Fitch: No Rating Impact on 13 SF CDOs with Deutsche Bank as Counterparty

Fitch Ratings has been notified of a Collateralization Event that has occurred for each of the below referenced transactions with Deutsche Bank AG (Deutsche Bank) as a derivative counterparty. Six of these transactions have an existing Credit Support Annex (CSA) in place, while Deutsche Bank is proposing to execute new CSAs for the remaining seven.

Deutsche Bank is rated by Fitch, with a rating of 'A+/F1+', Outlook Stable as of Dec. 15, 2011. Fitch does not expect the Collateralization Event and remedies proposed (if any) by Deutsche Bank AG to have any impact on the ratings of the notes in these transactions since Deutsche Bank AG remains an eligible counterparty for these transactions, as defined in Fitch's 'Counterparty Criteria for Structured Finance Transactions', dated May 30, 2012. Should Deutsche Bank be downgraded below Fitch's relevant eligibility threshold, as described in then applicable criteria, Fitch will determine whether the remedies effective at that time sufficiently mitigate the transactions' exposure in the context of then current notes' ratings and remaining derivative terms.

Fitch is not a party to the transaction and therefore does not provide consent or approval to changes in its terms, as that remains the sole preserve of the transaction parties. Fitch expects to be notified by the trustee when or if the proposed amendments are executed either in part or in their entirety.

Affected transactions with existing CSAs:

Anthracite 2005-HY2 Ltd.

Anthracite CDO I Ltd.

Anthracite CDO II Ltd.

Anthracite CDO III Ltd.

CBRE Realty Finance CDO 2006-1, Ltd

Prima Capital CRE Securitization 2006-1 Ltd.

Affected transactions with proposed CSAs:

Arroyo CDO I Ltd.

Commodore CDO I Ltd.

LNR CDO 2002-1 Ltd.

LNR CDO 2003-1 Ltd.

LNR CDO III Ltd.

Pasadena CDO Ltd.

ZAIS Investment Grade Limited V

Additional information is available at 'www.fitchratings.com'.

The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 6, 2011);

--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012);

--'Counterparty Criteria for Structured Finance Transactions: Derivative Addendum' (May 30, 2012).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938

Counterparty Criteria for Structured Finance Transactions: Derivative Addendum

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678939

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651560

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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.

Contacts:

Fitch Ratings
Felix Chen, [phone]
Analyst
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Natasha Hanson, [phone]
Director
or
Scarlett Shao, [phone]
Associate Director
or
Committee Chairperson
Alina Pak, CFA, [phone]
Senior Director
or
Media Relations:
Sandro Scenga, [phone]
Email: [e-mail]