NEW YORK, July 24 /PRNewswire/ -- Fitch Ratings -- Fitch has upgraded seven and affirmed seven classes of CT CDO III Ltd./Corp. (CT CDO III) as follows:
-- $53.7 million class A-1 affirmed at 'AAA';
-- $147.2 million class A-2 affirmed at 'AAA';
-- $29.0 million class B upgraded to 'AA+' from 'AA';
-- $13.7 million class C upgraded to 'AA-' from 'A';
-- $5.1 million class D upgraded to 'A+' from 'A-';
-- $6.8 million class E upgraded to 'A' from 'BBB+';
-- $6.8 million class F upgraded to 'A-' from 'BBB';
-- $9.8 million class G upgraded to 'BBB' from 'BBB-';
-- $11.5 million class H upgraded to 'BBB-' from 'BB+';
-- $6.8 million class J affirmed at 'BB';
-- $3.8 million class K affirmed at 'BB-';
-- $5.1 million class L affirmed at 'B+';
-- $5.5 million class M affirmed at 'B';
-- $4.3 million class N affirmed at 'B-';
Classes O, X and the Preferred Shares class are not rated by Fitch.
CT CDO III is a static commercial mortgage-backed securities (CMBS) resecuritization, which closed Aug. 4, 2005. CT Investment Management Co., LLC, a wholly owned subsidiary of Capital Trust, Inc., serves as the collateral administrator.
The upgrades are driven primarily by the improved credit quality of the portfolio and seasoning of the collateral. The certificates are collateralized by all or a portion of 22 classes of fixed-rate CMBS in 14 separate underlying CMBS transactions. One asset (13.1%) is a non-rated first loss class. Two assets (9.3%) are first loss positions in two large loan transactions and are rated 'BB' (7.8%) and 'A' (1.5%). All other assets have credit enhancements within their respective transactions greater than 2%.
Since Fitch's last review (August 2006), 30.5% of the portfolio was upgraded a weighted average of 1.8 notches and no downgrades were experienced. According to the June 2007 trustee report, the CDO has paid down $7.3 million to the class A-1 notes to date, representing 2.1% of the collateral. Based on Fitch's actual rating or on Fitch's internal credit assessment for those classes not rated by Fitch, the weighted average rating factor (WARF) has improved to the 'BB/BB-' category from the 'BB-/B+' category at issuance. The CMBS assets in the collateral pool ranges from the 1996 vintage to the 1999 vintage, with approximately nine years of seasoning. Over 98% of the underlying transactions have a named special servicer with a Fitch rating of 'CSS1'
Delinquencies in the underlying transactions are as follows: 30 days (0.04%); 60 days (0.19%); 90 days or more (0.13%); foreclosure (0.07%) and REO (0.22%).
The ratings of the class A and B notes address the likelihood that investors will receive full and timely payment of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The ratings of the class C through H and J through N notes address the likelihood that investors will receive ultimate interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date.
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at 'http://www.fitchratings.com/'. (For more information on the Fitch VECTOR model, see 'Global Rating Criteria for Collateralized Debt Obligations,' dated October 4, 2006, also available at 'http://www.derivativefitch.com/'.)
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 'http://www.fitchratings.com/'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
