Fitch Takes Various Rating Actions on 9 CRE CDOs
NEW YORK -- November 28, 2012
Fitch Ratings has downgraded six classes and affirmed 102 classes from nine
Re-REMICs/commercial real estate collateralized debt obligations (CRE CDOs)
with exposure primarily to commercial mortgage backed securities (CMBS).
A rating action spreadsheet, titled 'Fitch Takes Various Rating Actions on 9
CRE CDOs', dated Nov. 29, 2012, 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
For the six transactions where the percentage of collateral experiencing full
interest shortfalls in the portfolio already significantly exceeds 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 in 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 the three transactions where the percentage of interest shortfalls did not
significantly exceed the CE level of the senior class of notes, Fitch used SF
PCM to project future losses from the transaction's entire portfolio and
compared the CE of the classes to those loss rates.
The two classes affirmed at 'CCCsf' have CE that is comparable to the 'CCC'
rating loss rate (RLR) projected by SF PCM. The classes are the most senior
class and have received paydowns since the last rating action. Fitch believes
that default remains possible for these classes.
The class downgraded to 'CCsf' has CE that is exceeded by the 'CCC' RLR but is
above the percentage of collateral experiencing interest shortfalls. Fitch
believes that default is probable for this class.
The two classes downgraded to 'Csf' and 63 classes affirmed at 'Csf' are notes
whose CE levels are significantly below the percentage of collateral
experiencing interest shortfalls, full or partial. The CE levels are also
significantly below the percentage of the collateral with a Fitch derived
rating of 'CC' and below. Due to the extent of distress in these portfolios,
Fitch believes default continues to appear inevitable for these classes.
Fourteen classes were affirmed at 'Dsf' because they are non-deferrable
classes that have and are expected to continue to experience further interest
payment shortfalls. Three classes were downgraded and 23 classes affirmed at
'Dsf' because the classes have experienced principal writedowns.
Fitch does not assign Rating Outlooks to classes rated in the 'CCC' and lower
Six of the nine transactions, ACAS CRE CDO 2007-1, ACT 2005-RR Depositor
Corp., Anthracite 2004-HY1, ARCap 2004-RR3, LNR CDO 2006-1 and SASCO 2007-BHC1
Trust are 100% underlying CMBS transactions. The remaining composition is as
--ARCap 2006-RR7, 77.8% structured finance CDOs (SF CDOs), 22.2% CMBS;
--Ansonia CDO 2006-1, 91.7% CMBS, 8.3% real estate investment trust (REIT);
--Newcastle CDO VI, Limited, 39.6% CMBS, 26.1% REIT, 22.5% residential
mortgage backed securities (RMBS), 11.8% commercial real estate loans (CREL).
Additional information is available at 'www.fitchratings.com'. 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: Fitch Takes Various Rating Actions
on 9 CRE CDOs
Global Structured Finance Rating Criteria
Global Rating Criteria for Structured Finance CDOs
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PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK:
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METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF
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Primary Surveillance Analyst
Matthew McGowan, +1-212-908-0733
One State Street Plaza
New York, NY 10004
Mary MacNeill, +1-212-908-0785
Sandro Scenga, New York, +1 212-908-0278
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