Fitch Ratings Affirms SERVES Series 2001-3.NEW YORK -- Fitch affirms three classes of notes issued by Structured Enhanced Return Vehicle Trust (SERVES), series 2001-3. These affirmations are effective immediately: -- $20,000,000 class A notes affirmed at 'A+'; -- $5,000,000 class B-1 notes affirmed at 'BBB+'; -- $10,000,000 class B-2 notes affirmed at 'BBB+'. SERVES is a synthetic collateralized loan obligation Collateralized loan obligation (CLO) A security backed by a pool of commercial or personal loans , structured so that there are several classes of bondholders with varying maturities, called tranches. Similar in structure to Collateralized Mortgage Obligations. (CLO CLO See: Collateralized Loan Obligation. ) that closed on June 28, 2001 and is managed by 40|86 Advisors, Inc., a wholly owned subsidiary Wholly Owned Subsidiary A subsidiary whose parent company owns 100% of its common stock. Notes: In other words, the parent company owns the company outright and there are no minority owners. of Conseco, Inc. The transaction utilizes a total rate of return swap between the SERVES trust and Bank of America
Bank of America (NYSE: BAC TYO: 8648 ) is the largest commercial bank in the United States in terms of deposits, and the largest company of its kind in the world. and provides investors with leveraged exposure to a diversified portfolio of high-yield loans. These affirmations are the result of relatively stable performance of the reference portfolio since its last review in December 2004. The steady growth of the cumulative payment amount (CPA (Computer Press Association, Landing, NJ) An earlier membership organization founded in 1983 that promoted excellence in computer journalism. Its annual awards honored outstanding examples in print, broadcast and electronic media. The CPA disbanded in 2000. ) since the last rating review has indicated that the reference portfolio assets continue to perform as expected. As of the trustee report dated August 31, 2006, however, the weighted average rating factor (WARF WARF Wisconsin Alumni Research Foundation WARF Wide Aperture Research Facility WARF Wartime Active Replacement Factors WARF weighted-average risk factor WARF Wartime Attrition and Replacement Factors WARF Whylie Animal Rescue Foundation ) of the reference portfolio experienced negative credit migration, decreasing to 23.84 ('B+') from 45.2 ('BB-'; based on previous Fitch rating factor scale), and the weighted average spread has decreased to 2.09% from 2.37%. Subsequently, a review of the transaction has led Fitch to conclude that the current ratings of the notes are representative of the current credit risk to investors. The ratings address the timely payment of interest and the ultimate return of principal, but do not address the payment of additional interest to the notes. 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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