es to those Fitch considers typical for the asset class as detailed in the Special Report titled "Representations, Warranties and Enforcement Mechanisms in Global Structured Finance Transactions," dated May 31, 2016.

PERFORMANCE ANALYTICS

Surveillance analysis is conducted on the basis of the then-current portfolio. Fitch expects to have credit views, via either public ratings or credit opinions, on all of the PDIs that will be purchased for the portfolio. Fitch will rely on the issuer to provide it with relevant financial information on such borrowers on an ongoing basis so that Fitch may maintain its ratings on the transaction.

Details of the transaction's performance are available to subscribers on Fitch's web site at 'www.fitchratings.com'.

The third funding will not result in a rating action on the following notes, which are currently rated as follows:

--$149,000,000 Class A, Series A-1, 'A-sf', Outlook Stable;

--$50,000,000 Class B, Series B-1, 'BBB-sf', Outlook Stable;

--$45,000,000 Class C, Series C-1, 'BBsf', Outlook Stable;

--$21,000,000 Class D, Series D-1, 'Bsf', Outlook Stable;

--$76,000,000 Class A, Series A-2, 'A-sf', Outlook Stable;

--$25,000,000 Class B, Series B-2, 'BBB-sf', Outlook Stable;

--$21,000,000 Class C, Series C-2, 'BBsf', Outlook Stable;

--$10,125,000 Class D, Series D-2, 'Bsf', Outlook Stable.

Sources of Information:

The sources of information used to assess these ratings were the transaction documents provided by the manager, GPIM, and the public domain. The manager is expected to provide financial information related to the PDIs to Fitch's leveraged finance group, which used the information to establish credit opinions on these borrowers.

Additional information is available at www.fitchratings.com

Applicable Criteria

Counterparty Criteria for Structured Finance and Covered Bonds (pub. 18 Jul 2016)

https://www.fitchratings.com/site/re/884963

Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds (pub. 17 May 2016)

https://www.fitchratings.com/site/re/879815

Global Rating Criteria for CLOs and Corporate CDOs (pub. 28 Jul 2016)

https://www.fitchratings.com/site/re/885653

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

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

Related Research

Guggenheim Private Debt Fund Note Issuer 2.0, LLC -- Appendix

https://www.fitchratings.com/site/re/871685

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=1011018

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=1011018

Endorsement Policy

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

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

Fitch RatingsPrimary AnalystNazneen Kutty, +1-312-368-3217Associate DirectorFitch Ratings, Inc.70 West Madison StreetChicago, IL 60602orSecondary AnalystChristine Yoon, +1-212-908-0603Senior DirectororCommittee ChairpersonDerek Miller, +1-312-368-2076Managing DirectororMedia Relations, New YorkSandro Scenga, +1-212-908-0278sandro.scenga@fitchratings.com