Fitch Ratings Affirms 3 Classes of Toro ABS 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 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. affirms three classes of notes issued by Toro 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 I, Ltd., (Toro). These affirmations are the result of Fitch's review process and are effective immediately: -- $893,097,101 class A notes at 'AAA'; -- $75,838,413 class B notes at 'AA'; -- $14,968,108 class C notes at 'BBB'. Toro 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 June 30, 2005 and is managed by Merrill Lynch Investment Managers (MLIM MLIM Merrill Lynch Investment Managers (UK) ; rated 'CAM2' by Fitch for managing structured finance CDOs). Toro will be in a substitution period until November 2007; during this period the asset manager has the ability to trade a varying percentage of the collateral balance. Currently, Toro's portfolio is composed of 75.3% residential mortgage-backed securities (RMBS RMBS Residential Mortgage-Backed Securities RMBS Rambus, Inc. (NASDAQ stock symbol) RMBS Russian Mortgage-Backed Securities ) and 24.7% CDOs (16.7% of which are synthetically referenced). These affirmations are the result of the stable performance of the underlying collateral. The weighted average rating factor has remained stable since close, with a current value of 0.9 ('AA/AA-') as of the most recent trustee report dated Feb. 28, 2006. 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 overcollateralization (OC) ratios are at approximately the same levels as the effective date report dated Nov. 1, 2005, with current results of 103% and 101.4%, respectively. The weighted average life of the portfolio is 6.98 versus a trigger of 6.5 as of the most recent trustee report. However, the overall steady performance of the collateral mitigates this concern. As of the most recent trustee report available, there were no defaulted assets. There are no assets rated below 'A-'. The rating of the class A and B notes addresses 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 stated maturity date. The rating of the class C notes addresses the likelihood that investors will receive ultimate and deferred interest payments, including interest on deferred interest payments, as per the governing documents, as well as the stated balance of principal by the stated 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 Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004 and also available on Fitch's 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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