Fitch Ratings has affirmed two classes of notes issued by CRIIMI MAE Trust, series 1996-C1. The affirmations reflect the quality of the remaining collateral of which approximately 55.9% are unrated first loss commercial mortgage-backed securities (CMBS) bonds.
For the class E notes, Fitch expects that it is highly likely the bond will experience a loss as it is dependent upon first loss CMBS bonds to pay. The class F notes have already experienced losses of approximately $6.8 million, and further losses are anticipated as additional losses on the underlying collateral will directly impact them.
This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. Given the portfolio's concentrated nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring potential further losses from the non-defaulted portion of the portfolio. Therefore this transaction was not modeled using the Structured Finance Portfolio Credit Model (SF PCM).
CRIIMI MAE 1996-C1 is collateralized by all or a portion of five classes of fixed-rate CMBS in four separate underlying transactions from the 1995 and 1996 vintages. The pool is extremely concentrated, with approximately 11.6% of the original collateral remaining since issuance. Each underlying transaction has fewer than 30 loans remaining. The entire portfolio is rated below 'CCC' or not rated, and therefore, is more susceptible to losses in the near term.
Fitch has affirmed the following classes as indicated:
--$35,339,205 class E notes affirmed at 'Csf';
--$5,235,470 class F notes affirmed at 'Dsf'.
Classes A-1, A-2, B, C, and D have been paid in full.
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings was sourced from note valuation reports, and the public domain.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Sept. 30, 2009);
--'Global Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
Global Rating Criteria for Structured Finance CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=418768
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
Primary Analyst:
Scarlett Shao, +1-212-908-9169
Analyst
One
State St Plaza
NY, NY 10004
or
Committee Chairperson:
Karen
Trebach, +1-212-908-0215
Senior Director
or
Media
Relations:
Sandro Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com