Fitch Downgrades 11 Synthetic CRE CDOs on Underlying Portfolio Concentration Risk.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. today has downgraded $1.83 billion from 11 synthetic collateralized debt obligations Synthetic Collateralized Debt Obligation An artificial collateralized debt obligation that is backed by a pool of credit derivatives. Notes: Rather than the traditional pools of assets such as bonds and loans, the pools of credit derivatives that back synthetic CDOs (CDOs) that reference commercial mortgage-backed securities Commercial mortgage-backed securities (CMBS) are a type of bond commonly issued in American security markets. They are a type of Mortgage-backed security which are backed by mortgages on commercial rather than residential real estate. (CMBS CMBS See: Commercial Mortgage Backed Securities ), also referred to as synthetic commercial real estate (CRE CRE Commercial Real Estate CRE Corporate Real Estate CRE Commission for Racial Equality (Scotland) CRE CCD (Charge Coupled Device) and Readout Electronics CRE Camp Response Element ) collateralized debt obligations Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDOs). These rating actions reflect Fitch's view on industry and vintage
Vintage, in wine-making, is the process of picking grapes and creating the finished product. A vintage wine is one made from grapes that were all, or primarily, grown in a single specified year. concentration risks outlined in its revised Structured Finance CDO (Collaborative Data Objects) A programming interface from Microsoft for accessing MAPI-based e-mail, calendaring and scheduling servers. Originally called "OLE Messaging" and "Active Messaging," CDO wraps the Enhanced MAPI library into a COM object that provides the rating criteria criteria (krītēr´ē  ),n. released Dec. 16, 2008. These 11 transactions primarily reference static portfolios of either highly rated or mezzanine mez·za·nine n. 1. A partial story between two main stories of a building. 2. The lowest balcony in a theater or the first few rows of that balcony. tranches Tranches A piece, portion or slice of a deal or structured financing. This portion is one of several related securities that are offered at the same time but have different risks, rewards and/or maturities. "Tranche" is the French word for "slice". of CMBS transactions. Credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing to protect senior notes from underlying portfolio losses is derived de·rive v. de·rived, de·riv·ing, de·rives v.tr. 1. To obtain or receive from a source. 2. primarily through subordination To put in an inferior class or order; to make subject to, or subservient. A legal status that refers to the establishment of priority between various existing liens or encumbrances on the same parcel of property. of the more junior tranches. Rating downgrade Downgrade A negative change in the rating of a security. Notes: For example, an analyst may downgrade a stock from strong buy to buy, or a bond rating agency may downgrade a bond from AAA to AA. actions in some cases were a full three or more categories lower with a total of 101 classes downgraded. Approximately 47.5% of the rated bonds by dollar amount remain investment grade. Of the $775 million of previously 'AAA' rated securities, after today's action, 79.2% are downgraded to the 'BBB' category and 20.8% are downgraded to the 'BB' category. A spreadsheet spreadsheet Computer software that allows the user to enter columns and rows of numbers in a ledgerlike format. Any cell of the ledger may contain either data or a formula that describes the value that should be inserted therein based on the values in other cells. detailing Fitch's rating actions is available on the Fitch Ratings web site at www.fitchratings.com under the following headers: Structured Finance then Structured Credit then Special Reports. The rating actions resolve the 'Under Analysis' status issued on Oct. 14, 2008 following Fitch's announcement of its proposed criteria revision for analyzing structured finance (SF) CDOs. The revised criterion was published in its final form on Dec. 16, 2008 along with an updated version of the Fitch fitch: see polecat. Portfolio Credit Model that includes additional functionality for