KEY RATING DRIVERS
The affirmation is based on the stable performance of the underlying portfolio since Fitch's last review and the stable credit enhancement available to the notes. As of the
The loan portfolio par amount plus principal cash is approximately
The Stable Outlook reflects the expectation that the class A notes have a sufficient level of credit protection to withstand potential deterioration in the credit quality of the portfolio, based on the results of the Fitch sensitivity analysis described below.
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 XII, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.
LCM XII 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
Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on
Fitch has affirmed the following rating:
Fitch does not rate the class B, C, D, or E notes or the LP Certificates. The class X notes paid in full on the
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings were sourced from periodic servicer reports, the transaction documents and the public domain.
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Corporate CDOs' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
--'LCM XII Limited Partnership New Issuer Report' (
--'LCM XII Limited Partnership Representations and Warranties New Issue Appendix' (
Global Structured Finance Rating Criteria
Global Rating Criteria for Corporate CDOs
Counterparty Criteria for Structured Finance and Covered Bonds
Primary Surveillance Analyst
Source: Fitch Ratings
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