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Fitch Rates Capmark VI LTD. & Capmark VI (Delaware) Corp.

NEW YORK -- Fitch has rated the following notes issued by Capmark VI LTD. and Capmark VI (Delaware) Corp. (collectively, Capmark VI):

--$366,000,000 revolving facility, due 2038 'AAA';

--$25,000,000 class A-1 floating rate senior secured notes, due 2038 'AAA';

--$52,000,000 class A-2 floating rate senior secured notes, due 2038 'AA';

--$20,000,000 class B floating rate subordinate secured notes due 2038 'A-';

--$12,000,000 class C floating rate junior subordinate secured notes, due 2038 'BBB'.

The ratings of the revolving facility, class A-1 notes, and class A-2 notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class B notes and class C notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date.

The ratings are based upon the credit quality of the underlying assets and the credit enhancement provided to the capital structure through subordination and excess spread, as well as the financial strength of Citigroup Inc. (rated 'AA+/'F1+'by Fitch) and its related entities as swap counterparties.

The collateral portfolio will be managed by Capmark Investments LP (Capmark) a newly formed entity formerly known as GMAC Institutional Advisors. The quality of the collateral will have a maximum Fitch weighted average rating factor (WARF) of 11.60 ('BB+/BB'). The proceeds of the notes will be used to purchase a portfolio of real estate based structured finance securities, consisting of 46% credit default swaps (CDS), primarily referencing residential mortgage-backed securities (RMBS), 12.6% cash RMBS, 2% collateralized debt obligations (CDOs), and 36.4% commercial real estate loans (CREL) and structured finance CDO cash securities.

Structural features include the synthetic security collateral account (SSCA) which will be drawn upon to make credit protection payments upon the occurrence of a credit event. The SSCA will consist of highly rated assets subject to a total return swap with Citigroup Inc. After the SSCA account has been depleted, the revolving facility will be drawn upon to make credit protection payments (or for payment in the case of the physical settlement option). The outstanding revolving facility drawn amount receives interest of one-month London Interbank Offered Rate (LIBOR) plus a spread, while the undrawn portion will receive an ongoing commitment fee. The transaction also provides for the issuance of floating rate senior secured funding notes upon the revolving facility termination date.

During the 5-year reinvestment period, the collateral manager may use cash principal collections to purchase additional collateral for the portfolio or may re-reference securities in the event of CDS contract expiry. All reinvested and re-referenced assets must adhere to the eligibility criteria. The SSCA may also be drawn upon to purchase additional cash bonds during the reinvestment period; however, at any time, the CDS notional amount must be equal to or less than the sum of the unfunded amount of the revolving facility and the SSCA.

After the reinvestment period, principal payments on the rated notes will be paid pro rata to both the revolving facility (first to redeem the drawn amount and then to the SSCA to defease the undrawn amount) and the funded notes until the ramp-up collateral balance has paid down to 50% of its original balance or until the failure of a principal coverage test, after which principal proceeds will be paid sequentially for the remainder of the deal. Upon the expiration of CDS contracts during this period, CDS notional reductions will be used to reduce the unfunded portion of the revolving facility.

Another structural mechanism within Capmark VI is the ability of the trustee to solicit auction bids for the entire portfolio of securities whereby sales proceeds will be used to pay down the rated notes. Beginning in 2014, the trustee may solicit auction bids for the purchase of all the remaining collateral securities. The sale proceeds will then be used to redeem the notes on the payment date immediately following the auction date, with any additional amount going to the income noteholders. Furthermore, if the auction does not occur, all remaining excess proceeds will be used to pay down the notes in reverse sequential order until retired. The notes have a legal final maturity occurring in 2038.

Capmark specializes in investments in both public and private commercial real estate-related debt and equity. Capmark, originally established in 2000, was created to leverage the extensive experience and market reputation of GMAC Commercial Mortgage (GMACCM) in building a platform that offers investment management services targeted to institutional and other accredited investors seeking commercial real estate-related investment expertise. Prior to the formation of Capmark, GMACCM managed commingled investment vehicles that acquired below-investment grade commercial mortgage-backed securities (CMBS). Capmark manages 11 other CDOs totaling over $6 billion USD in outstanding liabilities.

For more information, see the presale report 'G-Star 2006-6, Ltd. (US CDO)' available on the Fitch Ratings web site at

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 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.
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Publication:Business Wire
Date:Jul 24, 2006
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