Fitch Affirms 2 Classes of Notes Issued by Diversified Asset Securitization Holdings I, L.P.

CHICAGO--()--Fitch Ratings has affirmed two classes of notes issued by Diversified Asset Securitization Holdings I, L.P. (DASH I), as follows:

--$17,706,513 class A-1 notes at 'BBsf'; Outlook Stable;

--$3,655,014 class A-2 notes at 'BBsf'; Outlook Stable;

KEY RATING DRIVERS

The affirmations are due to continued deleveraging of the capital structure being in line with Fitch's prior expectations and the stable performance of the portfolio.

Since Fitch's last rating action in April 2014, the credit quality of the collateral has remained stable, with one asset comprising approximately .4% of the portfolio downgraded three notches and 17.0% upgraded a weighted average of one notch. Approximately 50.5% of the current portfolio has a Fitch derived rating below investment grade and 33.3% has a rating in the 'CCCsf' rating category or lower, compared to 50.4% and 34.0%, respectively, at last review.

The class A-1 and A-2 notes (class A notes) have received approximately $2.6 million in principal repayment, since the last review, leaving 8.1% of the original balance outstanding. In addition to principal amortization the notes have also been benefiting from excess spread redirected to cure the failing class A overcollateralization (OC) test. The CE level to these notes has increased since Fitch's last review to 56.6% from 53.8%. While the par-based CE has improved since last review, the increasing high single obligor concentration and adverse selection remain meaningful concerns. As of the October 2014 Trustee report, the current portfolio is comprised of 15 performing obligors. The notes are passing at higher rating levels in Fitch's cash flow model, however, given that the transaction has not accelerated, there is a potential for principal to be leaked to pay class B interest as the class A OC test is currently in compliance.

The Stable Outlook reflects the available cushion in the modeling results to protect the notes against potential deterioration in the credit quality of the underlying portfolio.

RATING SENSITIVITIES

The class A notes have downward rating sensitivity with respect to further negative migration and defaults beyond those projected in the SF PCM as well as increasing concentration in assets of a weaker credit quality. Continuing amortization accompanied by better than expected cash flows from distressed assets could lead to an upgrade.

This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio. These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);

--'Global Rating Criteria for Structured Finance CDOs' (July 16, 2014);

--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);

--'Fitch's Interest Rate Stress Assumptions for Structured Finance' (Jan. 23, 2014).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Counterparty Criteria for Structured Finance and Covered Bonds

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=744158

Fitch's Interest Rate Stress Assumptions for Structured Finance and Covered Bonds - Excel File

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=732175

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=943975

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Contacts

Fitch Ratings, Inc.
Primary Surveillance Analyst
Emmett O'Brien
Analyst
+1-212-908-1648
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 1004
or
Committee Chairperson
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings, Inc.
Primary Surveillance Analyst
Emmett O'Brien
Analyst
+1-212-908-1648
Fitch Ratings, Inc.
33 Whitehall St.
New York, NY 1004
or
Committee Chairperson
Alina Pak, CFA
Senior Director
+1-312-368-3184
or
Media Relations
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com