Fitch Affirms Bernoulli High Grade CDO I, Ltd.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch affirms six classes of notes issued by Bernoulli High Grade CDO (Collaborative Data Objects) A programming interface from Microsoft for accessing MAPI-based e-mail, calendaring and scheduling servers. Originally called "OLE Messaging" and "Active Messaging," CDO wraps the Enhanced MAPI library into a COM object that provides the I, Ltd. (Bernoulli High Grade CDO I). These affirmations are the result of Fitch's review process and are effective immediately: --$924,940,835 class A-1A notes 'AAA'; --$359,498,474 class A-1B notes 'AAA'; --$88,585,616 class A-2 notes 'AAA'; --$59,057,077 class B notes 'AA'; --$14,764,269 class C notes 'A'; --$14,764,269 class D notes 'BBB'. Bernoulli High Grade CDO I is a static hybrid cash and synthetic collateralized debt obligation Synthetic Collateralized Debt Obligation An artificial collateralized debt obligation that is backed by a pool of credit derivatives. Notes: Rather than the traditional pools of assets such as bonds and loans, the pools of credit derivatives that back synthetic CDOs (CDO) that closed March 30, 2006. The portfolio was selected and is monitored by Babcock & Brown Securities Pty, Ltd. and is currently composed of residential mortgage-backed securities ([RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities ] 68.4%) and CDOs (31.6%). Approximately 75.7% of the assets are owned as cash bonds, with the other 24.3% being referenced via credit default swaps Credit Default Swap A swap designed to transfer the credit exposure of fixed income products between parties. Notes: The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. . Since close, the collateral has exhibited stable performance, as there has been no rating migration in the underlying portfolio to date. As of the March 28, 2007 trustee report the class A/B A/B Airborne A/B Afterburner (jet engines) A/B Air Blast A/B Answerback A/B Auto-brake A/B Air Bus A/B Afterburning and C/D overcollateralization ratios remained at roughly the same levels as the effective date on June 28, 2006. As of the most recent trustee report available, the portfolio had not experienced any credit events, and there were no assets rated below 'A-'. The ratings of the class A-1A, A-1B, A-2, and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The ratings of the class C and D notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 18, 2006 and also available on Fitch's web site at www.derivativefitch.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. , Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto. |
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