NEW YORK--(BUSINESS WIRE)--Fitch Ratings has downgraded two and affirmed 17 classes issued by Ansonia CDO 2006-1 Ltd./LLC (Ansonia 2006-1) as a result of significant negative credit migration and realized losses on the underlying collateral. A complete list of rating actions follows at the end of this release.
Since Fitch's last rating action in March 2011, approximately 26.9% of the portfolio has been downgraded and 0.7% has been upgraded. Currently, 92.1% of the underlying collateral has a Fitch derived rating below investment grade and 75.3% has a rating in the 'CCC' category or lower, compared to 94.2% and 74.1% at the last rating action. As of the Jan. 25, 2012 trustee report, the underlying collateral has experienced realized losses of approximately $275.6 million since issuance, of which $122.3 million has occurred since the last rating action.
This review was conducted under the framework described in the reports 'Global Structured Finance Rating Criteria' and 'Global Rating Criteria for Structured Finance CDOs'. However, given the portfolio's distressed nature, Fitch believes that the probability of default for all classes of notes can be evaluated without factoring in potential further losses from the non-defaulted portion of the portfolio. Therefore, this transaction was not modeled using the Structured Finance Portfolio Credit Model (SF PCM).
On the April 28, 2009 payment date, classes E through T notes did not receive their full interest distributions as a result of insufficient interest proceeds due to interest shortfalls on the underlying collateral. On May 5, 2009, the trustee notified the noteholders of an event of default (EOD) due to non-payment of full and timely accrued interest to the classes E, F and G notes. Subsequently, the B through D notes defaulted on their interest payments. The recommendation is to affirm these notes at 'Dsf'. The notes have not been accelerated or liquidated at the time of this review.
For the class A and H through T 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 A notes have been downgraded and the class H through T notes have been affirmed at 'Csf', indicating that default is inevitable. Due to their senior position in the capital stack, the class A notes, however, are expected to have some recovery given the investment grade collateral ($42 million), the non-distressed collateral ($89 million), and the fact that interest proceeds are being redirected to redeem the class due to the EOD.
Fitch does not assign Outlooks to classes rated 'CCC' and below.
Ansonia 2006-1 is collateralized by all or a portion of 114 classes in 41 separate transactions. The portfolio is composed of 91% commercial mortgaged backed securities (CMBS), 7.6% real estate investment trusts (REITs), and 1.4% structured finance collateralized debt obligations (SF CDOs). Approximately 28.1% of the collateral is not rated and represents the first loss position of the respective underlying CMBS transaction.
Fitch has downgraded the following classes as indicated:
--$180,601,966 class A-FL notes to 'Csf' from 'CCsf';
--$67,056,638 class A-FX notes to 'Csf' from 'CCsf'.
Fitch has affirmed the following classes as indicated:
--$57,479,000 class B notes at 'Dsf';
--$34,285,000 class C notes at 'Dsf';
--$16,134,000 class D notes at 'Dsf';
--$18,151,000 class E notes at 'Dsf';
--$24,201,000 class F notes at 'Dsf';
--$30,252,000 class G notes at 'Dsf';
--$26,218,000 class H notes at 'Csf';
--$48,403,000 class J notes at 'Csf';
--$43,361,000 class K notes at 'Csf';
--$23,193,000 class L notes at 'Csf';
--$14,117,000 class M notes at 'Csf';
--$22,184,000 class N notes at 'Csf';
--$18,151,000 class O notes at 'Csf';
--$13,109,000 class P notes at 'Csf';
--$12,100,000 class Q notes at 'Csf';
--$10,084,000 class S notes at 'Csf';
--$8,067,000 class T 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' (Aug. 4, 2011);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 6, 2011).
Applicable Criteria and Related Research:
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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