February 18, 2014 / 8:42 AM / 4 years ago

RPT-Fitch Downgrades Orso 7's Class D and E to 'Dsf'; Withdraws Ratings

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Feb 18 (Reuters) - (The following statement was released by the rating agency)

Fitch Ratings has downgraded G.K. Orso Funding CMBS 7’s class D and E notes and affirmed the class F notes. Fitch has simultaneously withdrawn the ratings due to lack of investor interest. All the notes are due in May 2014. The transaction is a Japanese multi-borrower type CMBS securitisation. The rating actions are as follows:

JPY4.4bn* Class D notes downgraded to ‘Dsf’ from ‘CCsf’; rating withdrawn

JPY5.5bn* Class E notes downgraded to ‘Dsf’ from ‘Csf’; rating withdrawn

JPY0.2bn* Class F notes affirmed at ‘Dsf’; rating withdrawn

*as of 17 February 2014

KEY RATING DRIVERS

The downgrade of the class D and E notes follows the principal loss on the two remaining defaulted loans that back the transaction. Five properties backing these loans have been sold since the previous rating action in April 2013 and the proceeds were sufficient to redeem the class B and C notes in full. The servicer then determined the unrecoverable loan principal and each borrower is currently in the liquidation process. The class D to F notes will be fully or partially written down after completion of the borrowers’ liquidation, given the loss amount already realised at the underlying loan level.

Fitch will no longer calculate the Recovery Estimate for this transaction following the withdrawal of the ratings.

At closing the transaction was a securitisation of four non-recourse loans and two Tokutei Mokuteki Kaisha specified bonds, which were ultimately backed by 42 real estate properties.

Fitch will no longer provide ratings or analytical coverage for this transaction.

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