Fitch Ratings affirms six classes of notes issued by
Streeterville ABS CDO, Ltd., (Streeterville). These affirmations are
the result of Fitch's review process and are effective immediately:
-- $800,575,410 class A-1 notes at 'AAA';
-- $50,000,000 class A-2 notes at 'AAA';
-- $30,000,000 class B-1 notes at 'AA';
-- $37,000,000 class B-2 notes at 'AA';
-- $6,000,000 class C-1 notes at 'A-';
-- $10,000,000 class C-2 notes at 'A-'.
Streeterville is a collateralized debt obligation (CDO) that closed Oct. 1, 2004 and is managed by Vanderbilt Capital Advisors, LLC (Vanderbilt). Streeterville has a substitution period that affords Vanderbilt limited trading ability until November 2007. The portfolio is composed of residential mortgage-backed securities (82.6%), CDOs (16%), commercial mortgage-backed securities (1.2%) and asset-backed securities (0.2%).
These affirmations are the result of stable collateral performance. Between the effective date trustee report dated Feb. 3, 2005 and the most recent report dated March 31, 2006, the weighted average rating factor has remained stable at 0.7 ('AA+/AA'), passing its maximum threshold of 0.85 ('AA+/AA'). During this same period, the class A/B overcollateralization test has increased marginally to 101.9% from 101.8%, relative to a trigger of 100.9%, and the class A/B interest coverage test has decreased to 104.3% from 113.6%, relative to a trigger of 100%. There have been no defaulted or written down securities in the portfolio to date.
The ratings of the class A-1, A-2, B-1 and B-2 notes address the likelihood that investors will receive full and timely payments of interest and the stated balance of principal by the legal final maturity date. The ratings of the class C-1 and C-2 notes address the likelihood that investors will receive ultimate and compensating interest payments and the 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 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.
-- $800,575,410 class A-1 notes at 'AAA';
-- $50,000,000 class A-2 notes at 'AAA';
-- $30,000,000 class B-1 notes at 'AA';
-- $37,000,000 class B-2 notes at 'AA';
-- $6,000,000 class C-1 notes at 'A-';
-- $10,000,000 class C-2 notes at 'A-'.
Streeterville is a collateralized debt obligation (CDO) that closed Oct. 1, 2004 and is managed by Vanderbilt Capital Advisors, LLC (Vanderbilt). Streeterville has a substitution period that affords Vanderbilt limited trading ability until November 2007. The portfolio is composed of residential mortgage-backed securities (82.6%), CDOs (16%), commercial mortgage-backed securities (1.2%) and asset-backed securities (0.2%).
These affirmations are the result of stable collateral performance. Between the effective date trustee report dated Feb. 3, 2005 and the most recent report dated March 31, 2006, the weighted average rating factor has remained stable at 0.7 ('AA+/AA'), passing its maximum threshold of 0.85 ('AA+/AA'). During this same period, the class A/B overcollateralization test has increased marginally to 101.9% from 101.8%, relative to a trigger of 100.9%, and the class A/B interest coverage test has decreased to 104.3% from 113.6%, relative to a trigger of 100%. There have been no defaulted or written down securities in the portfolio to date.
The ratings of the class A-1, A-2, B-1 and B-2 notes address the likelihood that investors will receive full and timely payments of interest and the stated balance of principal by the legal final maturity date. The ratings of the class C-1 and C-2 notes address the likelihood that investors will receive ultimate and compensating interest payments and the 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 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.
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