Fitch Downgrades 6 Classes of West Trade Funding CDO I, Ltd.

NEW YORK & CHICAGO--(BUSINESS WIRE)--Fitch has downgraded and removed from Rating Watch Negative six classes of notes issued by West Trade Funding CDO I, Ltd. and West Trade Funding CDO I, LLC. (West Trade I). These rating actions are the result of Fitch's review process and are effective immediately:

--$1,314,793,280 class A-1 downgraded to 'CCC' from 'BB', and removed from Rating Watch Negative;

--$58,823,322 Class A-2 downgraded to 'CC' from 'B', and removed from Rating Watch Negative;

--$50,869,143 Class B downgraded to 'CC' from 'CCC', and removed from Rating Watch Negative;

--$13,457,728 Class C downgraded to 'C' from 'CC', and removed from Rating Watch Negative;

--$10,830,282 Class D downgraded to 'C' from 'CC', and removed from Rating Watch Negative;

--$6,226,969 Class E downgraded to 'C' from 'CC', and removed from Rating Watch Negative.

West Trade I is a cash flow collateralized debt obligation (CDO) that closed on April 26, 2006. The transaction was structured as static, however, allowed for reinvestment of any amortizing fixed-rate assets in additional fixed-rate assets until either an event of default occurs in the CDO or the June 2014 payment date, whichever occurs first. NIR Capital Management, LLC (NIR), an affiliate of the NIR Group, LLC (NIR Group), acts as the collateral advisor for West Trade I. Presently 49.9% of the portfolio is composed of 2005 and 2006 vintage U.S. subprime residential mortgage-backed securities (RMBS), 22.9% consists of 2005 and 2006 vintage U.S. SF CDOs, and 18.6% is comprised of 2005 and 2006 vintage U.S. Alternative-A (Alt-A) RMBS. Prime RMBS represents 7.1% of the portfolio.

Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically subprime RMBS and SF CDOs with underlying exposure to subprime RMBS. Since the last review on Nov. 21, 2007, approximately 70% of the portfolio has been downgraded with 29.7% of the portfolio currently on Rating Watch Negative. Approximately 51.5%, of the portfolio is now rated below investment grade, of which 36.3% is rated 'CCC+' and below. Fitch notes that, overall, 67.5 % of the assets in the portfolio now carry a rating below the rating Fitch assumed for the November 2007 review of the transaction.

The collateral deterioration has caused each of the overcollateralization (OC) ratios to fall below 100% and fail their respective tests. As of the trustee report dated May 22, 2008, the class A/B OC ratio was 88.5%, the class C OC ratio was 87.7%, and the class D OC ratio was 87.0%, versus their triggers of 101.6%, 100.6%, and 100.3%.

Interest and principal payments are made on a monthly basis to class A-1 notes, while all other classes receive quarterly distributions. At present, the transaction continues to make the scheduled monthly distributions to class A-1. However, during the last quarterly distribution in June 2008, the amount of available interest proceeds was insufficient to pay the scheduled interest for class A-2 and B. As a result, $597,252 of principal amortizations were used to make up the interest shortfalls to class A-2 and B. Because there are no coverage test provisions in the principal waterfall, the remaining principal proceeds were distributed as principal to the class A-1 notes. Payment of interest to the classes C, D, and E has been made in kind by writing up the principal balance of each class by the amount of interest owed.

The classes are removed from Rating Watch as Fitch believes further negative migration in the portfolio will have a lesser impact on these classes. Additionally, Fitch is reviewing its SF CDO approach and will comment separately on any changes and potential rating impact at a later date.

The ratings of the class A-1, A-2, and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class C, D, and E notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the protections incorporated within the structure.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional transaction information and historical data are available on the Fitch Ratings web site at www.fitchratings.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.