Fitch Affirms CT CDO III Ltd./Corp.

NEW YORK--()--Fitch Ratings has affirmed 13 classes issued by CT CDO III Ltd./Corp. (CT CDO III). The rating actions are a result of de-leveraging of the capital structure. A complete list of rating actions follows at the end of this release.

Since Fitch's last rating action in January 2012, approximately 6% of the underlying collateral has been upgraded. Currently, 36.3% of the portfolio has a Fitch derived rating below investment grade and 20.8% has a rating in the 'CCC' category and below. Over this period, the class A-2 notes have received $52.6 million for a total of $62.1 million in pay downs since issuance.

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. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Additionally, a deterministic analysis was performed where the recovery estimate on the distressed collateral was modeled in accordance with the principal waterfall. An asset by asset analysis was then performed for the remaining assets to determine the collateral coverage for the remaining liabilities. The class A-2 through N notes have been affirmed at their current ratings given that their balances are covered with equal or better rated collateral.

The Stable Outlook on the class A-2 reflects the credit quality of the underlying collateral and the view that the transaction will continue to delever. The Negative Outlook on the class B through H notes reflects the risk of adverse selection as the portfolio continues to amortize.

CT CDO III is a commercial mortgage backed securities (CMBS) resecuritization that closed Aug. 4, 2005. The transaction is collateralized by 15 CMBS assets from nine obligors from the 1997-1999 vintages.

Fitch has affirmed the following classes:

--$85,102,280 class A-2 notes at 'Asf'; Outlook Stable;

--$29,007,000 class B notes at 'BBB+sf'; Outlook Negative;

--$13,650,000 class C notes at 'BBBsf'; Outlook Negative;

--$5,118,000 class D notes at 'BBB-sf'; Outlook Negative;

--$6,825,000 class E notes at 'BB+sf'; Outlook Negative;

--$6,825,000 class F notes at 'BB+sf'; Outlook Negative;

--$9,811,000 class G notes at 'BBsf'; Outlook Negative;

--$11,517,000 class H notes at 'Bsf'; Outlook Negative;

--$6,825,000 class J notes at 'CCCsf';

--$3,839,000 class K notes at 'CCCsf';

--$5,118,000 class L notes at 'CCsf';

--$5,545,000 class M notes at 'Csf';

--$4,265,000 class N notes at 'Csf'.

Additional information is available at 'www.fitchratings.com'. The ratings above were solicited by, or on behalf of, the issuer, and therefore, Fitch has been compensated for the provision of the ratings.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=690203

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Contacts

Fitch Ratings
Primary Surveillance Analyst:
Matthew McGowan, +1-212-908-0733
Analyst
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson:
Mary MacNeill, +1-212-908-0785
Managing Director
or
Sandro Scenga, +1-212-908-0278
New York, Media Relations
sandro.scenga@fitchratings.com

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Contacts

Fitch Ratings
Primary Surveillance Analyst:
Matthew McGowan, +1-212-908-0733
Analyst
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Committee Chairperson:
Mary MacNeill, +1-212-908-0785
Managing Director
or
Sandro Scenga, +1-212-908-0278
New York, Media Relations
sandro.scenga@fitchratings.com