Fitch Ratings Downgrades Triton CBO III, Ltd./Corp
CHICAGO–(BUSINESS WIRE)–Jan. 22, 2003
Fitch Ratings has downgraded its ratings on three classes of notes and affirmed its ratings on two classes of notes issued by Triton CBO III, Ltd./Corp. (Triton III), a collateralized bond obligation (CBO) backed predominantly by high yield bonds and senior secured loans.
The current ratings are as follows:
Triton CBO III, Ltd./Corp.
–$251,734,936 class A-1 notes affirmed ‘AAA’;
–$148,079,374 class A-2 notes affirmed ‘AAA’;
–$33,317,859 class A-3 notes downgraded to ‘BB’ from ‘A+’;
–$89,143,759 class B notes downgraded to ‘C’ from ‘B-‘;
–$27,551,371 class C notes downgraded to ‘C’ from ‘CCC+’.
This rating action is a result of Fitch’s annual review of the performance of Triton III, amidst increased levels of defaults and deteriorating credit quality of underlying assets. Given the current quality of the portfolio, Fitch believes the present credit risk is no longer consistent with the formerly assigned ratings of the class A-3, B and C notes. According to the most recently available trustee report, dated Nov. 29, 2002, the notional amount of Triton III’s collateral is $548.5 million, and includes 18.6% defaulted assets having a par amount of $102.28 million. The deal also contains 35.1% assets rated ‘CCC+’ or below, excluding defaults. Triton III is currently failing each of its three overcollateralization (OC) tests. The class A OC test is failing at 110.03% with a trigger of 118.5%, the class B OC test is failing at 91.25% with a trigger of 103.9% and the class C OC test is failing at 86.68% with a trigger of 101.0%.
In reaching its rating action, a Fitch committee reviewed and evaluated the results of its cash flow model runs after applying several different stress scenarios. Also, Fitch had conversations with Triton Partners LLC, the Collateral Manager, regarding their expectations and opinions of the portfolio.
Fitch will continue to monitor this transaction. Deal information and historical data on Triton CBO III, Ltd./Corp. is available on Fitch Ratings’ web site at ‘www.fitchratings.com’.
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