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Fitch Affirms 11 Classes of LNR CDO 2003-1, Ltd.

January 31, 2014

NEW YORK --(BUSINESS WIRE)-- Fitch Ratings has affirmed 11 classes issued by LNR CDO 2003-1, Ltd. (LNR 2003-1). A complete list of rating actions follows at the end of this press release. KEY RATING DRIVERS: Since the last rating action in March 2013 , approximately 17.2% of the collateral has been downgraded and 1.4% has been upgraded. Currently, 87.4% of the portfolio has a Fitch derived rating below investment grade with 68.7% of the portfolio having a rating in the 'CCC' category and below, compared to 89.3% and 57.3%, respectively, at the last rating action. Over this period, the transaction has received $81.3 million in paydowns which has resulted in the full repayment of the class B notes and $19.4 million in paydowns to the class C notes. 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. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. While the class C and D notes' ratings pass above their current ratings within the cash flow model, the ratings below reflect the passing rates as well as the concern of potential interest shortfalls and concentration risk as the portfolio continues to amortize. For the class E through J 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 E notes have been affirmed at 'CCCsf', indicating that default is possible. Similarly, the classes F through J notes have been affirmed at 'Csf', indicating that default is inevitable. RATING SENSITIVITIES The Stable Outlook on the class C and D notes reflects Fitch's view that the transaction will continue to delever. LNR 2003-1 is a static collateralized debt obligation (CDO) that closed on July 2, 2003 . The portfolio consists of 68 bonds from 28 obligors, all of which are CMBS from 1999 through 2003 vintage transactions. Fitch has affirmed the following classes and revised the Outlooks as indicated: -- $14,559,537 class C-FL notes at 'BBsf'; Outlook to Stable from Negative; -- $4,222,266 class C-FX notes at 'BBsf'; Outlook to Stable from Negative; -- $5,000,000 Class D- FL notes at 'Bsf'; Outlook to Stable from Negative; -- $40,766,000 Class D-FX notes at 'Bsf'; Outlook to Stable from Negative; -- $48,000,000 class E-FL notes at 'CCCsf'; -- $41,626,000 class E-FX notes at 'CCCsf'; -- $6,000,000 class F-FL notes at 'Csf'; -- $44,724,000 class F-FX notes at 'Csf'; -- $12,204,000 class G notes at 'Csf'; -- $30,511,000 class H notes at 'Csf'; -- $43,478,000 class J notes at 'Csf'. Additional information is available at ' www.fitchratings.com '. Applicable Criteria and Related Research : --'Global Structured Finance Rating Criteria' ( May 24, 2013 ); --'Global Rating Criteria for Structured Finance CDOs' ( Sept. 12, 2013 ). Applicable Criteria and Related Research : Global Rating Criteria for Structured Finance CDOs http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027 Global Structured Finance Rating Criteria http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661 Additional Disclosure Solicitation Status http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=818910 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. FITCH MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE. Fitch Ratings Primary Surveillance Analyst Matthew McGowan , +1-212-908-0733 Analyst Fitch Ratings, Inc. One State Street Plaza New York, NY 10004 or Committee Chairperson Mary MacNeill , +1-212-908-0785 Managing Director or Media Relations Sandro Scenga , +1 212-908-0278 sandro.scenga@fitchratings.com Source: Fitch Ratings


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