Fitch Takes Various Rating Actions on Six CRE CDOs

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NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has downgraded 13 classes and affirmed 37 classes from six commercial real estate collateralized debt obligations (CRE CDOs) with exposure to commercial mortgage backed securities (CMBS).

The rating action spreadsheet, titled 'Fitch Takes Various Rating Actions on Six CRE CDOs', dated Aug. 09, 2011, details the individual rating actions for each rated CDO.

It can be found on Fitch's website at 'www.fitchratings.com' by performing a title search or by using the link below. For further information and transaction research, please refer to 'www.fitchratings.com'.

This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. None of the reviewed transactions have been analyzed within a cash flow model framework, as the impact of structural features and excess spread, or conversely, principal proceeds being used to pay CDO liabilities and hedge payments, was determined to be minimal in the context of these CDO ratings.

For transactions where the percentage of collateral experiencing full interest shortfalls in the portfolio already significantly exceed the credit enhancement (CE) level of the most senior class of notes, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the remaining portion of the portfolios. Therefore, these transactions were not modeled using the Structured Finance Portfolio Credit Model (SF PCM).

For four transactions where the percentage of interest shortfalls did not significantly exceed the credit enhancement (CE) level of the senior class of notes, Fitch used SF PCM to project future losses from the transaction's entire portfolio and compared credit enhancement of the classes to those loss rates.

The one class affirmed at 'CCCsf' has CE comparable to the 'CCC' rating loss rate (RLR) projected by SF PCM. The class is the most senior class and has received approximately $60 million in paydowns since the last review.

The three classes downgraded to 'CCsf' and three classes affirmed at 'CCsf' have CE levels greater than the percentage of full interest shortfalls, but are not expected to be able to absorb losses at the respective 'CCC' RLRs. Fitch believes default appears probable for these classes at or prior to maturity.

The three classes downgraded to 'Csf' and 24 classes affirmed at 'Csf' are notes whose CE levels are below the percentage of collateral experiencing full interest shortfalls. Due to the extent of distress in these portfolios, Fitch believes default continues to appear inevitable for these classes.

The six classes downgraded to 'Dsf' and ten classes affirmed at 'Dsf' are non-deferrable classes that have and are expected to continue to experience interest payment shortfalls, or are notes that have experienced principal write downs.

Fitch does not assign Rating Outlooks to classes rated in the 'CCC' and lower categories.

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

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 15, 2010).

Applicable Criteria and Related Research: Fitch Takes Various Rating Actions on 6 CRE CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=649033

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Global Rating Criteria for Structured Finance Servicers

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547305

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Fitch Ratings
Sandro Scenga, +1-212-908-0278
Media Relations, New York
sandro.scenga@fitchratings.com
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Primary Surveillance Analyst:
Matthew McGowan, +1-212-908-0733
Analyst
Fitch, Inc.
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New York, NY 10004
or
Secondary Analyst:
Scarlett Shao, +1-212-908-9169
Associate Director
or
Committee Chairperson:
Karen Trebach, +1-212-908-0215
Senior Director