Fitch Downgrades CD 2007-CD4; Affirms Super Senior Classes

NEW YORK--(BUSINESS WIRE)--

Fitch Ratings has downgraded five classes of CD Commercial Mortgage Trust, Series 2007-CD4 due to further deterioration of performance, most of which involves increased losses on the specially serviced loans. A detailed list of rating actions follows at the end of this press release.

The downgrades reflect an increase in Fitch expected losses across the pool. Fitch modeled losses of 16.1% of the remaining pool; expected losses of the original pool are at 15.9%, including losses already incurred to date.

As of the March 2012 distribution date, the pool's aggregate principal balance has been paid down by approximately 11.6% to $5.88 billion from $6.64 billion at issuance. Interest shortfalls are affecting classes C thru S. Following the March distribution the Ala Moana Center loan ($347.6 million) was paid in full. The paydown will be reflected in the next servicer remittance report.

Fitch has designated 85 loans (27.3%) as Fitch Loans of Concern, which includes forty-nine specially serviced loans (21.6%).

The largest contributors to modeled losses are three of the top 15 loans in the transaction which are currently specially serviced, Citadel and Northwest Arkansas Mall Portfolio (4.5%), Riverton Apartments (3.9%) and the Loews Lake Las Vegas (2.0%) of the transaction.

The two assets in the Citadel and North Arkansas Mall Portfolio (4.5%) are now Real Estate Owned (REO). The two regional malls totaling 1.04 million square feet (sf) are located in Colorado Springs, CO and Fayetteville, AR. The anchors at the Citadel Mall, all of which own their own space, are JCPenney and Dillard's. As of February 2012, in-line occupancy was 84% and total mall occupancy was 94%.

The anchors at the Northwest Arkansas Mall are Dillard's (not part of the collateral), JCPenney and Sears. As of February 2012, in-line occupancy was 88% and total mall occupancy was 96%.

The loan transferred to the special servicer in October 2009 due to imminent default as a result of property operating shortfalls. The special servicer acquired title to the properties in September 2011. All capital improvement projects have been completed at the properties. There have been several lease renewals which have been completed and some are in the process of negotiation.

Riverton Apartments (3.9%) is a class B, rent-stabilized multifamily housing project, consisting of 1,228 units, located in Harlem, NY. The loan transferred to special servicing in August 2008 due to imminent default as a result of the borrower's inability to deregulate rent-stabilized units and increase rents to market levels.

Foreclosure occurred in March 2010 and the asset is REO. Prior to the foreclosure, all available funds from the letter of credit and the reserve accounts were applied to outstanding advances. Per the special servicer, the lease up of all vacant units continues and the property has reached a stabilized occupancy of 97%.

The Loews Lake Las Vegas (2%) is secured by a 493 room full-service hotel located in Lake Las Vegas, NV, 13 miles east of the Las Vegas strip. The property is an attractive resort with usual amenities, but does not have a casino. The loan was transferred to special servicing in March 2009 due to imminent default.

Per the special servicer, a license agreement to be branded a Westin hotel was executed and the hotel conversion has recently been completed. The property is now open and operating as a Westin hotel. The most recent servicer reported occupancy, average daily rate (ADR), and revenue per available room (RevPAR) as of December 2011 is 34.3%, $138, and $47; respectively.

Fitch downgrades, removes classes A-MFX, A-MFL, A-J, B, and C from Rating Watch Negative, assigns Recovery Estimates (RE) and Outlooks to the following classes as indicated:

--$595 million class A-MFX to 'Asf' from 'AAAsf'; Outlook Stable;

--$65 million class A-MFL to 'Asf' from 'AAA'; Outlook Stable;

--$585.7 million class A-J to 'CCsf' from 'Bsf'; RE 60%;

--$41.2 million class B to 'Csf' from 'B-'; RE 0%;

--$90.7 million class C to 'Csf' from 'B-'; RE 0%;

--$57.7 million class D to 'Csf' from 'CCCsf'; RE 0%;

--$41.2 million class E to 'Csf' from 'CC'; RE 0%.

Fitch also affirms the following classes as indicated:

--$629 million class A-2B at 'AAAsf'; Outlook Stable;

--$464.2 million class A-3 at 'AAAsf'; Outlook Stable;

--$162 million class A-SB at 'AAAsf'; Outlook Stable;

--$1.7 billion class A-4 at 'AAAsf'; Outlook Stable;

--$595 million class A-1A at 'AAAsf'; Outlook Stable;

--$40.5 million class WFC-X at 'BBB+sf'; Outlook Stable;

--$7.7 million class WFC-1 at 'BBB+sf'; Outlook Stable;

--$8.7 million class WFC-2 at 'BBBsf'; Outlook Stable;

--$24.1 million class WFC-3 at 'BBB-sf'; Outlook Stable;

--$49.5 million class F at 'Csf'; RE 0%;

--$66 million class G at 'Csf'; RE 0%;

--$74.2 million class H at 'Csf'; RE 0%;

--$66 million class J at 'Csf'; RE 0%;

--$74.2 million class K at 'Csf'; RE 0%;

--$24.7 million class L at 'Csf'; RE 0%;

--$16.5 million class M at 'Csf'; RE 0%;

--$16.5 million class N at 'Csf';RE 0%.

Classes A-1 and A-2A have paid in full. Fitch does not rate classes O, P, Q, and S.

Classes WFC-1, WFC-2, and WFC-3 and the interest only WFC-X are backed by the B-note of One World Financial Center. The classes are affirmed due to the stable performance.

Fitch had previously withdrawn the ratings on the interest-only classes XP, XC, and XW. (For additional information on the withdrawal of the rating on Class X, see 'Fitch Revises Practice for Rating IO & Pre-Payment Related Structured Finance Securities', dated June 23, 2010).

Additional information on Fitch's criteria for analyzing U.S. CMBS transactions is available in the Dec. 21, 2011 report, 'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions,' which is available at 'www.fitchratings.com' under the following headers:

Structured Finance >> CMBS >> Criteria Reports

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' (Aug. 4, 2011);

--'Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions' (Dec. 21, 2011).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

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

Surveillance Methodology for U.S. Fixed-Rate CMBS Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=662869

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