Fitch Downgrades & Removes 7 Classes of Bluegrass ABS CDO III, Ltd from Watch Negative.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 downgrades and removes from Rating Watch Negative seven 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 III, Ltd. (Bluegrass III). The following rating actions are effective immediately: --$162,865,123 class A-1 notes to 'BB' from 'BBB'; --$49,000,000 class A-2 notes to 'CCC' from 'BBB-'; --$27,000,000 class B notes to 'CC' from 'BB+'; --$13,599,816 class C notes to 'C' from 'B'; --$6,871,272 class D-1 notes to 'C' from 'CCC'; --$3,424,007 class D-2 notes to 'C' from 'CCC'; --$4,970,682 combination securities to 'C' from 'CCC'. Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically subprime residential mortgage-backed securities Residential mortgage-backed securities (RMBS) are a type of bond commonly issued in American security markets. They are a type of Mortgage-backed security which are backed by mortgages on residential rather than commercial real estate. (RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities ) and structured finance (SF) collateralized debt obligations Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDOs) with underlying exposure to subprime RMBS. Bluegrass III is a cash flow SF CDO that closed on Sept. 15, 2004 and is managed by Invesco Institutional N.A. Inc. Presently, 22.8% of the portfolio is comprised of 2005, 2006 and 2007 vintage U.S. subprime RMBS, and 7.9% consists of 2005, 2006 and 2007 vintage U.S. SF CDOs. Since Nov. 21, 2007, approximately 45.0% of the portfolio has been downgraded with 11.7% of the portfolio currently on Rating Watch Negative. Additionally, 41.0% of the portfolio is now rated below investment grade, of which 23.9% of the portfolio is rated 'CCC+' and below. Overall, 30.6% of the assets in the portfolio now carry a rating below the rating assumed in Fitch's November 2007 review. The collateral deterioration has caused each of the overcollateralization (OC) ratios to fall below 100% and fail their respective tests. As of the trustee report dated June 30, 2008, 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 OC ratio was 86.1%, relative to its trigger of 107.9%. The class C, D-1 and D-2 notes have been paying in kind, whereby the principal balance of the notes are written up by the amount of missed interest, since December 2007. Based on the projected performance of the portfolio, Fitch does not expect the C, D-1, D-2 and combination notes to receive any interest or principal proceeds going forward. The ratings of the class A-1, A-2 and B notes address the timely receipt of scheduled interest payments and the ultimate receipt of principal as per the transaction's governing documents. The ratings of the class C, D-1, and D-2 notes address the ultimate receipt of interest payments and ultimate receipt of principal as per the transaction's governing documents. The rating of the combination securities addresses the likelihood that investors will receive the combination security notional balance, as well as ultimate payments resulting in a 2% coupon. Fitch is reviewing its SF CDO approach and will comment separately on any changes and potential rating impact at a later date. Fitch will continue to monitor and review this transaction for future rating adjustments. Additional transaction information and historical data are available on the 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. web site at www.fitchratings.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.fitchratings.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. |
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