Fitch Upgrades Six Classes of CT CDO III Ltd./Corp.
KEY RATING DRIVERS
The upgrades reflect the increased credit enhancement and improved underlying collateral performance since the last rating action.
Since Fitch's last rating action in November 2014, the transaction has paid down by \\$30.2 million from the payoff of two bonds and the amortization of two other bonds. Total paydowns since issuance are \\$248.2 million.
The remaining portfolio is comprised of five assets from three obligors. One bond (11.4% of the pool) was upgraded since Fitch's last rating action. The underlying ratings of the collateral pool include 9.9% rated 'AAAsf', 23.9% rated 'AAsf', 11.4% rated 'BBBsf', and 54.8% with a Fitch derived rating of 'Dsf'. Approximately 30% of the 'Dsf' rated collateral is covered by defeasance within the underlying transaction.
This transaction was analyzed under the framework described in the report 'Global Surveillance Criteria for Structured Finance CDOs' using a look-through analysis of the underlying portfolio. Fitch analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. An asset by asset analysis was also performed for the remaining assets to determine the collateral coverage for the remaining liabilities. The class C through F notes have been upgraded given that their balances are covered with equal or better rated underlying collateral. The upgrade to classes G and H was limited due to the increasing pool concentration and adverse selection of the remaining assets.
The Stable Outlook on the class C through H notes reflects the credit quality of the underlying collateral and the view that the transaction will continue to delever. Further upgrades to F through H are possible should the portfolio continue to de-lever and underlying performance improve or remain stable. Downgrades to classes J through N are likely as losses are incurred.
DUE DILIGENCE USAGE
No third party due diligence was provided or reviewed in relation to this rating action.
Fitch has upgraded the following classes and revised or assigned Rating Outlooks as indicated:
--\\$2,637,923 class C to 'AAAsf' from 'Asf'; Outlook Stable;
--\\$5,118,000 class D to 'AAAsf' from 'BBBsf'; Outlook Stable;
--\\$6,825,000 class E to 'AAAsf' from 'BBBsf'; Outlook Stable;
--\\$6,825,000 class F to 'AAsf' from 'BB+sf'; Outlook Stable;
--\\$9,811,000 class G to 'Asf' from 'BBsf'; Outlook to Stable from Negative;
--\\$11,517,000 class H to 'BBsf' from 'CCCsf'; assigned Outlook Stable.
Fitch has affirmed the following classes:
--\\$6,825,000 class J at 'CCsf';
--\\$3,890,000 class K at 'CCsf';
--\\$5,118,000 class L at 'CCsf';
--\\$5,545,000 class M at 'Csf';
--\\$4,265,000 class N at 'Csf'.
Classes A-1, A-2 and B have been paid in full. Fitch does not rate classes O, Preferred Shares and X.