Fitch: U.S. CREL CDO Delinquencies Inch Higher.

NEW YORK -- 06 February 2008: U.S. commercial real estate loan (CREL) CDO delinquencies are up slightly from last month, according to the latest U.S. CREL CDO loan delinquency index from Fitch Ratings.

Four new loans contributed to a U.S. CREL CDO loan delinquency rate for January 2008 of 0.70%, compared to last month's delinquency rate of 0.64%. The loan delinquency index includes loans that are 60 days or greater delinquent, performing matured balloons, and repurchased loans. Although the overall delinquency rate for CREL CDOs remains low, it is more than double the rate of the U.S. CMBS loan delinquency rate of 0.28% for December 2007. The CREL CDO delinquency rate is anticipated to be more volatile than the CMBS delinquency index given the smaller universe of loans; while the Fitch CREL CDO delinquency index tracks approximately 1,100 loans, the Fitch CMBS delinquency index covers over 48,000 loans.

The January 2008 index encompasses ten loans, which includes four loans that are 60 days or more delinquent, four performing matured balloons, and two repurchased loans.

Three of the new additions are performing matured balloons. An increase in these types of delinquencies is not surprising given the difficulty associated with refinancing in today's market. These performing matured balloons include one loan, which was subsequently paid off in full; while the other two such loans are reported to be negotiating loan extensions.

Additionally, asset managers reported that two assets (0.19%) were repurchased from two separate CDOs in January 2008. One of the loans was included in the December 2007 index as a performing matured balloon while the other loan was reportedly less than 30 days delinquent in December, and thus not included in the index. Given the lower available liquidity in the market, Fitch expects fewer repurchases of troubled loans and more workouts within the trust.

Fitch also reviewed loans that were 30 days or less delinquent. Although not included in the loan delinquency index, this category can be an early warning signal that a loan could ultimately be classified as delinquent. Two loans, representing 0.07% of the CREL CDO collateral were 30 days or less delinquent in January 2008. This statistic is down from last month's total of 0.15%, which included a chronic late payer that is now current.

In its ongoing surveillance process, Fitch will increase the probability of default to 100% for delinquent loans that are unlikely to return to current. This adjustment could increase the loan's expected loss in the cases where the probability of default was not already 100%. The weighted average expected loss on all loans (Poolwide Expected Loss, PEL) is the credit metric used to monitor the performance of a CREL CDO. Issuers covenant not to exceed a certain PEL and Fitch determines the ratings of the CDO liabilities based on this covenant. Fitch analysts monitor the as-is PEL over the life of the CDO. The difference between the PEL covenant and the as-is PEL represents the transaction's cushion for reinvestment and negative credit migration.

Fitch currently rates 35 CREL CDOs encompassing approximately 1,100 loans with a balance of $23.6 billion. Fitch's U.S. CREL CDO Loan Delinquency Index (LDI) will be published during the first week of every month based on asset manager and servicer reports collected by Fitch's dedicated CRE CDO surveillance team.

In addition to publishing the monthly Loan Delinquency Index, Fitch is committed to providing ratings that reflect current performance and anticipate future credit events. To achieve this objective, it is imperative that Fitch's CRE CDO surveillance team be provided with relevant and up-to-date loan-level information. Fitch recently published a report entitled 'CRE CDOs: Enhanced Information Provides Early Warning Signals' which is available on the Fitch web site at www.fitchratings.com. In the report, Fitch describes the on-going reports Fitch requests from asset managers, in addition to the monthly loan delinquency status report, and explains the value of each report.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.