KEY RATING DRIVERS
The corporate synthetic CDO transactions have largely performed in line with Fitch's expectations since
The rating drivers for the upgrades were decreased time to maturity and moderate improvement in portfolio quality since the last review. Two classes of notes from two transactions were downgraded to 'Dsf' due to principal losses sustained following credit event settlements. These losses were sustained primarily from both transactions' exposure to structured finance securities.
The rating drivers for 9 classes, which were affirmed with their Outlooks revised to Positive from Stable, were stable portfolio credit quality and decreased time to maturity. The Outlook for one class was also revised from to Stable from Negative as a result of stable portfolio credit quality and decreased time to maturity. Fitch assigns Rating Outlooks to notes rated at or above the 'Bsf' rating category. Fitch's Ratings Outlook indicates the likely direction of any rating change over a one- to two-year period.
For the deals analyzed, negative migration and defaults in the portfolio beyond those projected could lead to downgrades. The five distressed transactions, with classes rated 'CCCsf' and below, have limited sensitivity to further negative migration given the highly distressed rating levels of the outstanding notes. However, there is potential for classes to be downgraded to 'Dsf' should there be principal losses sustained following future credit event settlements.
A spreadsheet detailing Fitch's rating actions for the public tranches is available on www.fitchratings.com.
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings was sourced from transaction trustee reports, swap counterparties and the public domain.
--'Global Rating Criteria for Corporate CDOs' (
--'Global Rating Criteria for Structured Finance CDOs' (
Global Rating Criteria for Corporate CDOs
Global Rating Criteria for Structured Finance CDOs
Primary Surveillance Analyst
Source: Fitch Ratings
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