Fitch Affirms Flatiron 2013-1

Fitch Ratings has affirmed the class A-1 and A-2 notes issued by Flatiron CLO 2013-1 Ltd. (Flatiron 2013-1) at 'AAAsf' and 'AAsf', respectively. The Rating Outlook on each class remains Stable.

KEY RATING DRIVERS

The affirmations are based on the stable performance of the underlying portfolio since the transaction's inception in December 2013 and the sufficient credit enhancement available to the notes. As of the Oct. 6, 2014 trustee report, the transaction continues to pass all 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 $400.7 million, compared to the effective date target balance of $400 million. The current weighted average spread (WAS) is 4.1% versus a minimum WAS trigger of 3.9%, as reported by the trustee. Additionally, the weighted average rating factor remains unchanged at 'B+/B' since the closing date. Fitch currently considers 1.1% of the collateral assets to be rated in the 'CCC' category versus 1.8% in the indicative portfolio at closing, based on Fitch's Issuer Default Rating (IDR) Equivalency Map. Currently, 90.0% of the portfolio has strong recovery prospects or a Fitch-assigned Recovery Rating of 'RR2' or higher.

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 Flatiron 2013-1, incorporating increased levels of defaults and reduced levels of recovery rates, among other sensitivities.

Flatiron 2013-1 is an arbitrage, cash flow collateralized loan obligation (CLO) managed by New York Life Investment Management LLC. The transaction remains in its reinvestment period, which is scheduled to end in January 2018. During the reinvestment period, discretionary sales are permitted at any time and are limited to 25% of the portfolio balance, as measured at the beginning of the preceding twelve-month period. The manager also has the ability to reinvest unscheduled principal proceeds and sales proceeds from the disposal of credit risk obligations 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 in December 2013, no updated cash flow modeling was completed.

The ratings of the A-1 and A-2 notes are not expected to experience rating volatility in the near term, supporting their Stable Outlook.

Initial Key Rating Drivers and Rating Sensitivity are further described in the New Issue Report published on Mar. 3, 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:

--$250,750,000 class A-1 notes at 'AAAsf'; Outlook Stable;

--$55,750,000 class A-2 notes at 'AAsf'; Outlook Stable.

Fitch does not rate the class B, C, D, E, and subordinated notes.

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);

--'Global Rating Criteria for Corporate CDOs' (July 25, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);

--'Flatiron CLO 2013-1 Ltd./LLC New Issue Report' (March 3, 2014);

--'Flatiron CLO 2013-1 Ltd./LLC -- Appendix' (March 3, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=753057

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Flatiron CLO 2013-1 Ltd./LLC

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=729015

Flatiron CLO 2013-1 Ltd./LLC -- Appendix

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=731757

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=913414

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