Fitch Affirms & Withdraws RFC 2007-1's Ratings

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed 12 classes of RFC CDO 2007-1 (2007-1). Fitch has also withdrawn all ratings due to a lack of relevancy. A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

The CDO is significantly undercollateralized with liabilities exceeding collateral by approximately $400 million. All outstanding classes are also undercollateralized. Additionally, Fitch remains concerned over a default in the payment of timely interest given the significant hedge counterparty payments and the diminished amount of interest proceeds.

Over the past four years, interest proceeds have consistently been insufficient to pay the interest due on the timely classes and hedge counterparty payments. The asset manager has been liquidating assets to keep the CDO from defaulting. Since the last rating action, one asset was liquidated. Part of the proceeds was used to pay down classes A-2 and A-2R (by 0.3%).

As of June 2015 trustee report, there are 15 assets remaining in the pool. Per Fitch categorizations, commercial real estate loans (CREL) comprise approximately 59.7% of the collateral pool, including one whole loan (7.6%) and four B-notes (52%). Two of the CRELs (20.8%) have defaulted; three have been identified as Fitch loans of concern. Commercial mortgage backed securities (CMBS) represents 40.3% of the total collateral.

In its June 2015 rating action commentary, Fitch stated that it was considering withdrawing the ratings due to lack of relevance to the agency's coverage combined with commercial reasons. Fitch encouraged investors to contact the agency within 30 days if they had any interest in continued coverage of the transaction. Given that no investor indicated such an interest, Fitch is withdrawing the ratings today as they are no longer considered analytically meaningful.

RATING SENSITIVITIES

Ratings sensitivities are not applicable as the ratings on the transaction are being withdrawn.

DUE DILIGENCE

No third party due diligence was provided or reviewed in relation to this rating action.

Fitch affirms and withdraws the following classes:

--$107,892,584 class A-2 at 'Csf; RE 5%;

--$21,578,517 class A-2R at 'Csf'; RE 5%;

--$86,500,000 class B at 'Csf'; RE 0%;

--$50,852,882 class C at 'Csf'; RE 0%;

--$20,231,317 class D at 'Csf'; RE 0%;

--$16,012,521 class E at 'Csf'; RE 0%;

--$24,415,745 class F at 'Csf'; RE 0%;

--$16,363,676 class G at 'Csf'; RE 0%;

--$26,671,890 class H at 'Csf'; RE 0%;

--$20,130,182 class J at 'Csf'; RE 0%;

--$18,884,634 class K at 'Csf'; RE 0%;

--$12,015,407 class L at 'Csf'; RE 0%.

Classes A-1 and A-1R have previously PIF. Fitch does not rate the Preferred Shares.

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

Applicable Criteria

Global Structured Finance Rating Criteria (pub. 06 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867952

Global Surveillance Criteria for Structured Finance CDOs (pub. 13 Jul 2015)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=867800

Surveillance Criteria for U.S. CREL CDOs (pub. 24 Nov 2014)

https://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=811268

Additional Disclosures

Dodd-Frank Rating Information Disclosure Form

https://www.fitchratings.com/creditdesk/press_releases/content/ridf_frame.cfm?pr_id=988623

Solicitation Status

https://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=988623

Endorsement Policy

https://www.fitchratings.com/jsp/creditdesk/PolicyRegulation.faces?context=2&detail=31

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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 MAY HAVE PROVIDED ANOTHER PERMISSIBLE SERVICE TO THE RATED ENTITY OR ITS RELATED THIRD PARTIES. DETAILS OF THIS SERVICE FOR RATINGS FOR WHICH THE LEAD ANALYST IS BASED IN AN EU-REGISTERED ENTITY CAN BE FOUND ON THE ENTITY SUMMARY PAGE FOR THIS ISSUER ON THE FITCH WEBSITE.

View source version on businesswire.com: http://www.businesswire.com/news/home/20150728006250/en/

Fitch Ratings
Amy Gan
Director
+1-212-908-9143
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Karen Trebach
Senior Director
+1-212-908-0215
or
Media Relations:
Alyssa Castelli, +1 212-908-0540
[email protected]

Source: Fitch Ratings

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