Fitch Affirms G-Force 2005-RR2 LLC

NEW YORK--()--Fitch Ratings has affirmed 16 classes issued by G-Force 2005-RR2 LLC (G-Force 2005-RR2). A complete list of rating actions follows at the end of this release.

Since Fitch's last rating action in January 2012, approximately 11.5% of the underlying collateral has been downgraded and 9.5% has been upgraded. Currently, 87.7% of the portfolio has a Fitch derived rating below investment grade and 62.8% has a rating in the 'CCC' category and below, compared to 85.8% and 60.6%, respectively, at the last rating action. Over this period, the class A-2 notes have received $64.2 million for a total of $125.4 million in pay downs since issuance.

This transaction was analyzed under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Portfolio Credit Model (PCM) for projecting future default levels for the underlying portfolio. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. Based on this analysis, the credit enhancement for the class A-2 is consistent with the rating indicated below.

For the class A-3 and A-4 notes, Fitch analyzed each class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class A-3 notes have been affirmed at 'CCCsf', indicating that default is possible. Similarly, the class A-4 notes have been affirmed at 'Csf', indicating that default is inevitable. The class B through N notes have all realized principal losses and have been affirmed at 'Dsf'.

The Negative Outlook on the class A-2 notes reflects the concentration risk of the underlying portfolio.

G-Force 2005-RR2 is a commercial mortgage backed security (CMBS) resecuritization issued in August 2005. The transaction is currently collateralized by 76 CMBS assets from 23 obligors from the 1998-2002 vintages. The collateral is primarily composed of CMBS B-Piece resecuritizations which are commercial real estate collateralized debt obligations (CRE CDOs) and ReRemic transactions that include the most junior bonds of CMBS transactions.

Fitch has affirmed the following classes:

--$24,590,957 class A-2 at 'AAsf'; Outlook Negative;

--$250,000,000 class A-3FL at 'CCCsf';

--$50,000,000 class A-4A at 'Csf';

--$58,446,000 class A-4B at 'Csf';

--$56,650,581 class B at 'Dsf';

--$0 class C at 'Dsf';

--$0 class D at 'Dsf';

--$0 class E at 'Dsf';

--$0 class F at 'Dsf';

--$0 class G at 'Dsf';

--$0 class H at 'Dsf';

--$0 class J at 'Dsf';

--$0 class K at 'Dsf';

--$0 class L at 'Dsf';

--$0 class M at 'Dsf';

--$0 class N at 'Dsf'.

Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=690203

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Contacts

Fitch Ratings
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