Fitch Takes Various Rating Actions on 18 CRE CDOs

Fitch Ratings has downgraded 16 classes and affirmed 179 classes from 18 commercial real estate collateralized debt obligations (CRE CDOs) with exposure to commercial mortgage backed securities (CMBS).

A rating action spreadsheet, titled 'Fitch Takes Various Rating Actions on 18 CRE CDOs', dated Aug. 2, 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 ratings.

For 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 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 CWCapital Cobalt Vr transaction, the credit enhancement (CE) level of the senior class of notes, class A-1, is well in excess of the percentage of interest shortfalls for the transaction (58.8%). Fitch used SF PCM to project future losses from the transaction's entire portfolio and compared credit enhancement of the class to the loss rates. The class A-1 notes for this transaction were affirmed at 'CCCsf' because the CE is comparable to the 'CCC' rating loss rate (RLR) projected by SF PCM. The class is the most senior class and has received approximately $32.2 million in paydowns since the last rating action.

The one class downgraded to 'Csf' and 100 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.

Thirteen classes were affirmed at 'Dsf' because they are non-deferrable classes that have and are expected to continue to experience further interest payment shortfalls. Fifteen classes were downgraded and 65 classes affirmed at 'Dsf' because the classes have experienced principal writedowns.

In addition, Fitch has marked one class 'PIF'. The class marked 'PIF' in the Abacus 2007-18 transaction has been fully redeemed under the Optional Redemption provision.

Fitch does not assign Rating Outlooks to classes rated in the 'CCC' and lower categories.

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.

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).

Applicable Criteria and Related Research: Fitch Takes Various Rating Actions on 18 CRE CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=685913

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

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