NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed 11 classes issued by LNR CDO 2002-1 Ltd./Corp (LNR 2002-1). A complete list of rating actions follows at the end of this press release.
SENSITIVITIES/KEY RATING DRIVERS:
Since the last rating action in March 2012, approximately 25.6% of the collateral has been downgraded. Currently, 82.5% of the portfolio has a Fitch derived rating below investment grade with 71.3% of the portfolio having a rating in the 'CCC' category and below, compared to 88.2% and 63.9%, respectively, at the last rating action. Over this period, the transaction has received $82.5 million which has resulted in the full repayment of the class A notes and a repayment of $39.4 million to the class B 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. Based on this analysis, the class B and C notes' breakeven rates are generally consistent with the ratings assigned below.
For the class D through H 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 D notes have been affirmed at 'CCsf', indicating that default is probable. Similarly, the class E through H notes have been affirmed at 'Csf', indicating that default is inevitable. The Stable Outlook on the class B and C notes reflects Fitch's view that the transaction will continue to delever.
LNR 2002-1 is backed by 51 tranches from 20 commercial mortgage backed security (CMBS) transactions and is considered a CMBS B-piece resecuritization (also referred to as first loss commercial real estate collateralized debt obligation [CRE CDO]) as it includes the most junior bonds of CMBS transactions. The transaction closed in July 2002.
Fitch has affirmed the following classes and revised Outlooks as indicated:
--$40,630,417 class B notes at 'BBsf'; Outlook to Stable from Negative;
--$25,000,000 class C notes at 'Bsf'; Outlook to Stable from Negative;
--$40,150,000 class D-FX notes at 'CCsf';
--$45,000,000 class D-FL notes at 'CCsf';
--$22,000,000 class E-FX notes at 'Csf';
--$33,059,000 class E-FXD notes at 'Csf';
--$21,000,000 class E-FL notes at 'Csf';
--$25,000,000 class F-FX notes at 'Csf';
--$27,041,000 class F-FL notes at 'Csf';
--$40,032,000 class G notes at 'Csf';
--$54,042,000 class H notes 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.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (June 6, 2012);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012);
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 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
Global Criteria for Cash Flow Analysis in CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518
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