Fitch Affirms Sorin Real Estate CDO I, Ltd.

Fitch Affirms Sorin Real Estate CDO I, Ltd.
NEW DELHI & SINGAPORE--(BUSINESS WIRE)--Fitch has affirmed seven classes of notes issued by Sorin Real Estate CDO I, Ltd. These affirmations are the result of Fitch's review process and are effective immediately:

--$302,000,000 class A1 floating rate senior notes affirmed at 'AAA';

--$27,600,000 class A2 floating rate senior notes affirmed at 'AAA';

--$20,000,000 class B floating rate senior notes affirmed at 'AA';

--$12,100,000 class C floating rate subordinated notes affirmed at 'A';

--$13,802,422 class D floating rate subordinated notes affirmed at 'BBB';

--$3,915,578 class E floating rate subordinated notes affirmed at 'BBB-';

--$4,000,000 class F fixed rate subordinated notes affirmed at 'BB'.

Sorin Real Estate CDO I is a revolving collateralized debt obligation (CDO) that closed July 21, 2005. Sorin Real Estate CDO I is managed by Sorin Capital Management, LLC (Sorin). The portfolio is currently composed of commercial mortgage-backed securities (52.3%), residential mortgage-backed securities (32.9%), commercial real estate loans (10.5%), and bank loans to real estate operating companies (4.4%). Sorin Real Estate CDO I will end its reinvestment period in September 2010.

The affirmations are the result of stable portfolio performance measures, such as overcollateralization (OC) ratios and weighted average rating factor (WARF). As of the most recent trustee report dated May 31, 2007 all OC and interest coverage ratios have remained stable and continue to pass their covenants. Since Fitch's last review, the WARF on the collateral has improved to 6.74 ('BBB/BBB-') from 7.07 ('BBB/BBB-'). The collateral has a maximum Fitch WARF of 7.26 ('BBB-'). There are no defaulted assets in the portfolio.

While Sorin Real Estate CDO I has some exposure to subprime RMBS (27.1%), currently all the subprime RMBS assets are of investment-grade ratings. 95% (25.7% of total collateral) of the total subprime RMBS exposure is rated 'AA-' or better. None of the subprime RMBS assets are of the 2006 vintage. The current exposure to 2004 and 2005 subprime RMBS vintages is 9% and 91%, respectively. Fitch will continue to monitor this transaction as the CDO is currently in its revolving period in which new collateral may be purchased to replace existing collateral, subject to re-investment criteria.

Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities.

The ratings of the class A1, A2 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 stated balance of principal by the legal final maturity date. The ratings of the class C, D, E and F notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.

Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 4, 2006 and also available at www.derivativefitch.com.

Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.derivativefitch.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 means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto.