Fitch Takes Action on U.S. Corporate Synthetic CDOs

CHICAGO--()--Fitch Ratings has taken various rating actions on 19 U.S. corporate synthetic collateralized debt obligation (CDO) transactions. The affirmations affect 65 ratings from 19 transactions. One class of notes was downgraded to 'Dsf' due to principal losses sustained following credit event settlements.

The corporate synthetic CDO transactions have largely performed in line with Fitch's expectations since February 2012. Fitch also considered the impact of a reduction in credit enhancement levels in 11 CDOs due to exposure to the Residential Capital, LLC credit event in June 2012. The affirmations for all 19 transactions reflect sufficient support for the ratings driven by an adequate level of available credit enhancement, relatively stable performance of the low-rated assets in portfolios and decreased time to maturity.

The rating actions include 29 classes from nine transactions affirmed with Stable Outlooks and one class affirmed with a Negative Outlook. Outlooks were revised from Negative to Stable on five classes from three transactions. Fitch assigns Rating Outlooks to notes rated at or above the 'Bsf' rating category. Fitch's Ratings Outlook indicates the likely direction of any rating change over a one- to two-year period.

A spreadsheet detailing Fitch's rating actions for the public tranches is available on www.fitchratings.com.

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 transaction trustee reports, swap counterparties and the public domain.

Applicable Criteria & Related Research:
--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2012);
--'Global Structured Finance Rating Criteria' (June 6, 2012).

Applicable Criteria and Related Research: Fitch Takes Action on U.S. Corporate Synthetic CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=701830

Global Rating Criteria for Structured Finance CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=690203
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

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Contacts

Fitch Ratings
Primary Surveillance Analyst:
Aaron Hughes, +1-312-368-2074
Director
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Committee Chairperson:
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Primary Surveillance Analyst:
Aaron Hughes, +1-312-368-2074
Director
Fitch Ratings, Inc.
70 W. Madison Street
Chicago, IL 60602
or
Committee Chairperson:
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com