Fitch Ratings has affirmed the class A notes and upgraded the Combination Notes in Monroe Capital MML CLO VI, Ltd..

The Rating Outlooks for both tranches are Stable.

RATING ACTIONS

Entity / Debt

Rating

Prior

Monroe Capital MML CLO VI, Ltd.

A 61034HAA2

LT

AAAsf

Affirmed

AAAsf

Combination Notes 61034LAE5

LT

AAsf

Upgrade

A+sf

Page

of 1

VIEW ADDITIONAL RATING DETAILS

Transaction Summary

Monroe Capital MML CLO VI, Ltd. (Monroe VI) is a middle-market (MM) collateralized loan obligation (CLO) managed by Monroe Capital Management, LLC. Monroe VI closed in March 2018, and has exited its reinvestment period as of April 2022. This CLO is secured primarily by first-lien, senior secured MM loans.

KEY RATING DRIVERS

The upgrade of Monroe VI's combination notes is driven by paydowns of 6.2% of their original balance since last rating action, contributing to a total paydown of 29.9% of their original balance since closing.

Asset Credit Quality, Asset Security, Portfolio Management and Portfolio Composition

The ongoing deleveraging is expected to offset increasing portfolio concentration and deterioration in credit quality. Fitch WARF (weighted average rating factor) increased to 33.0 based on December 2022 portfolio from 31.4 at last review based on December 2021 portfolio, but remains at the 'B-' rating level . Obligor count is 141 and top 10 obligors are approximately 12.3% compared to 150 and 11.5%, respectively, at last review. Senior secured loan obligations and principal cash comprise 99.5% of the portfolio and the average Fitch weighted-average recovery rate is 70.6%. As of the December 2022 trustee report, the aggregate portfolio par amount was approximately 0.2% above the original target par amount.

As of the December 2022 trustee report, there were two defaulted assets comprising 0.5% of the portfolio.

The deal is failing the Moody's Caa%, WAL (weighted average life), and Moody's WARF tests, but all other coverage tests, concentration limitations, and collateral quality tests are in compliance.

Cash Flow Analysis

The impact of the deleveraging was considered in the cash flow modelling.

Monroe Vi exited its reinvestment period in April 2022 and has paid down about 20.6% of the class A notes since last review. Accordingly, this review did not use updated Fitch Stressed Portfolio (FSP) analysis. The analysis for Monroe considered cash flow modelling results for the current portfolio with issuers on negative outlook notched down by one notch.

The ratings on the class A notes are in line with the model-implied rating (MIR) as defined in the criteria, but for the combination securities, two notches below MIR. This is due to potential negative migration of the collateral, given the exposure to issuers on outlook negative and Fitch's watchlist.

The Stable Outlooks reflect Fitch's expectation that the notes have sufficient levels of credit protection to withstand potential deterioration in the credit quality of the portfolio in stress scenarios commensurate with the class's ratings.

RATING SENSITIVITIES

Factors that could, individually or collectively, lead to negative rating action/downgrade:

Downgrades may occur if realized and projected losses of the portfolio are higher than what was assumed at closing and the notes' credit enhancement (CE) do not compensate for the higher loss expectation than initially anticipated.

A 25% increase of the mean default rate across all ratings, along with a 25% decrease of the recovery rate at all rating levels for the current portfolio, would lead to no rating change for the class A notes and a downgrade of two notches for the combination notes.

Factors that could, individually or collectively, lead to positive rating action/upgrade:

Except for the tranches already at the highest 'AAAsf' rating, upgrades may occur in the event of better-than-expected portfolio credit quality and transaction performance.

A 25% reduction of the mean default rate across all ratings, along with a 25% increase of the recovery rate at all rating levels for the current portfolio, would lead to upgrades of two notches for the combination notes.

Best/Worst Case Rating Scenario

International scale credit ratings of Structured Finance transactions have a best-case rating upgrade scenario (defined as the 99th percentile of rating transitions, measured in a positive direction) of seven notches over a three-year rating horizon; and a worst-case rating downgrade scenario (defined as the 99th percentile of rating transitions, measured in a negative direction) of seven notches over three years. The complete span of best- and worst-case scenario credit ratings for all rating categories ranges from 'AAAsf' to 'Dsf'. Best- and worst-case scenario credit ratings are based on historical performance. For more information about the methodology used to determine sector-specific best- and worst-case scenario credit ratings, visit https://www.fitchratings.com/site/re/10111579.

USE OF THIRD PARTY DUE DILIGENCE PURSUANT TO SEC RULE 17G -10

Form ABS Due Diligence-15E was not provided to, or reviewed by, Fitch in relation to this rating action.

DATA ADEQUACY

Fitch has checked the consistency and plausibility of the information it has received about the performance of the asset pool and the transaction. Fitch has not reviewed the results of any third-party assessment of the asset portfolio information or conducted a review of origination files as part of its ongoing monitoring.

The majority of the underlying assets or risk-presenting entities have ratings or credit opinions from Fitch and/or other nationally recognized statistical rating organizations and/or European securities and markets authority-registered rating agencies. Fitch has relied on the practices of the relevant groups within Fitch and/or other rating agencies to assess the asset portfolio information or information on the risk-presenting entities.

Overall, and together with any assumptions referred to above, Fitch's assessment of the information relied upon for the agency's rating analysis according to its applicable rating methodologies indicates that it is adequately reliable.

REFERENCES FOR SUBSTANTIALLY MATERIAL SOURCE CITED AS KEY DRIVER OF RATING

The principal sources of information used in the analysis are described in the Applicable Criteria.

Additional information is available on www.fitchratings.com

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