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Rating Action:

Moody's Downgrades All CRE CDO Classes of Sorin Real Estate CDO II Ltd.

23 Sep 2009

Approximately $514 Million of Structured Securities Affected

New York, September 23, 2009 -- Moody's Investors Service ("Moody's) downgraded all rated commercial real estate collateralized debt obligation (CRE CDO) classes of Notes issued by Sorin Real Estate CDO II Ltd. due to the Issuer's decision to cause the early assignment or termination of certain Credit Default Swap (CDS) Transactions as per the conditions set forth within the transaction documents.

Sorin Real Estate CDO II, Ltd. is a synthetic CRE CDO backed by a portfolio of reference obligations in commercial mortgage-backed securities (CMBS) issued between 2004 and 2005. At securitization, the portfolio also included certain real estate investment trust (REIT) reference obligations.

The Issuer has deemed certain reference obligations as meeting the Credit Risk Criteria and, beginning in December 2008, the Collateral Manager directed the Trustee to assign or terminate certain CDS Transactions referencing these CMBS Reference Obligations and REIT Reference Obligations.

Moody's downgraded all classes from this transaction on March 31, 2009 causing a Disposition Restriction Condition. The transaction documents require the Collateral Manager to obtain Requisite Noteholder consent to continue to assign or terminate the reference obligations during the period of a Disposition Restriction Condition. However, if the reference obligations satisfy the Credit Risk Criteria which is at the sole discretion of the Collateral Manager, such reference obligations do not require such consent. As a result, Requisite Noteholder consent was not required and the Collateral Manager was able to unilaterally take the actions to continue assigning or terminating the credit default swaps causing termination payments after the downgrade.

The latest Intra-Period report presented by the Trustee as of September 2, 2009 indicates that the portfolio now references $275 million of obligations, as compared to $600 million at issuance. Termination payments have been funded by the term assets through the liquidation of Eligible Investments from the Principal Account. The Principal Account, which contained $227.5 million in the fourth quarter 2008, contains $11.2 million as of September 2, 2009. As a result of the reduction to the Principal Account, and Moody's expectation based on conversations with the Collateral Manager that further assignments or terminations of CDS Transactions will continue until the account is depleted, we do not anticipate any recovery of principal for Classes A, B, C, D, E, F, G, and H.

Moody's will continue to monitor this transaction for further assignments or terminations of CMBS Reference Obligations.

Today's actions reflect the increased expected loss associated with the deterioration of the Principal Account and the weakened credit profile of the remaining reference obligation of which 47.3% currently have a rating or credit estimate that is below investment grade. Today's rating actions are as follows:

- Class A-1LA, $311,902,238, Floating Rate Notes Due 2013, downgraded to Caa3 from A3, on review for possible downgrade; previously on 3/31/2009 downgraded to A3 from Aaa

- Class X, $4,362,642, Floating Rate Notes Due 2013, downgraded to C from Baa3; previously on 3/31/2009 downgraded to Baa3 from Aaa

- Class A, $70,000,000, Floating Rate Notes Due 2038, downgraded to C from Baa3; previously on 3/31/2009 downgraded to Baa3 from Aaa

- Class B, $36,000,000, Floating Rate Notes Due 2041, downgraded to C from Ba3; previously on 3/31/2009 downgraded to Ba3 from Aa2

- Class C, $33,000,000, Floating Rate Notes Due 2041, downgraded to C from B2; previously on 3/31/2009 downgraded to B2 from A2

- Class D, $27,000,000, Floating Rate Notes Due 2041, downgraded to C from Caa1; previously on 3/31/2009 downgraded to Caa1 from Baa2

- Class E, $7,800,000, Floating Rate Notes Due 2041, downgraded to C from Caa1; previously on 3/9/2009 downgraded to Caa1 from Baa3;

- Class F, $6,600,000, Floating Rate Notes Due 2041, downgraded to C from Caa2; previously on 3/31/2009 downgraded to Caa2 from Ba1;

- Class G, $10,200,000, Floating Rate Notes Due 2041, downgraded to C from Caa2; previously on 3/31/2009 downgraded to Caa2 from Ba2

- Class H, $7,500,000, Floating Rate Notes Due 2041, downgraded to C from Caa2; previously on 3/31/2009 downgraded to Caa2 from Ba3

Moody's monitors transactions on both a monthly basis through a review of the available Trustee Reports and a periodic basis through a full review. Moody's prior review is summarized in a press release dated March 31, 2009.

The principal methodology used in rating and monitoring this transaction is: "U.S. CMBS: Moody's Approach to Rating Synthetic CMBS Resecuritizations" published on December 19, 2005 and available on www.moodys.com in the Rating Methodologies sub-directory under the Research & Ratings tab. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found in the Rating Methodologies sub-directory on Moody's website. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies in "Structured Finance Quick Check," available to all registered users of our website at www.moodys.com/SFQuickCheck.

New York
Deryk Meherik
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Michael M. Gerdes
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Downgrades All CRE CDO Classes of Sorin Real Estate CDO II Ltd.
No Related Data.
© 2021 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

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