Fitch: CRE CDOs with 2005 CMBS Exposure Not Looking Good

Fitch Ratings has placed 58 classes from 13 commercial real estate collateralized debt obligations containing a concentration of 2005 vintage commercial mortgage-backed securities on Rating Watch Negative. The affected transactions have greater than 10% exposure to 2005 vintage CMBS that are currently on Rating Watch Negative by Fitch. According to Fitch, the magnitude of the negative rating actions on the 2005 vintage CMBS is expected to be less significant than the 2006-2008 vintage CMBS rating downgrades. Nevertheless, the expected CMBS downgrades still exceed Fitch's expectation when the downgrade actions were taken on these CRE CDO bonds earlier this year following the implementation of revised criteria. On Oct. 22, Fitch placed 247 classes from 22 fixed-rate CMBS conduit transactions from the 2005 vintage on Rating Watch Negative, with the expectation that the majority of the classes will be downgraded one category when the Rating Watch Negative is resolved.