analyzing SF CDOs. Key drivers of the actions include industry concentration, which approaches 100% in CMBS, and significant vintage concentrations for most transactions. Exposure to a single sector of structured finance securities can significantly increase portfolio default rates as the underlying assets may face the same macroeconomic mac·ro·ec·o·nom·ics n. (used with a sing. verb) The study of the overall aspects and workings of a national economy, such as income, output, and the interrelationship among diverse economic sectors. pressures. Additionally, most of the more recent vintage CRE CDOs (seven of the 11 transactions were issued in 2006 or 2007) had high concentrations of recent vintage CMBS bonds. High vintage concentrations introduce additional systematic risks as the underlying mortgage bonds were originated with common lending standards prevalent prevalent widespread occurrence. at the time of origination Origination The process through which a mortgage lender creates a mortgage secured by some amount of the mortgagor's real property. Notes: Also known as loan origination, everyone must go through the origination process when securing a mortgage for a piece of real . Another driver for these rating actions is updated recovery rate assumptions upon default which are driven by tranche Tranche One of several related securities offered at the same time. Tranches from the same offering usually have different risk, reward, and/or maturity characteristics. tranche A class of bonds. thickness thickness (thik´nes) a measurement across the smallest dimension of an object. triceps skinfold (TSF) thickness . The CMBS collateral collateral (kəlăt`ərəl), something of value given or pledged as security for payment of a loan. Collateral consists usually of financial instruments, such as stocks, bonds, and negotiable paper, rather than physical goods, although contributed to these synthetic CRE CDOs is generally up to 10% of the overall capital structure. The relatively thin tranche thickness indicates a relatively lower recovery rate on these assets. The lower recovery rates expectations, combined with the higher default rates, resulted in higher rating loss rates compared to the credit enhancement initially structured in these transactions All classes were assigned as·sign tr.v. as·signed, as·sign·ing, as·signs 1. To set apart for a particular purpose; designate: assigned a day for the inspection. 2. Stable Outlooks reflecting Fitch's expectation that the ratings will remain stable over the next one to two years. Outlooks were not assigned to classes in any 'C' category. As part of this review, Fitch evaluated the current credit quality of each portfolio and made standard adjustments for any names on Rating Watch Negative, reducing such ratings for default analysis purposes by three notches. Rating committees give additional consideration to transactions backed by fewer than 30 obligors due to the increased concentrations presented in the pools. For some classes, the committees override An arrangement whereby commissions are made by sales managers based upon the sales made by their subordinate sales representatives. A term found in an agreement between a real estate agent and a property owner whereby the agent keeps the right to receive a commission for the sale of the model output in favor of upon the side of; favorable to; for the advantage of. See also: favor assessing the underlying bond ratings at each rating level to protect against discrete A component or device that is separate and distinct and treated as a singular unit. defaults of a minimum number of the largest assets. The following rating commentary summarizes the key factors, on a CDO-specific basis, that support Fitch's rating actions on the 11 affected CDOs. All references to underlying credit quality-Fitch derived weighted average rating-are based on a combination of publicly available ratings, as well as Fitch shadow ratings. The following actions are effective immediately: Abacus 2006-13, Ltd (Abacus 2006-13): --$159,000,000 class A notes downgrade to 'BBB-' from 'AAA' and assign Outlook Stable; --$44,718,750 class B notes downgrade to 'BB+' from 'AA+' and assign Outlook Stable; --$10,931,250 class C notes downgrade to 'BB+' from 