January 23, 2013 / 9:21 PM / 5 years ago

TEXT-Fitch affirms LCM X Limited Partnership

Jan 23 () - Fitch Ratings has affirmed the following two classes of LCM X
Limited Partnership (LCM X):

--$259,000,000 class A notes at 'AAAsf'; Outlook Stable;
--$45,000,000 class B notes at 'AAsf'; Outlook Stable.

The affirmation is based on the stable performance of the underlying portfolio
since the transaction's inception in February 2012. As of the Jan. 4, 2013
trustee report, the transaction continues to pass all of its coverage tests and
collateral quality tests, and there have been no defaults in the underlying
portfolio to date.

Fitch currently considers 3.7% of the collateral assets to be rated in the 'CCC'
category, compared to 6.4% of the indicative portfolio at closing. The average
credit quality of the portfolio is approximately 'B'. Second lien loans
represent just 2.6% of the current portfolio according to the most recent
trustee report, as compared to a permitted 10% bucket, with the remaining
portfolio being invested in first priority senior secured loans. The portfolio
par amount is approximately $400.7 million, compared to the initial target par
balance of $400 million. The transaction remains in its reinvestment period,
which is scheduled to end in April 2015.

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.
These default and recovery levels were then utilized in Fitch's cash flow model
under various combinations of default timing and interest rate stress scenarios,
as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. The
cash flow model was customized to reflect the transaction's structural features.

Fitch's portfolio and cash flow analysis demonstrated that the credit
enhancement provided to the class A and class B notes remain consistent with the
current rating levels. The class A and the class B notes are not expected to
experience rating volatility in the near term, supporting the Stable Outlook on
the notes.

LCM X is an arbitrage, cash flow collateralized loan obligation (CLO) that
closed on Feb. 15, 2012 and is managed by LCM Asset Management LLC.

Additional information is available at 'www.fitchratings.com'. The ratings above
were solicited by, or on behalf of, the issuer, and therefore, Fitch has been
compensated for the provision of the ratings.

The information used to assess these ratings was sourced from the periodic
trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2012);
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions'
(March 20, 2012);
--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012).

Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Global Rating Criteria for Corporate CDOs
Global Criteria for Cash Flow Analysis in CDOs
Criteria for Interest Rate Stresses in Structured Finance Transactions
Counterparty Criteria for Structured Finance Transactions

Our Standards:The Thomson Reuters Trust Principles.
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