Fitch Affirms CT CDO IV Ltd.

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NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has affirmed 15 classes issued by CT CDO IV Ltd. (CT CDO IV). The rating actions are a result of paydowns to the senior notes offsetting the negative credit migration of the portfolio. A complete list of rating actions follows at the end of this release.

Since the last review in December 2010, approximately 25.6% of the collateral has been downgraded. Currently, 70.3% of the portfolio has a Fitch derived rating below investment grade and 46.4% has a rating in the 'CCC' category and below, compared to 61.7% and 34.3%, respectively, at the last review. Additionally, the class A-1 notes have received $55.6 million in paydowns since the last review.

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 default levels were then compared to the breakeven levels generated by Fitch's cash flow model of the CDO under the various default timing and interest rate stress scenarios, as described in the report 'Global Criteria for Cash Flow Analysis in CDOs'. 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 class A-1 notes' breakeven rates in Fitch's cash flow model are generally consistent with the ratings assigned below.

For the class 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 classes E through M notes have been affirmed at 'Csf', indicating that default is inevitable. The class E through M notes are currently deferring their entire interest payments.

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 while the class A-2 and B notes continue to be in default on their entire interest payments. Noteholders had not given direction to accelerate the notes or liquidate the portfolio at the time of this review.

CT CDO IV is backed by 39 tranches from 30 obligors, the majority of which is commercial mortgage backed securities (CMBS, 59.3%). The remainder of the pool consists of commercial real estate (CRE) loans (24.5%), and structured finance CDOs (16.2%). 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:

--$158,492,868 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.

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' (Aug. 4, 2011);

--'Global Rating Criteria for Structured Finance CDOs' (Oct. 6, 2011);

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 15, 2011).

Applicable Criteria and Related Research:

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=650717

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569

Global Rating Criteria for Structured Finance CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651560

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