'AA' and assign Outlook Stable; --$11,925,000 class D notes downgrade to 'BB' from 'AA-' and assign Outlook Stable; --$11,925,000 class E notes downgrade to 'BB' from 'A+' and assign Outlook Stable; --$11,925,000 class F notes downgrade to 'BB-' from 'A' and assign Outlook Stable; --$7,950,000 class G notes downgrade to 'BB-' from 'A-' and assign Outlook Stable; --$11,925,000 class H notes downgrade to 'B+' from 'BBB+' and assign Outlook Stable; --$9,937,000 class J notes downgrade to 'B+' from 'BBB' and assign Outlook Stable; --$8,943,750 class K notes downgrade to 'B' from 'BBB-' and assign Outlook Stable; --$9,937,500 class L notes downgrade to 'B-' from 'BB+' and assign Outlook Stable; --$7,950,000 class M notes downgrade to 'B-' from 'BB' and assign Outlook Stable; --$5,962,500 class N notes downgrade to 'B-' from 'BB-' and assign Outlook Stable. Abacus 2006-13 is a static synthetic CDO transaction issued in September September: see month. 2006 that references a US$795 million portfolio of CMBS. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 27.0% issued in 2006 (Vintage 1), 72.4% issued between 2003 and 2005 (Vintage 2), and 0.6% issued in 2002 and earlier (Vintage 3). The current Fitch derived weighted average rating of the reference portfolio is 'BBB-' and the weighted average maturity is 6.7 years. The credit enhancement to class A provides protection commensurate com·men·su·rate adj. 1. Of the same size, extent, or duration as another. 2. Corresponding in size or degree; proportionate: a salary commensurate with my performance. 3. with a 'BBB-' rating. Abacus 2006-17, Ltd (Abacus 2006-17): --$66,000,000 class A-1 variable rate notes downgrade to 'BBB-' from 'AAA' and assign Outlook Stable; --$72,000,000 class A-2 variable rate notes downgrade to 'BB' from 'AAA' and assign Outlook Stable; --$24,000,000 class B variable rate notes downgrade to 'BB-' from 'AA+' and assign Outlook Stable; --$16,500,000 class C variable rate notes downgrade to 'BB-' from 'AA' and assign Outlook Stable; --$10,020,000 class D variable rate notes downgrade to 'B+' from 'AA-' and assign Outlook Stable; --$13,500,000 class E variable rate notes downgrade to 'B' from 'A+' and assign Outlook Stable; --$4,200,000 class F variable rate notes downgrade to 'B' from 'A' and assign Outlook Stable; --$7,260,000 class G variable rate notes downgrade to 'B-' from 'A-' and assign Outlook Stable; --$12,780,000 class H variable rate notes downgrade to 'B-' from 'BBB+' and assign Outlook Stable; --$8,760,000 class J variable rate notes downgrade to 'CCC' from 'BBB'; --$9,480,000 class K variable rate notes downgrade to 'CCC' from 'BBB-'; --$6,000,000 class L variable rate notes downgrade to 'CCC' from 'BB+'; --$4,500,000 class M variable rate notes downgrade to 'CCC' from 'BB'; --$3,000,000 class N variable rate notes downgrade to 'CCC' from 'BB-'; --$1,500,000 class O variable rate notes downgrade to 'CCC' from 'B+'; --$750,000 class P variable rate notes downgrade to 'CCC' from 'B'; --$750,000 class Q variable rate notes downgrade to 'CCC' from 'B-'. Abacus 2006-17 is a static synthetic CDO transaction issued in December December: see month. 2006 that references a US$600 million portfolio of CMBS and CRE CDO securities. The key drivers for the rating actions to this transaction include 91.7% concentration in CMBS and 8.3% concentration in CRE CDOs with 52.5% issued in 2006 (Vintage 1) and 47.5% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'BB+' and the weighted average maturity is 7.5 years. The credit enhancement to class A-1 provides protection commensurate with a 'BBB-' rating. Abacus 2007-18, Ltd (Abacus 2007-18): --$80,000,000 class A-1 notes downgrade to 'BBB-' from 'AAA' and assign Outlook Stable; --$50,000,000 class A-2 notes downgrade to 'BB+' from 'AAA' and assign Outlook Stable; --$95,000,000 class A-3 notes downgrade to 'BB' from 'AAA' and assign Outlook Stable; --$5,000,000 class B notes downgrade to 'BB' from 'AA+' and assign Outlook Stable; --$17,500,000 class B series 2 notes downgrade to 'BB' from 'AA+' and assign Outlook Stable. Abacus 2007-18 is a static synthetic CDO transaction issued in May 2007 that references a US$1 billion portfolio of CMBS and CRE CDO securities. The key drivers for the rating