NEW YORK--(BUSINESS WIRE)--Fitch Ratings has downgraded one and affirmed 12 classes issued by G-Force 2005-RR, LLC (G-Force 2005-RR). The downgrade is a result of additional principal losses on the underlying portfolio. The affirmations are a result of paydowns to the senior notes. A complete list of rating actions follows at the end of this release.
SENSITIVITY/RATING DRIVERS:
Since the last rating action in February 2012, approximately 19.7% of the collateral has been upgraded and 9.5% has been downgraded. Currently, 54% of the portfolio has a Fitch derived rating below investment grade and 25.7% has a rating in the 'CCC' category and below, compared to 57.1% and 27.8%, respectively, at the last rating action. Over this period, the transaction has received $33.4 million in pay downs and has experienced $20.5 million in principal losses.
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. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. Based on this analysis, the credit enhancements for the class A-2 and B notes are consistent with the rating indicated below.
For the class C through F 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 C through F notes have been affirmed at 'Csf', indicating that default is inevitable.
The class G notes have realized principal losses of approximately 32.5% of their original principal balance while the class H through N notes have experienced full principal losses. The class G notes have been downgraded, and the class H through N notes have been affirmed at 'Dsf'.
G-FORCE 2005-RR is backed by 31 tranches from 11 commercial mortgage backed security (CMBS) transactions and is considered a CMBS B-piece resecuritization (also referred to as a first-loss commercial real estate collateralized debt obligation [CRE CDO]/ReREMIC) as it includes the most junior bonds of CMBS transactions. The transaction closed Feb. 22, 2005.
Fitch has taken the following actions as indicated:
--$160,676,287 class A-2 notes affirmed at 'Bsf'; Outlook Negative;
--$40,230,000 class B notes affirmed at 'CCCsf';
--$25,144,000 class C notes affirmed at 'Csf'
--$5,029,000 class D notes affirmed at 'Csf'
--$16,972,000 class E notes affirmed at 'Csf';
--$8,172,000 class F notes affirmed at 'Csf';
--$7,207,999 class G notes downgraded to 'Dsf' from 'Csf';
--$0 class H notes affirmed at 'Dsf';
--$0 class J notes affirmed at 'Dsf';
--$0 class K notes affirmed at 'Dsf';
--$0 class L notes affirmed at 'Dsf';
--$0 class M notes affirmed at 'Dsf';
--$0 class N notes affirmed at 'Dsf'.
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.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012).
Applicable Criteria and Related Research:
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=690203
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