OREANDA-NEWS. Fitch Ratings has affirmed the class X and A notes issued by Madison Park Funding XIII, Ltd./LLC (Madison Park XIII) at 'AAAsf'. The Rating Outlook remains Stable.

KEY RATING DRIVERS

The affirmation is based on the stable performance of the underlying portfolio since the transaction's inception in February 2014 and the credit enhancement available to the notes. As of the Jan. 6, 2015 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.

The loan portfolio par amount plus principal cash is approximately \$726.2 million, compared to the effective date target par balance of \$719.3 million. The weighted average rating has remained in the 'B/B-' range, and Fitch currently considers 2.3% of the portfolio (including unsettled trades) to be rated in the 'CCC' category versus 4.3% in the indicative portfolio at closing, based upon Fitch's Issuer Default Rating (IDR) Equivalency Map. The weighted average spread (WAS) is 4.6%, relative to the trigger level of 4.4%. The weighted average life (WAL) is 5.1 years, which is below the trigger level of 7.25 years. The portfolio (including unsettled trades) is invested in approximately 96.2% senior secured loans and 3.8% second lien loans. In addition, approximately 89.1% of the portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

The Stable Outlooks reflect the expectation that the class X and 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.

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, 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 Madison Park XIII, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.

Madison Park XIII is an arbitrage, cash flow collateralized loan obligation (CLO) managed by Credit Suisse Asset Management, LLC. The transaction remains in its reinvestment period, which is scheduled to end in January 2018. Discretionary sales are permitted at any time and are limited to 20% of the collateral principal amount each year (as measured by the portfolio balance at the beginning of such calendar year). Sales of defaulted, credit-risk and credit-improved securities are permitted at any time, including after the reinvestment period. The manager also has the ability to reinvest unscheduled principal proceeds and proceeds from credit-risk sales after the reinvestment period, subject to certain conditions.

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, no updated cash flow modeling was completed. The current portfolio's 'AAAsf' Rating Default Rate (RDR) and Rating Recovery Rate (RRR) outputs from PCM are 49.3% and 37.9%, respectively, versus an RDR of 51.4% and RRR of 37.9% for the indicative portfolio at closing.

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Sep. 17, 2014. A comparison of the transaction's Representations, Warranties, and Enforcement Mechanisms (RW&Es) to those of typical RW&Es for that asset class is also available by accessing the reports and links indicated below.

Fitch has affirmed the following ratings:

--\$2,100,000 class X notes 'AAAsf'; Outlook Stable;
--\$449,490,000 class A notes 'AAAsf'; Outlook Stable.

Fitch does not rate the class B-1, B-2, C, D, E, F or subordinated notes.