actions to this transaction include 90% concentration in CMBS and 10% concentration in CRE CDOs with 69.6% issued in 2006 and 2007 (Vintage 1) and 30.4% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'BB+/BB' and the weighted average maturity is 7.9 years. The credit enhancement to class A-1 provides protection commensurate with a 'BBB-' rating. Calculus calculus, branch of mathematics that studies continuously changing quantities. The calculus is characterized by the use of infinite processes, involving passage to a limit—the notion of tending toward, or approaching, an ultimate value. CMBS 2007-3 LTD. (Calculus CMBS 2007-3): --$16,000,000 notional amount The notional amount (or notional principal amount or notional value) on a financial instrument is the nominal or face amount that is used to calculate payments made on that instrument. This amount generally does not change hands and is thus referred to as notional. (Ref No. 07ML66764A) downgrade to 'BBB' from 'AAA' and assign Outlook Stable; --$4,000,000 notional amount (Ref No. 07ML66763A) downgrade to 'BBB' from 'AA' and assign Outlook Stable; --$2,000,000 notional amount (Ref No. 07ML66762) downgrade to 'BBB' from 'A+' and assign Outlook Stable; --$1,000,000 notional amount (Ref No. 07ML66757A) downgrade to 'BBB' from 'A' and assign Outlook Stable; --$17,000,000 notional amount (Ref No. 07ML66756A) downgrade to 'BBB-' from 'A-' and assign Outlook Stable. Calculus CMBS 2007-3 is an unfunded synthetic CDO transaction issued in June June: see month. 2007 that provides leveraged exposure to a US$2 billion static portfolio of separately rated CMBS bonds. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 70% issued in 2006 (Vintage 1) and 30% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'AAA' and the weighted average maturity is 7.2 years. The credit enhancement to the most senior class provides protection commensurate with a 'BBB' rating. CMBSpoke 2005-I, Ltd. (CMBSpoke 2005-1): --$50,937,500 class A notes downgrade to 'BBB' from 'AA+' and assign Outlook Stable; --$27,187,500 class B notes downgrade to 'BBB' from 'A-' and assign Outlook Stable; --$46,875,000 class C notes downgrade to 'BBB-' from 'BBB' and assign Outlook Stable. CMBSpoke 2005-1 is a partially funded, synthetic CDO issued in June 2005 that provides leveraged exposure to a US$3.1 billion portfolio of CMBS. At close, proceeds from the issuance of the notes were used to purchase the eligible investments to collateralize collateralize To pledge an asset as security for a loan. A loan to a broker is collateralized by pledging securities. the credit default swap Credit Default Swap A swap designed to transfer the credit exposure of fixed income products between parties. Notes: The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. between the issuer and Morgan Stanley  To comply with Wikipedia's , the introduction of this article needs a complete rewrite. (rated 'A/F1+' by
Fitch). The key drivers for the rating actions to this transaction
include 100% concentration in CMBS with 70.4% issued between 2003 and
2005 (Vintage 2) and 29.6% issued in 2002 and earlier (Vintage 3). The
current Fitch derived weighted average rating of the reference portfolio
is 'AAA/AA+' and the weighted average maturity is 4.6 years.
Furthermore, all classes have similar attachment See attach a file. points, causing them to
be equally susceptible susceptible /sus·cep·ti·ble/ (su-sep´ti-b'l)1. readily affected or acted upon. 2. lacking immunity or resistance and thus at risk of infection. sus·cep·ti·ble adj. to losses. The credit enhancement to the most senior class provides protection commensurate with a 'BBB' rating. Halcyon hal·cy·on n. 1. A kingfisher, especially one of the genus Halcyon. 2. A fabled bird, identified with the kingfisher, that was supposed to have had the power to calm the wind and the waves while it nested on the sea 2005-1, Ltd. (Halcyon 2005-1): --EUR51,875,000 class A notes downgrade to 'BBB+' from 'AAA' and assign Outlook Stable; --EUR15,000,000 class B notes downgrade to 'BBB' from 'AA+' and assign Outlook Stable; --US$15,750,000 class C notes downgrade to 'BBB-' from 'A-' and assign Outlook Stable. Halcyon 2005-1 is a static synthetic CDO that issued US$15.75 million and EUR EUR In currencies, this is the abbreviation for the Euro. Notes: The currency market, also known as the Foreign Exchange market, is the largest financial market in the world, with a daily average volume of over US $1 trillion. 