Fitch Affirms Bluegrass ABS CDO II, 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 all classes of notes issued by Bluegrass bluegrass, any species of the large and widely distributed genus Poa, chiefly range and pasture grasses of economic importance in temperate and cool regions. In general, bluegrasses are perennial with fine-leaved foliage that is bluish green in some species. ABS 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 II, Ltd., (Bluegrass II). These affirmations are the result of Fitch's review process. The following rating actions are effective immediately: --$75,000,000 Class A-1MTa Notes affirm at 'AAA'; --$173,000,000 Class A-1MTb Notes affirm at 'AAA'; --$58,000,000 Class A-2 Notes affirm at 'AAA'; --$52,800,000 Class B Notes affirm at 'AA'; --$13,297,017 Class C-1 Notes affirm at 'BBB'; --$6,559,862 Class C-2 Notes affirm at 'BBB'. Bluegrass II is a collateralized debt obligation Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDO) that closed on April 14, 2004 and is managed by Invesco Institutional N.A., Inc. Bluegrass II is composed of residential mortgage-backed securities (RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities ), asset-backed securities (ABS), commercial mortgage-backed securities (CMBS CMBS See: Commercial Mortgage Backed Securities ) and CDOs. Bluegrass II is currently in its reinvestment period and will exit the period in April 2007. Since the last rating action the portfolio has continued to perform as expected. The weighted average rating factor has increased to 5.5 ('BBB/BBB-') as of the most recent trustee report dated Dec. 5, 2006 from 4.0 ('BBB/BBB-') as of last review. Currently there are no defaulted assets in the portfolio. While the overcollateralization ratios have changed only marginally, the interest coverage (IC) ratios have notably declined since last review, with 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 IC ratio declining to 128.4% from 140.6% and C IC ratio to 119.3% from 128.7% as of December 5, 2006 monthly report, the most recent trustee report available. All ratios remain above their trigger levels. The ratings of the class A and class 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 rating of the class C notes addresses 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 Collateralized Debt Obligations,' dated Oct. 4, 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, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto. |
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