Fitch Takes Various Actions on Addison CDO, Ltd./Corp.

CHICAGO--(BUSINESS WIRE)--

Fitch Ratings has affirmed three classes of notes issued by Addison CDO Ltd./Corp. (Addison CDO). Fitch has also marked one class of notes as paid-in-full (PIF). Recovery Estimates (REs) have also been assigned as follows:

--$532,013 class Va notes affirmed at 'Csf'; RE 5%;

--$2,544,412 class Vb notes affirmed at 'Csf'; RE 5%;

--$4,200,000 class C combination notes affirmed at 'Csf'; RE 0%.

Fitch has also taken the following action:

--$7,061,641 class VIb participation notes rated 'BBBsf' are PIF.

The affirmations of the class Va and Vb (collectively, class V) notes are the result of Fitch's continued expectation of a principal impairment at maturity for these notes. The combined $3.1 million remaining balance of these notes receives principal and interest pro rata with an approximately $3 million portion of the class VIb participation notes, indicating a total $6.1 million pro rata balance of the class V and class VIb participation notes. These notes are currently supported by a performing portfolio of one bond and two loans (to a single obligor) totaling $838 thousand. The remaining portfolio is insufficient to fully repay the class V notes.

The class C combination notes are rated to the ultimate receipt of their initial $20 million principal balance and an internal rate of return (IRR) on the original investment of 8.26%, and to date have received over $28.6 million in total proceeds. The class C combination notes received portions of proceeds to the class III notes and class IVb notes, both of which have been paid in full, and also a portion of proceeds to the subordinate notes, which are unrated and not expected to receive any future proceeds. Fitch therefore does not expect any future proceeds to the class C combination notes. Although the class C combination notes have received total payments in excess of their initial principal balance, Fitch projects that the notes will not satisfy the IRR requirement, and has therefore affirmed the notes at 'Csf'.

The class VIb participation notes were rated to the ultimate receipt of their initial $10 million principal balance and an IRR on the original investment of 4%. Fitch calculates the total payments received by the class VIb participation notes to date at $14.3 million, indicating that the receipt of the initial principal balance has been achieved. Fitch also calculates that, regardless of the amount or timing of future proceeds received by the class VIb participation notes, the 4% minimum IRR will have been achieved. Consequently, Fitch considers the class VIb participation notes to be paid in full, as they have satisfied their rating requirement.

Addison CDO is a cash flow collateralized debt obligation (CDO) that closed on Oct. 19, 2000 and is managed by Pacific Investment Management Company LLC (PIMCO). The transaction is scheduled to mature in November 2012. The remaining bond is scheduled to mature in March 2012, while the two remaining loans are scheduled to mature in April 2014. Notice of an event of default (EOD) for the transaction was delivered by the trustee in July 2011. The EOD was caused by the failure to maintain an aggregate collateral balance at least equal to 100% of the class V notes and the class VIb mezzanine notional amount.

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.

The information used to assess these ratings was sourced from the asset manager, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);

--'Global Rating Criteria for Corporate CDOs' (Aug. 10, 2011);

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 15, 2011).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=641789

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