66.875 million in credit-linked notes A credit linked note (CLN) is a form of funded credit derivative. It is structured as a security with an embedded credit default swap allowing the issuer to transfer a specific credit risk to credit investors. in July July: see month. 2005. The note proceeds collateralize a credit default swap that references a US$1.5 billion portfolio. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 100% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'AAA' and the weighted average maturity is 4.9 years. The credit enhancement to the most senior class provides protection commensurate with a 'BBB+' rating. Halcyon 2005-2, Ltd. (Halcyon 2005-2): --EUR38,400,000 class A notes downgrade to 'BBB+' from 'AAA' and assign Outlook Stable; --EUR25,800,000 class B notes downgrade to 'BBB' from 'AA' and assign Outlook Stable; --US$15,750,000 class C notes downgrade to 'BBB-' from 'BBB+' and assign Outlook Stable. Halcyon 2005-2 is a static synthetic CDO that issued US$15.75 million and EUR64.2 million in credit-linked notes in October October: see month. 2005. The note proceeds collateralize a credit default swap that references a US$1.5 billion portfolio. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 20% issued in 2006 (Vintage 1) and 80% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'AAA' and the weighted average maturity is 4.9 years. The credit enhancement to the most senior class provides protection commensurate with a 'BBB+' rating. Horizon CMBS Portfolio Transaction: --$20,375,000 tranche A notes downgrade to 'BBB' from 'AAA' and assign Outlook Stable; --$7,125,000 tranche B notes downgrade to 'BBB' from 'AA+' and assign Outlook Stable; --$2,500,000 tranche C notes downgrade to 'BBB' from 'AA-' and assign Outlook Stable; --$1,250,000 tranche D notes downgrade to 'BBB' from 'A' and assign Outlook Stable; --$18,750,000 tranche E notes downgrade to 'BBB-' from 'BBB+' and assign Outlook Stable. Horizon CMBS Portfolio Transaction is an unfunded, synthetic CDO issued in April 2005 that provides leveraged exposure to a portfolio of CMBS. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 74.3% issued between 2003 and 2005 (Vintage 2) and 25.7% issued in 2002 and earlier (Vintage 3). The current Fitch derived weighted average rating of the reference portfolio is 'AAA/AA+' and the weighted average maturity is 4.4 years. The credit enhancement to the most senior class provides protection commensurate with a 'BBB' rating. MSC (1) (MSC.Software Corporation, Santa Ana, CA, www.mscsoftware.com) Founded in 1963 by Richard H. MacNeal and Robert G. Schwendler, MSC is the world's largest provider of mechanical computer aided engineering (MCAE) strategies, simulation software and services. 2006-SRR2: --$72,000,000 class A-1 notes downgrade to 'BBB' from 'AAA' and assign Outlook Stable; --$90,000,000 class A-2 notes downgrade to 'BBB-' from 'AAA' and assign Outlook Stable; --$38,400,000 class B notes downgrade to 'BB+' from 'AA+' and assign Outlook Stable; --$28,200,000 class C notes downgrade to 'BB+' from 'AA' and assign Outlook Stable; --$12,600,000 class D notes downgrade to 'BB+' from 'AA-' and assign Outlook Stable; --$14,800,000 class E notes downgrade to 'BB' from 'A+' and assign Outlook Stable; --$12,200,000 class F notes downgrade to 'BB' from 'A' and assign Outlook Stable; --$11,610,000 class G notes downgrade to 'BB' from 'A-' and assign Outlook Stable; --$18,750,000 class H notes downgrade to 'BB-' from 'BBB+' and assign Outlook Stable; --$9,360,000 class J notes downgrade to 'B+' from 'BBB' and assign Outlook Stable; --$16,080,000 class K notes downgrade to 'B' from 'BBB-' and assign Outlook Stable; --$12,480,000 class L notes downgrade to 'B' from 'BB+' and assign Outlook Stable; --$6,510,000 class M notes downgrade to 'CCC' from 'BB'; --$2,970,000 class N notes downgrade to 'CCC' from 'BB-'; --$5,040,000 class O notes downgrade to 'CCC' from 'B+'; --$2,160,000 class P notes downgrade to 'CCC' from 'B'; --$1,320,000 class Q notes downgrade to 'CCC' from 'B-'. MSC 2006-SRR2 is a static synthetic CDO transaction issued in December 2006 that references a US$1.2 billion portfolio of CMBS. