2008-07-25 21:37:02 -
- Fitch Ratings has downgraded 9 and removed 8 classes from Rating Watch Negative from notes issued by Crystal River CDO 2005-1 Ltd. The following rating actions are effective immediately:
--$37,638,384 Class A Notes to 'A' from 'AAA';
--$44,750,000 Class B Notes to 'BBB' from 'AAA', and removed from Rating Watch Negative;
--$20,500,000 Class C Notes to
'BBB-' from 'AA', and removed from Rating Watch Negative;
--$42,500,000 Class D-1 Notes to 'BB' from 'A', and removed from Rating Watch Negative;
--$10,000,000 Class D-2 Notes to 'BB' from 'A', and removed from Rating Watch Negative;
--$23,250,000 Class E Notes to 'B' from 'BBB', and removed from Rating Watch Negative;
--$25,293,749 Class F Notes to 'CCC' from 'BB+', and removed from Rating Watch Negative;
--$10,884,375 Class G Notes to 'C' from 'BB', and removed from Rating Watch Negative;
--$4,809,375 Class H Notes to 'C' from 'BB-', and removed from Rating Watch Negative.
Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically subprime residential mortgage backed securities (RMBS) and structured finance (SF) collateralized debt obligation CDOs with underlying exposure to subprime RMBS. Since the last review conducted in November 2007, approximately 48.8% of the portfolio has been downgraded. The portion of the portfolio rated below investment grade is now 95.9% with 29.9% rated 'CCC+' or lower.
The collateral deterioration has caused the class F overcollateralization (OC) tests to fall to 125.7% and fail the 128.6% trigger. As a result, interest proceeds that would otherwise be payable to the class G and H notes are being diverted to the class A notes in reduction of the class A note principal amount.
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.
Crystal River is an arbitrage cash flow CDO that closed on Nov. 30, 2005 and is managed by Hyperion Crystal River Capital Advisors, LLC (Hyperion Crystal River). Crystal River's portfolio is comprised of commercial mortgage backed securities (CMBS) (43.8%), subprime RMBS (24.5%) all of which is 2005 vintage, prime RMBS (10.8%), and Alternative-A (Alt-A) RMBS (20.9%), of which 2.9% is pre-2005 vintage and 18.0% is 2005 vintage.
The ratings of the class A, B, C, D-1, and D-2 notes address the likelihood that investors will receive full and timely payments of interest as well as the aggregate outstanding amount of principal by the stated maturity date, per the transaction's governing documents. The ratings of the class E, F, G, and H notes address the likelihood that investors will receive ultimate interest payments, as well as the aggregate outstanding amount of principal by the stated maturity date, per the transaction's governing documents,.
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.
Fitch Ratings
Kevin Kendra, +1-212-908-0760, New York
Brian Vorderbrueggen, +1-212-908-9102, New York
Alina Pak, CFA, +1-312-368-3184, Chicago
Sandro Scenga, +1-212-908-0278, Media Relations, New York
