Fitch Ratings affirms three classes of notes issued by
Blue Heron Funding IX, Ltd., (Blue Heron IX). The following rating
actions are effective immediately:
-- $910,000,000 class A notes at 'F1+';
-- $85,000,000 class B notes at 'A-';
-- $5,000,000 certificates at 'AAA'.
Blue Heron IX is a collateralized debt obligation (CDO) that closed Feb. 25, 2004 and is managed by Westdeutsche Landesbank Girozentrale (WestLB), New York Branch. Blue Heron IX has a revolving portfolio composed of residential mortgage-backed securities (57.8%), commercial mortgage-backed securities (29.4%), CDOs (10.7%) and asset-backed securities (2.1%). Blue Heron IX will exit its reinvestment period in February 2009.
These affirmations are the result of stable collateral performance. Since the last rating action on Aug. 3, 2005, the collateral has continued to perform as expected. Between August 2005 and the most recent trustee reporting on Feb. 17, 2006, the weighted average rating factor has deteriorated slightly to 0.46 from 0.41, both in the 'AAA'/'AA+' range, which is still below its maximum threshold of 0.5. During this same period, overcollateralization (OC) ratios have remained stable and interest coverage (IC) ratio has decreased. The class A OC ratio has decreased marginally to 108.1% from 108.3%, relative to a trigger of 104%. The class A IC ratio has decreased to 105.1% from 127.9%, relative to a trigger of 105%. There have not been any defaulted or distressed assets in the portfolio to date.
The rating of the class A 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 legal final maturity date. The rating of the class B notes address 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. The rating of the certificates is based on the principal protection provided by treasury strips and addresses the likelihood that investors will receive their 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 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 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.
-- $910,000,000 class A notes at 'F1+';
-- $85,000,000 class B notes at 'A-';
-- $5,000,000 certificates at 'AAA'.
Blue Heron IX is a collateralized debt obligation (CDO) that closed Feb. 25, 2004 and is managed by Westdeutsche Landesbank Girozentrale (WestLB), New York Branch. Blue Heron IX has a revolving portfolio composed of residential mortgage-backed securities (57.8%), commercial mortgage-backed securities (29.4%), CDOs (10.7%) and asset-backed securities (2.1%). Blue Heron IX will exit its reinvestment period in February 2009.
These affirmations are the result of stable collateral performance. Since the last rating action on Aug. 3, 2005, the collateral has continued to perform as expected. Between August 2005 and the most recent trustee reporting on Feb. 17, 2006, the weighted average rating factor has deteriorated slightly to 0.46 from 0.41, both in the 'AAA'/'AA+' range, which is still below its maximum threshold of 0.5. During this same period, overcollateralization (OC) ratios have remained stable and interest coverage (IC) ratio has decreased. The class A OC ratio has decreased marginally to 108.1% from 108.3%, relative to a trigger of 104%. The class A IC ratio has decreased to 105.1% from 127.9%, relative to a trigger of 105%. There have not been any defaulted or distressed assets in the portfolio to date.
The rating of the class A 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 legal final maturity date. The rating of the class B notes address 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. The rating of the certificates is based on the principal protection provided by treasury strips and addresses the likelihood that investors will receive their 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 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 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.