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 66.7% issued in 2006 (Vintage 1) and 33.3% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'BBB' and the weighted average maturity is 7.3 years. The credit enhancement to the most senior class provides protection commensurate with a 'BBB' rating. MSC 2007-SRR3: --$28,110,000 class A notes downgrade to 'BB' from 'AAA' and assign Outlook Stable; --$14,055,000 class B notes downgrade to 'BB-' from 'AA+' and assign Outlook Stable; --$14,055,000 class C notes downgrade to 'BB-' from 'AA' and assign Outlook Stable; --$14,055,000 class D notes downgrade to 'B+' from 'AA-' and assign Outlook Stable; --$14,055,000 class E notes downgrade to 'B' from 'A+' and assign Outlook Stable; --$14,055,000 class F notes downgrade to 'CCC' from 'A'; --$10,541,250 class G notes downgrade to 'CCC' from 'A-'; --$10,541,250 class H notes downgrade to 'CCC' from 'BBB+'; --$10,541,250 class J notes downgrade to 'CCC' from 'BBB'; --$10,541,250 class K notes downgrade to 'CCC' from 'BBB-' and removed from Rating Watch Negative; --$15,854,040 class L notes downgrade to 'CCC' from 'BBB-' and removed from Rating Watch Negative; --$9,491,810 class M notes downgrade to 'CCC' from 'BB+' and removed from Rating Watch Negative; --$4,000,990 class N notes downgrade to 'CCC' from 'BB' and removed from Rating Watch Negative; --$3,007,770 class O notes downgrade to 'CCC' from 'BB-' and removed from Rating Watch Negative; --$3,495,010 class P notes downgrade to 'CCC' from 'B+' and removed from Rating Watch Negative; --$2,501,790 class Q notes downgrade to 'CCC' from 'B' and removed from Rating Watch Negative; --$1,499,200 class R notes downgrade to 'CCC' from 'B-' and removed from Rating Watch Negative. MSC 2007-SRR3 is a static synthetic CDO transaction issued March 2007 that references a US$937 million portfolio of CMBS and CRE CDO securities. The key drivers for the rating actions to this transaction include 89.3% concentration in CMBS and 10.7% concentration in CRE CDOs with 84.8% issued in 2006 (Vintage 1) and 15.2% issued between 2003 and 2005 (Vintage 2). The current Fitch derived weighted average rating of the reference portfolio is 'BB+' and the weighted average maturity is 7.3 years. The credit enhancement to the most senior class provides protection commensurate with a 'BB' rating. MSC 2007-SRR4: --$13,800,000 class B notes downgrade to 'BB+' from 'AA- and assign Outlook Stable; --$18,400,000 class C notes downgrade to 'BB' from 'A+ and assign Outlook Stable; --$24,150,000 class D notes downgrade to 'BB' from 'A' and assign Outlook Stable; --$14,950,000 class E notes downgrade to 'BB-' from 'A- and assign Outlook Stable; --$18,400,000 class F notes downgrade to 'B+' from 'BBB+' and assign Outlook Stable; --$11,500,000 class G notes downgrade to 'B+' from 'BBB' and assign Outlook Stable; --$16,100,000 class H notes downgrade to 'B' from 'BBB-' and assign Outlook Stable; --$9,200,000 class J notes downgrade to 'B-' from 'BB+' and assign Outlook Stable; --$9,200,000 class K notes downgrade to 'CCC' from 'BB'; --$4,600,000 class L notes downgrade to 'CCC' from 'BB-'; --$4,600,000 class M notes downgrade to 'CCC' from 'B+'; --$4,600,000 class N notes downgrade to 'CCC' from 'B'; --$4,600,000 class O notes downgrade to 'CCC' from 'B-'. MSC 2007-SRR4 is a static synthetic CDO transaction issued June 2007 that references a US$920 million portfolio of CMBS. The key drivers for the rating actions to this transaction include 100% concentration in CMBS with 62.5% issued in 2006 and 2007 (Vintage 1), 36.4% issued between 2003 and 2005 (Vintage 2) and 1.1% issued in 2002 and earlier (Vintage 3). The current Fitch derived weighted average rating of the reference portfolio is 'BBB-' and the weighted average maturity is 7.5 years. The credit enhancement to the most senior class provides protection commensurate with a 'BB+' rating. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. 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 Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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