Fitch Affirms LCM X Limited Partnership

Fitch Ratings has affirmed the class A and B notes issued by LCM X Limited Partnership (LCM X) at 'AAAsf' and 'AAsf', respectively. The Rating Outlook on each class remains Stable.

KEY RATING DRIVERS

The ratings affirmation is based on the stable performance of the underlying portfolio since the transaction's inception in February 2012 and the stable credit enhancement available to the notes. As of the Dec. 5, 2013 trustee report, the transaction continues to pass all of its coverage tests and collateral quality tests.

The loan portfolio par amount plus principal cash is approximately $400.8 million, compared to the effective date target par balance of $400 million, causing the class A and B notes credit enhancement levels to increase to 35.4% and 24.1%, respectively, from 35.3% and 24.0% at closing. The average credit quality of the portfolio has improved to 'B+/B' from 'B/B-' at closing. The portfolio is invested in 98.5% senior secured loans and 1.5% second lien loans. The weighted average spread (WAS) has declined to 4.02% from 4.65% in February 2013; however, the test is still passing the current trigger level of 4.0%. Additionally, the maximum weighted average life (WAL) trigger is 5.25 years, versus a current WAL of 5.06 years. The trustee reports 1.2% 'CCC' assets versus a maximum allowance of 7.5%, based upon S&P ratings. Fitch currently considers 3.9% of the collateral assets to be rated in the 'CCC' category versus 6.4% in the indicative portfolio at closing, based upon Fitch's Issuer Default Rating (IDR) Equivalency Map.

The transaction remains in its reinvestment period, which is scheduled to end in April 2015.

RATING SENSITIVITIES

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, OC or IC test breaches, or breach of concentration limitations or portfolio quality covenants. Fitch conducted rating sensitivity analysis on the closing date of LCM X, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on April 9, 2012.

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.

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 February 2012, there was no updated cash flow modeling completed. The WAS, WAL, and PCM outputs are all in line with the levels at closing. The current portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery Rate (RRR) outputs from PCM are 46.2% and 42.9%, respectively, versus an RDR of 52.2% and RRR of 42.7% for the indicative portfolio at closing. The 'AAsf' RDR and RRR outputs are 43.0% and 52.1%, respectively, versus an RDR of 48.7% and RRR 52.0% at closing. The class A and B notes were able to withstand defaults of 62.3% and 58.9%, respectively, at closing.

A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is available by accessing the reports and links indicated below.

Fitch has affirmed the following ratings:

LCM X Limited Partnership:

--Class A notes at 'AAAsf'; Outlook Stable;

--Class B notes at 'AAsf'; Outlook Stable.

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

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2013);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 13, 2013);

--'LCM X Limited Partnership New Issue Report' (April 9, 2012);

--'LCM X Limited Partnership -- Appendix' (April 9, 2012).

Applicable Criteria and Related Research:

LCM X Limited Partnership -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=676053

LCM X Limited Partnership

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=674971

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=707155

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=715492

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=814551

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