Fitch Takes Various Actions on CT CDO III Ltd./Corp.

NEW YORK--()--Fitch Ratings has downgraded one class, upgraded five classes and affirmed six classes of CT CDO III Ltd./Corp. (CT CDO III). A detailed list of rating actions follows at the end of this release.

KEY RATING DRIVERS

Since Fitch's last rating action in November 2013, approximately 17.3% of the underlying collateral has been upgraded. Currently, 51.1% of the portfolio has a Fitch derived rating below investment grade and 40.6% has a rating in the 'D' category. Over this period, the class B note has received $8.3 million for a total of $216.4 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 look-through analysis of 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 B through E notes has been upgraded given that their balances are covered with equal or better rated underlying collateral. The class H note has been downgraded due to the increasing concentration risk of the underlying collateral.

RATING SENSITIVITIES

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

Fitch has downgraded the following class:

--$11,517,000 class H notes to 'CCCsf' from 'Bsf'.

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

--$20,746,210 class B notes to 'AAsf' from 'BBB+sf'; Outlook Stable;

--$13,650,000 class C notes to 'Asf' from 'BBBsf'; Outlook Stable;

--$5,118,000 class D notes to 'BBBsf' from 'BBB-sf'; Outlook Stable;

--$6,825,000 class E notes to 'BBBsf' from 'BB+sf'; Outlook to Stable from Negative.

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

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

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

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

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

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

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

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

Classes A-1 and A-2 have been paid in full. Fitch does not rate classes O, Preferred Shares and X.

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

Applicable Criteria and Related Research:

--'Global Rating Criteria for Structured Finance CDOs' (July 16, 2014);

--'Global Structured Finance Rating Criteria' (Aug. 4, 2014).

Applicable Criteria and Related Research:

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389

Additional Disclosure

Solicitation Status

http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=922995

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Contacts

Fitch Ratings
Primary Analyst
Sean Gibbs, +1 212-908-0311
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com

Contacts

Fitch Ratings
Primary Analyst
Sean Gibbs, +1 212-908-0311
Associate Director
Fitch Ratings, Inc.
33 Whitehall Street
New York, NY 10004
or
Committee Chairperson
Mary MacNeill, +1 212-908-0785
Managing Director
or
Media Relations, New York
Sandro Scenga, +1 212-908-0278
sandro.scenga@fitchratings.com