KEY RATING DRIVERS:
The affirmation is based on the stable performance of the underlying portfolio since the transaction's inception in
The loan portfolio par amount plus the principal collections cash amount is approximately
The ratings of the notes may be sensitive to the following: asset defaults, portfolio migration, including assets being downgraded to 'CCC', portions of the portfolio being placed on Rating Watch Negative, overcollateralization (OC) or interest coverage (IC) test breaches, or breach of concentration limitations or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of LCM XIII, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.
LCM XIII is an arbitrage, cash flow collateralized loan obligation (CLO) managed by
This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. Given the stable performance of the deal since closing in
The rating of the LCM XIII class A notes is not expected to experience rating volatility in the near term, supporting its Stable Outlook.
Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on
Fitch has affirmed the following rating:
Additional information is available at 'www.fitchratings.com'.
The sources of information used to assess these ratings were the transaction documents and other materials provided by the arranger, Morgan Stanley & Co. LLC, and the public domain.
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Corporate CDOs' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
--'LCM XIII Limited Partnership New Issue Report' (
--'LCM XIII Limited Partnership -- Appendix' (
Counterparty Criteria for Structured Finance and Covered Bonds
Global Rating Criteria for Corporate CDOs
Global Structured Finance Rating Criteria
Primary Surveillance Analyst
Source: Fitch Ratings
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