July 16, 2012 / 5:23 PM / 5 years ago

TEXT-S&P affirms 1 CWCapital COBALT Vr Ltd rating

July 16 - OVERVIEW 
      -- We affirmed our rating on class A-1 from CWCapital COBALT Vr Ltd., a 
commercial real estate collateralized debt obligation transaction, and removed 
it from CreditWatch negative.
     -- The affirmation reflects our analysis of the transaction's liability 
structure and the underlying credit characteristics of the collateral, using 
our criteria for rating global CDOs of pooled structured finance assets.
    
     July 16 - Standard & Poor's Ratings Services today affirmed its rating on
class A-1 from CWCapital COBALT Vr Ltd. (COBALT Vr), a commercial real estate
collateralized debt obligation (CRE CDO) transaction. Concurrently, we removed
the rating from CreditWatch with negative implication (see list).

The affirmation reflects our analysis of the transaction's liability structure 
and the credit characteristics of the underlying collateral, for which we used 
our criteria for rating global collateralized debt obligations (CDOs) of 
pooled structured finance assets. These criteria include revised assumptions 
on correlations, recovery rates, default patterns, and timings of the 
collateral. The criteria also include supplemental stress tests (the largest 
obligor default test and the largest industry default test), which we 
considered in our analysis.

According to the June 26, 2012, trustee report, COBALT Vr was collateralized 
by 175 commercial mortgage-backed securities (CMBS) classes ($1.561 billion, 
66.2%) from 48 distinct transactions issued between 2003 and 2007. Cobalt Vr's 
assets also include six classes ($406.6 million, 17.3%) from CRIIMI MAE 
Commercial Mortgage Trust's series 1998-C1 and 10 classes ($388.5 million, 
16.5%) from 10 CRE CDO transactions. Approximately 77.7% of the collateral 
assets are rated or credit estimated to be 'D (sf)'. We considered the 
potential recovery rates of these defaulted assets in our rating, as well as 
the continued credit deterioration of the underlying assets. Since our last 
review of the transaction, the balance of the collateral assets had declined 
to $2.356 billion as of June 2012 from $2.643 billion as of June 2011. The 
transaction's liabilities, including interest shortfalls, totaled $3.571 
billion. Our affirmation on class A-1 considers the credit enhancement 
available to the class as well as the continued amortization of the class, 
which has an outstanding principal balance of $358.6 million, down from $609.0 
million at issuance.

Standard & Poor's will continue to review whether, in its view, the rating 
assigned to the notes remain consistent with the credit enhancement available 
to support them and take rating actions as it determines necessary.
 
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT

SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating 
relating to an asset-backed security as defined in the Rule, to include a 
description of the representations, warranties and enforcement mechanisms 
available to investors and a description of how they differ from the 
representations, warranties and enforcement mechanisms in issuances of similar 
securities. The Rule applies to in-scope securities initially rated (including 
preliminary ratings) on or after Sept. 26, 2011. 

If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this 
credit rating report is available atRELATED CRITERIA AND RESEARCH 
 
     -- Global CDOs Of Pooled Structured Finance Assets: Methodology And 
Assumptions, published Feb. 21, 2012. 
     -- Global Structured Finance Scenario And Sensitivity Analysis: The 
Effects Of The Top Five Macroeconomic Factors, published Nov. 4, 2011.
     -- General Cash Flow Analytics for CDO Securitizations, published Aug. 
25, 2004.

RATING AFFIRMED AND REMOVED FROM CREDITWATCH NEGATIVE

CWCapital COBALT Vr Ltd.
                        Rating
Class            To               From
A-1              B+ (sf)          B+ (sf)/Watch Neg

Our Standards:The Thomson Reuters Trust Principles.
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