Fitch Affirms 11 Classes of LNR CDO 2003-1, Ltd.

Fitch Ratings has affirmed 11 classes issued by LNR CDO 2003-1, Ltd. (LNR 2003-1). A complete list of rating actions follows at the end of this press release.

KEY RATING DRIVERS:

Since the last rating action in March 2013, approximately 17.2% of the collateral has been downgraded and 1.4% has been upgraded. Currently, 87.4% of the portfolio has a Fitch derived rating below investment grade with 68.7% of the portfolio having a rating in the 'CCC' category and below, compared to 89.3% and 57.3%, respectively, at the last rating action. Over this period, the transaction has received $81.3 million in paydowns which has resulted in the full repayment of the class B notes and $19.4 million in paydowns to the class C notes.

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. The default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. While the class C and D notes' ratings pass above their current ratings within the cash flow model, the ratings below reflect the passing rates as well as the concern of potential interest shortfalls and concentration risk as the portfolio continues to amortize.

For the class E through J 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 E notes have been affirmed at 'CCCsf', indicating that default is possible. Similarly, the classes F through J notes have been affirmed at 'Csf', indicating that default is inevitable.

RATING SENSITIVITIES

The Stable Outlook on the class C and D notes reflects Fitch's view that the transaction will continue to delever. LNR 2003-1 is a static collateralized debt obligation (CDO) that closed on July 2, 2003. The portfolio consists of 68 bonds from 28 obligors, all of which are CMBS from 1999 through 2003 vintage transactions.

Fitch has affirmed the following classes and revised the Outlooks as indicated:

--$14,559,537 class C-FL notes at 'BBsf'; Outlook to Stable from Negative;

--$4,222,266 class C-FX notes at 'BBsf'; Outlook to Stable from Negative;

--$5,000,000 Class D-FL notes at 'Bsf'; Outlook to Stable from Negative;

--$40,766,000 Class D-FX notes at 'Bsf'; Outlook to Stable from Negative;

--$48,000,000 class E-FL notes at 'CCCsf';

--$41,626,000 class E-FX notes at 'CCCsf';

--$6,000,000 class F-FL notes at 'Csf';

--$44,724,000 class F-FX notes at 'Csf';

--$12,204,000 class G notes at 'Csf';

--$30,511,000 class H notes at 'Csf';

--$43,478,000 class J notes at 'Csf'.

Additional information is available at 'www.fitchratings.com'.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (May 24, 2013);

--'Global Rating Criteria for Structured Finance CDOs' (Sept. 12, 2013).

Applicable Criteria and Related Research:

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=718027

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=708661

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=818910

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Fitch Ratings
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