Fitch Upgrades 4 and Affirms 10 Classes of MACH ONE 2004-1, LLC
<0> Fitch Upgrades 4 and Affirms 10 Classes of MACH ONE 2004-1, LLC </0>
Fitch RatingsPrimary Surveillance AnalystMatthew McGowanAnalyst+1-212-908-0733Fitch, Inc.One State Street PlazaNew York, NY 10004orCommittee ChairpersonMary MacNeillManaging Director+1-212-908-0785orMedia RelationsSandro Scenga+1-212-908-0278
Fitch Ratings has upgraded four and affirmed 10 classes of MACH ONE 2004-1, LLC (MACH ONE) as a result of paydowns to the senior notes and improvement in the performance of the underlying collateral. A complete list of rating actions follows at the end of this release.
Since Fitch's last rating action in December 2011, approximately 15.5% of the underlying collateral has been upgraded and 4.9% has been downgraded. Currently, 49.7% of the portfolio has a Fitch derived rating below investment grade and 16.3% has a rating in the 'CCC' category and below, compared to 53.8% and 15.8%, respectively, at the last rating action. Over this period, the class A-3 notes have received $75.9 million for a total of $127.6 million in pay downs since issuance.
This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. Based on these analyses, classes A-3 through G pass at or above the assigned rating below. The below ratings reflect these results as well as the risk of adverse selection as the portfolio continues to amortize.
For the class J through O notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class H notes have been affirmed at 'CCCsf', indicating that default is possible. Similarly, the class J notes have been affirmed at 'CCsf', indicating that default is probable, and the K through O notes have been affirmed at 'Csf', indicating default is inevitable.
The Stable Outlooks on the notes reflects Fitch's expectation that the transaction will continue to delever.
MACH ONE is a static Re-REMIC backed by CMBS B-pieces that closed July 28, 2004. The transaction is collateralized by 29 assets from 24 obligors from the 1997 through 2003 vintages.
Fitch has taken the following actions:
--$19,223,671 class A-3 notes upgraded to 'AAAsf' from 'AAsf; Outlook to Stable from Positive;
--$51,460,000 class B notes upgraded to 'Asf' from 'BBBsf'; Outlook to Stable from Positive;
--$10,453,000 class C notes upgraded to 'Asf' from 'BBBsf'; Outlook to Stable from Positive;
--$28,142,000 class D notes upgraded to 'BBBsf' from 'BBsf'; Outlook to Stable from Positive;
--$7,236,000 class E notes affirmed at 'BBsf'; Outlook Stable;
--$17,689,000 class F notes affirmed at 'Bsf'; Outlook Stable;
--$15,277,000 class G notes affirmed at 'Bsf'; Outlook Stable;
--$14,473,000 class H notes affirmed at 'CCCsf';
--$17,689,000 class J notes affirmed at 'CCsf';
--$8,844,000 class K notes affirmed at 'Csf';
--$8,040,000 class L notes affirmed at 'Csf';
--$8,844,000 class M notes affirmed at 'Csf';
--$6,432,000 class N notes affirmed at 'Csf';
--$6,432,000 class O notes affirmed at 'Csf'.
Additional information is available at ''. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
Global Rating Criteria for Structured Finance CDOs