KEY RATING DRIVERS
The downgrade of the non-deferrable class B notes follows the interest payment default caused by SFA III's acceleration in
The class A notes have benefited from the acceleration of the capital structure and have continued to amortize since Fitch's
The CE level of the class C notes was exceeded by expected losses (EL) from the distressed collateral ('CCsf' and below) without factoring potential losses from the performing portion of the portfolio.
The notes of SFA III have limited sensitivity to further negative migration given their highly distressed rating levels. However, there is potential for the class A notes to be downgraded to 'Dsf' should they experience any interest payment shortfalls.
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. The cash flow model framework was not used to analyze the transaction given the highly distressed rating level of the notes.
Additional information is available at 'www.fitchratings.com'.
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Structured Finance CDOs' (
Global Structured Finance Rating Criteria
Global Rating Criteria for Structured Finance CDOs
Primary Surveillance Analyst
Source: Fitch Ratings
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