Fitch Affirms CT CDO IV Ltd.

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed 15 classes issued by CT CDO IV Ltd. (CT CDO IV). A complete list of rating actions follows at the end of this release.

Since Fitch's last rating action in November 2011, approximately 29.5% of the underlying collateral has been downgraded and 6.4% upgraded. Currently, 78.4% of the portfolio has a Fitch derived rating below investment grade and 51.2% has a rating in the 'CCC' category and below, compared to 70.3% and 46.4% at the last rating action. Over this time, the class A-1 notes have received $30.3 million for a total of $207.8 million in principal paydowns 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. The Rating Loss Rates (RLR) were then compared to the credit enhancement of the classes. Fitch also analyzed the structure's sensitivity to the assets that are distressed, experiencing interest shortfalls, and those with near-term maturities. Based on this analysis, the credit enhancement for the class A-1 notes is consistent with the current rating of the notes.

For the classes C through M notes, Fitch analyzed the class' sensitivity to the default of the distressed assets ('CCC' and below). Given the high probability of default of the underlying assets and the expected limited recovery prospects upon default, the class C through M notes have been affirmed at 'Csf', indicating that default is inevitable.

The transaction entered an Event of Default on Nov. 29, 2010, due to non-payment of the full and timely accrued interest on the class A-2 and B notes. The class A-2 and B notes are non-deferrable classes. Currently, the class A-1 notes are receiving interest through the use of principal proceeds due to the hedge counterparty payment while the class A-2 and B notes continue to be in default on their entire interest payment. On Jan. 14, 2011 the controlling class declared the principal of all notes immediately due and payable.

CT CDO IV is backed by 33 tranches from 24 obligors, the majority of which is commercial mortgage backed securities (CMBS, 59.2%). The remainder of the pool consists of commercial real estate (CRE) loans (23.4%), and structured finance CDOs (17.4%). The transaction is considered a CMBS B-piece resecuritization (also referred to as first loss CRE CDO) as it primarily includes junior bonds of CMBS transactions. The transaction closed in March 2006.

Fitch has affirmed the following classes:

--$128,195,126 class A-1 notes at 'CCCsf';

--$17,691,336 class A-2 notes at 'Dsf';

--$17,711,304 class B notes at 'Dsf';

--$12,408,966 class C notes at 'Csf';

--$5,684,108 class D-FL notes at 'Csf';

--$3,631,090 class D-FX notes at 'Csf';

--$4,905,782 class E notes at 'Csf';

--$2,234,871 class F-FL notes at 'Csf';

--$3,680,088 class F-FX notes at 'Csf';

--$7,402,648 class G notes at 'Csf';

--$3,866,950 class H notes at 'Csf';

--$2,440,512 class J notes at 'Csf';

--$5,369,286 class K notes at 'Csf';

--$4,899,424 class L notes at 'Csf';

--$3,429,115 class M 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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Fitch Ratings
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Source: Fitch Ratings