Fitch: Rating Watch Negative for CRE CDOs with 2005 U.S. CMBS Exposure

The affected transactions have greater than 10% exposure to 2005 vintage CMBS that are currently on Rating Watch Negative by Fitch or another agency.

Similar to the Rating Watch actions for classes within CRE CDOs taken when Fitch placed the 2006-2008 vintage CMBS classes on Rating Watch Negative, Fitch is placing classes from CRE CDOs with 2005 vintage CMBS concentrations on Negative Watch. Two of the CRE CDOs affected in this action already had some of their bonds on Negative Watch from that earlier action. The magnitude of the negative rating actions on the 2005 vintage CMBS is expected to be less significant than the 2006-2008 vintage CMBS rating downgrades. Nevertheless, the expected CMBS downgrades still exceed Fitch's expectation when the downgrade actions were taken on these CRE CDO bonds earlier this year following the implementation of revised criteria.

On Oct. 22, 2009, Fitch placed 247 classes from 22 fixed-rate CMBS conduit transactions from the 2005 vintage on Rating Watch Negative, with the expectation that the majority of the classes will be downgraded approximately one category when the Rating Watch Negative is resolved.

Fitch will be carrying out individual analyses on the affected transactions in the coming months.

Fitch has placed the following classes on Rating Watch Negative:

Ansonia CDO 2006-1 Ltd./LLC

--$203,311,214 class A-1FL notes 'BB';

--$75,488,472 class A-1FX notes 'BB';

--$57,479,000 class B notes 'B';

--$34,285,000 class C notes 'B-';

--$16,134,000 class D notes 'B-';

--$18,151,000 class E notes 'B-'.

Anthracite 2005-HY2 Ltd./Corp.

--$103,691,335 class A notes 'BBB';

--$52,593,000 class B notes 'BB+';

--$25,360,000 class C-FL notes 'BB';

--$7,000,000 class C-FX notes 'BB';

--$25,275,000 class D-FL notes 'B';

--$13,500,000 class D-FX notes 'B';

--$9,376,000 class E notes 'B-'.

Anthracite CRE CDO 2006-HY3 Ltd.

--$173,090,099 class A notes 'BB';

--$50,595,567 class B-FL notes 'B+';

--$8,876,415 class B-FX notes 'B+';

--$41,719,152 class C-FL notes 'B-';

--$7,101,132 class C-FX notes 'B-'.

Calculus CMBS 2007-3

--$16,000,000 Calculus CMBS 2007-3 07ML66764A 'BBB';

--$4,000,000 Calculus CMBS 2007-3 07ML66763A 'BBB';

--$2,000,000 Calculus CMBS 2007-3 07ML66762 'BBB';

--$1,000,000 Calculus CMBS 2007-3 07ML66757A 'BBB';

--$17,000,000 Calculus CMBS 2007-3 07ML66756A 'BBB-'.

CT CDO IV Ltd.

--$257,644,208 class A-1 notes 'BBB';

--$19,354,920 class A-2 notes 'BBB-';

--$19,362,454 class B notes 'BB+';

--$13,561,034 class C notes 'BB';

--$6,206,058 class D-FL notes 'B+';

--$3,964,519 class D-FX notes 'B+';

--$5,339,104 class E notes 'B';

--$2,386,096 class F-FL notes 'B-';

--$3,929,104 class F-FX notes 'B-'.

CWCapital COBALT Vr Ltd./Corp.

--$526,113,681 class A-1 notes 'BBB'.

Halcyon 2005-1, Ltd,

--Eur51,875,000 class A notes 'BBB+';

--Eur5115,000,000 class B notes 'BBB';

--$15,750,000 class C notes 'BBB-'.

Halcyon 2005-2, Ltd.

--Eur5138,400,000 class A notes 'BBB+';

--Eur5125,800,000 class B notes 'BBB';

--$15,750,000 class C notes 'BBB-'.

JER CRE CDO 2005-1, Ltd./LLC

--$80,852,991 class A notes 'BBB';

--$38,130,000 class B-1 notes 'BB+';

--$37,500,000 class B-2 notes 'BB+';

--$48,400,000 class C notes 'BB';

--$46,500,000 class D notes 'B+';

--$23,320,000 class E notes 'B';

--$15,000,000 class F notes 'B-';

--$10,000,000 class G notes 'B-'.

LNR CDO 2006-1, Ltd./LLC (IV)

--$474,385,000 class A notes 'BB-';

--$204,174,000 class B-FL notes 'B';

--$10,000,000 class B-FX notes 'B'.

N-Star Real Estate CDO V Ltd.

--$335,921,275 class A-1 notes 'A-';

--$46,472,397 class A-2 notes 'BBB'.

N-Star Real Estate CDO VII, Ltd.

--$338,250,000 class A-1 notes 'A-';

--$54,250,000 class A-2 notes 'BBB'.

Vertical CRE CDO 2006-1, Ltd./Corp.

--$189,709,055 class A notes 'BB';

--$29,000,000 class B notes 'B';

--$10,000,000 class C notes 'B-';

--$4,000,000 class D notes 'B-'.

These rating actions reflect the application of Fitch's current criteria which are available at www.fitchratings.com and specifically include the following reports:

--'Global Structured Finance Rating Criteria' (Sept. 30, 2009);

--'Global Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008).

Additional information is available at www.fitchratings.com.

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Fitch Ratings, New York
Karen Trebach, +1-212-908-0215
Jenny Story, +1-212-908-0302
or
Sandro Scenga, +1-212-908-0278 (Media Relations)
sandro.scenga@fitchratings.com