OREANDA-NEWS. Fitch Ratings assigns the following ratings and Rating Outlooks to KKR CLO 13 Ltd./LLC:

--$2,000,000 class X notes 'AAAsf'; Outlook Stable;
--$200,000,000 class A-1A notes 'AAAsf'; Outlook Stable;
--$0 class A-1B notes 'AAAsf'; Outlook Stable;
--$50,000,000 class A-1L loans 'AAAsf'; Outlook Stable;
--$6,000,000 class A-1C notes 'AAAsf'; Outlook Stable.

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

TRANSACTION SUMMARY

KKR CLO 13 Ltd. (the issuer) and KKR CLO 13 LLC (the co-issuer) represent an arbitrage cash flow collateralized loan obligation (CLO) that will be managed by KKR Financial Advisors II, LLC (KFA). Net proceeds from the issuance of notes will be used to purchase a portfolio of approximately $400 million of leveraged loans. The CLO will have an approximately four-year reinvestment period.

KEY RATING DRIVERS
Sufficient Credit Enhancement: Credit enhancement (CE) of 36% for class A-1A, A-1B, and A-1C notes and A-1L loans (collectively, the class A debt), in addition to excess spread, is sufficient to protect against portfolio default and recovery rate projections in the 'AAAsf' stress scenario. The level of CE for the class A debt is in line with the average for recent CLO issuances. Class X notes are expected to be paid in full from interest proceeds by the second payment date.

'B+/B' Asset Quality: The average credit quality of the indicative portfolio is 'B+/B', which is in line with that of recent CLOs. Issuers rated in the 'B' rating category denote relatively weak credit quality; however, in Fitch's opinion, the class X and A debt are unlikely to be affected by the foreseeable level of defaults. The class X and A debt are robust against default rates of up to 100% and 65.2%.

Strong Recovery Expectations: The indicative portfolio consists of 97% first lien senior secured loans. Approximately 92.8% of the indicative portfolio has either strong recovery prospects or a Fitch-assigned recovery rating of 'RR2' or higher, resulting in a base case recovery assumption of 78.1%. In determining the class X and A debt ratings, Fitch stressed the indicative portfolio by assuming a higher portfolio concentration of assets with lower recovery prospects and further reduced recovery assumptions for higher rating stress assumptions. The analysis of KKR 13 class X and A debt assumed a 38.8% recovery rate in Fitch's 'AAAsf' scenario.

RATING SENSITIVITIES
Fitch evaluated the structure's sensitivity to the potential variability of key model assumptions, including decreases in recovery rates and increases in default rates or correlation. Fitch expects the class A debt to remain investment grade even under the most extreme sensitivity scenarios. Results under these sensitivity scenarios ranged between 'A+sf' and 'AAAsf' for the class A debt. The class X notes passed at the 'AAAsf' rating level in all sensitivity scenarios tested.

DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.

The publication of a RW&Es appendix is not required for this transaction.