Fitch Upgrades 5 Classes of Tricadia CDO 2003-1, Ltd.

NEW YORK--(BUSINESS WIRE)-- Fitch upgrades all classes of notes issued by Tricadia CDO 2003-1, Ltd. (Tricadia) as follows:

--$2,538,525 class A-1LA notes upgraded to 'AAAsf' from 'B-'; Outlook Stable;
--$8,500,000 class A-1LB notes upgraded to 'BBBsf' from 'CCCsf'; assigned Outlook Stable;
--$11,038,525 class A-2L notes upgraded to 'BBBsf' from 'CCCsf'; assigned Outlook Stable;
--$35,000,000 class A-3L notes upgraded to 'Bsf' from 'Csf'; assigned Outlook Stable;
--$12,000,000 class A-4L notes upgraded to 'CCCsf' from 'Csf'.

This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using the Structured Finance Portfolio Credit Model (SF PCM) for projecting future default levels for the underlying portfolio.

These default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'.

Fitch also considered additional qualitative factors in its analysis to conclude the rating actions for the rated notes. The upgrades to all notes are the result of increased credit enhancements due to continued deleveraging of the transaction and improvement in the credit quality of the portfolio. The impact of these factors is reflected in the cash flow model's breakeven rates which are consistent with the ratings above.

The class A-1LA notes are expected to be paid in full on the next distribution date in November given the sufficient coverage from the proceeds available in the collection accounts. The notes have amortized approximately $21.1 million since the last review, leaving only 3.3% of the original note balance outstanding. Upgrades to all classes in this transaction are supported by the improved cash flow modeling results.

Since Fitch's last rating action in October 2011, the credit quality of the portfolio collateral has improved, with approximately 18.0% of the portfolio upgraded a weighted average of 2 notches and 12.3% downgraded a weighted average of 1.7 notches. As of the most recent trustee report dated Sept. 27, 2012, the senior class A overcollateralization (OC) ratio is passing its trigger of 114.0% at 176.0%, the class A OC ratio is passing its trigger of 105.0% at 145.4%, and the class B overcollateralization ratio is passing its trigger of 102.5% at 121.9%.

Tricadia is a static collateralized debt obligation (CDO) monitored by Tricadia CDO Management, LLC, which closed Jan. 14, 2004. As of the Sept. 27, 2012 trustee report, the portfolio is comprised of corporate and SF CDOs from primarily 2002 through 2006 vintage transactions.

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.
The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Jun. 6, 2012);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 3, 2012);
--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012);
--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (March 20, 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
Global Criteria for Cash Flow Analysis in CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518
Criteria for Interest Rate Stresses in Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=673560

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Source: Fitch Ratings