Fitch Ratings has affirmed 14 classes of notes issued by MACH ONE 2004-1, LLC (MACH ONE). The rating actions are a result of deleveraging of the capital structure and improved credit quality on the underlying portfolio. A complete list of rating actions follows at the end of this release.
Since the last rating action in January 2011, approximately 3.5% of the collateral has been downgraded while 19.9% has been upgraded. Currently, 53.8% of the portfolio has a Fitch derived rating below investment grade, and 15.8% has a rating in the 'CCC' category and below. Additionally, the class A-3 notes have received $39.8 million in paydowns since the last rating action.
This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the credit characteristics of classes A-3 through H are generally consistent with the ratings assigned below.
For the class J through O notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class J notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class K through O notes have been affirmed at 'Csf', indicating default is inevitable. As of the Nov. 30, 2011 trustee report, the class K notes received a partial interest payment of approximately 73% of its full interest due and classes L through O are deferring their interest payments.
The Positive and Stable Outlooks assigned to the notes indicate the cushion in the modeling results, which serve to mitigate potential further deterioration in the portfolio.
MACH ONE is a static Re-REMIC backed by CMBS B-pieces that closed July 28, 2004. The transaction is collateralized by 38 assets from 28 obligors from the 1996 through 2003 vintages.
Fitch has affirmed the following ratings and revised Outlooks where indicated:
--$95,177,269 class A-3 at 'AAsf'; Outlook to Positive from Negative;
--$51,460,000 class B at 'BBBsf'; Outlook to Positive from Negative;
--$10,453,000 class C at 'BBBsf'; Outlook to Positive from Negative;
--$28,142,000 class D at 'BBsf'; Outlook to Positive from Negative;
--$7,236,000 class E at 'BBsf'; Outlook to Stable from Negative;
--$17,689,000 class F at 'Bsf'; Outlook to Stable from Negative;
--$15,277,000 class G at 'Bsf'; Outlook to Stable from Negative;
--$14,473,000 class H at 'CCCsf';
--$17,689,000 class J at 'CCsf';
--$8,844,000 class K at 'Csf';
--$8,040,000 class L at 'Csf';
--$8,844,000 class M at 'Csf';
--$6,432,000 class N at 'Csf';
--$6,432,000 class O at 'Csf'.
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' (Aug. 4, 2011);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 6, 2011).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569
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
Primary Surveillance Analyst
Scarlett Shao,
+1-212-908-9169
Associate Director
Fitch, Inc.
One State
Street Plaza
New York, 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