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A complete list of rating actions follows at the end of this release. Since Fitch's last rating action, the Fitch derived weighted average rating of the portfolio has deteriorated to 'BB-' from 'BB+'; currently, 26.6% is on Rating Watch Negative by at least one rating agency.

2010 JAN 30 - (VerticalNews.com) -- Fitch Ratings has downgraded eight classes issued by Newcastle IV Ltd./Corp. (Newcastle IV) and removed two classes from Rating Watch Negative as a result of significant negative credit migration of the underlying collateral. A complete list of rating actions follows at the end of this release.

Since Fitch's last rating action, the Fitch derived weighted average rating of the portfolio has deteriorated to 'BB-' from 'BB+'; currently, 26.6% is on Rating Watch Negative by at least one rating agency. Approximately 52.7% of the portfolio has a Fitch derived rating below investment grade, and 16.2% has a rating in the 'CCC' rating category or lower, compared to 32.8% and 1.8%, respectively, at last review. Defaulted securities, as defined in the transaction's governing documents, now comprise 10% of the portfolio, compared to 0% at last review. Additionally, 3.2% of non-defaulted collateral is currently experiencing interest shortfalls.

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 Corporate CDOs'.

Based on this analysis, the class I notes' breakeven rates are generally consistent with the 'B' rating category. For the class II notes, the breakeven rates are insufficient to warrant a 'B' rating. The credit enhancement available to the class II notes, provided by the class III notes and below, exceeds Fitch's loss expectation, but is insufficient to warrant a rating higher than 'CCC', given the negative trends of the collateral. Therefore, the class II notes have been assigned a 'CCC', indicating that default is possible.

Fitch's loss expectation approximates the credit enhancement available to the class III notes and exceeds the credit enhancement available to all other junior classes. Fitch analyzed each class' sensitivity to the default of the distressed collateral compared to its credit enhancement. Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class III notes have been assigned a 'CC' rating, indicating that default is probable.

For the class IV and V notes, Fitch assigned the ratings based on the amount of underlying assets experiencing interest shortfalls and assets with a Fitch derived rating of 'CC' or lower. These classes of notes have been assigned a 'C' rating indicating that default is inevitable.

While the class I notes are currently receiving interest, the interest on the class II notes and below are being diverted to pay principal on the class I notes due to the class I OC failure. The class II notes and below are receiving interest paid in kind (PIK) whereby the principal amount of the notes is written up by the amount of interest due. Fitch does not expect classes IV and below to receive any future payments as interest shortfalls and negative migration on the underlying collateral continue to increase.

Newcastle IV is a managed collateralized debt obligation, which closed March 30, 2004. The portfolio is composed of 40.5% commercial mortgage-backed securities (CMBS); 24.7% real estate investment trust securities (REIT); 21.1% commercial real estate loans (CREL), including single borrower 'rake' classes of CMBS; 12.2% residential mortgage-backed securities (RMBS); and 1.5% asset backed securities (ABS). Newcastle IV ended its reinvestment period in March 2009.

Keywords: Finance, Fitch Ratings, Investing, Investment, Mortgage, Professional Services, Real Estate, Real Estate Investment, Trust Securities.

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