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 principal cash is approximately
The Stable Outlook reflects the expectation that the class A note has 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 XIV, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.
LCM XIV 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, E, or F notes or the LP Certificates.
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 XIV Limited Partnership New Issue Report' (
--'LCM XIV Limited Partnership - 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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