Fitch Ratings affirms six classes of notes issued by
Straits Global ABS CDO I, Ltd/Inc. (Straits CDO I). These affirmations
are the result of Fitch's review process and are effective
immediately:
-- $237,360,773 class A-1 at 'AAA';
-- $72,000,000 class A-2 at 'AAA';
-- $41,000,000 class B-1 at 'AA';
-- $7,000,000 class B-2 at 'AA';
-- $11,776,573 class C-1 at 'BBB';
-- $3,000,000 class C-2 at 'BBB'.
Straits CDO I is a collateralized debt obligation managed by Declaration Management & Research LLC (Declaration) as collateral manager and Straits Lion Asset Management Limited (Straits Lion) as collateral co-manager, which closed on Oct. 28, 2004. Declaration is rated 'CAM2' by Fitch for managing structured finance CDOs. Straits CDO I is in the substitution period and is composed of residential mortgage-backed securities, collateralized debt obligations, commercial mortgage-backed securities, and asset-backed securities.
Since close, the collateral has continued to perform. The weighted average rating factor has remained in the 'BBB' range. To date, prepayments have contributed to paydowns in approximately $10.6 million of the class A-1 notes, as well as approximately $1.2 million of the class C-1 notes. The class A/B overcollateralization (OC) ratio has experienced a slight increase from 108.7 as of the Jan. 24, 2005 trustee report to 108.9 as of the most recent trustee report dated Feb. 2, 2006, above its performance trigger of 103.7. The class C OC ratio has increased from 104.2 to 104.5 within the same time period, and is also passing its performance trigger of 102.0. As of the most recent trustee report available, Straits had no distressed or defaulted assets in the portfolio.
The ratings on the class A-1, A-2, B-1, and B-2 notes address the timely payment of interest and ultimate payment of principal as outlined in the governing documents. The ratings on the class C-1 and C-2 notes address the ultimate payment of interest and principal as outlined in the governing documents.
As a result of this analysis, Fitch has determined that the original ratings assigned to the rated notes still reflect the current risk to noteholders.
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, also available at www.fitchratings.com.
Fitch's rating definitions and the terms of use 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 are also available from the 'Code of Conduct' section of this site.
-- $237,360,773 class A-1 at 'AAA';
-- $72,000,000 class A-2 at 'AAA';
-- $41,000,000 class B-1 at 'AA';
-- $7,000,000 class B-2 at 'AA';
-- $11,776,573 class C-1 at 'BBB';
-- $3,000,000 class C-2 at 'BBB'.
Straits CDO I is a collateralized debt obligation managed by Declaration Management & Research LLC (Declaration) as collateral manager and Straits Lion Asset Management Limited (Straits Lion) as collateral co-manager, which closed on Oct. 28, 2004. Declaration is rated 'CAM2' by Fitch for managing structured finance CDOs. Straits CDO I is in the substitution period and is composed of residential mortgage-backed securities, collateralized debt obligations, commercial mortgage-backed securities, and asset-backed securities.
Since close, the collateral has continued to perform. The weighted average rating factor has remained in the 'BBB' range. To date, prepayments have contributed to paydowns in approximately $10.6 million of the class A-1 notes, as well as approximately $1.2 million of the class C-1 notes. The class A/B overcollateralization (OC) ratio has experienced a slight increase from 108.7 as of the Jan. 24, 2005 trustee report to 108.9 as of the most recent trustee report dated Feb. 2, 2006, above its performance trigger of 103.7. The class C OC ratio has increased from 104.2 to 104.5 within the same time period, and is also passing its performance trigger of 102.0. As of the most recent trustee report available, Straits had no distressed or defaulted assets in the portfolio.
The ratings on the class A-1, A-2, B-1, and B-2 notes address the timely payment of interest and ultimate payment of principal as outlined in the governing documents. The ratings on the class C-1 and C-2 notes address the ultimate payment of interest and principal as outlined in the governing documents.
As a result of this analysis, Fitch has determined that the original ratings assigned to the rated notes still reflect the current risk to noteholders.
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, also available at www.fitchratings.com.
Fitch's rating definitions and the terms of use 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 are also available from the 'Code of Conduct' section of this site.