Derivative Fitch affirms six classes of notes issued by Preferred Term Securities XIV, Ltd. (PreTSL XIV). These affirmations are the result of Fitch's review process. The following rating actions are effective immediately:
--$257,800,000 Class A-1 Notes affirm at 'AAA';
--$62,000,000 Class A-2 Notes affirm at 'AAA';
--$117,000,000 Class B1 Notes affirm at 'A';
--$10,800,000 Class B2 Notes affirm at 'A';
--$13,000,000 Class B3 Notes affirm at 'A';
--$4,000,000 Class C Notes affirm at 'BBB+'.
PreTSL XIV is a collateralized debt obligation (CDO), which closed June 17, 2004. PreTSL XIV is a static pool composed of bank trust preferred securities and subordinated debt. Included in this review, Fitch Ratings performed an analysis of the collateral included in the portfolio.
Since closing, the collateral has continued to perform, with a slight deterioration in weighted average bank score as determined by the Fitch Bank Scoring Model. To date, there have been no obligors that have deferred interest payments at any time. The class A and class B overcollateralization (OC) ratios remain relatively unchanged, and continue to pass their performance test triggers of 128.0% and 103.0% with ratios of 150.2% and 104.3% respectively.
As a result of this analysis, Fitch has determined that the current ratings assigned to the senior and mezzanine 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 Derivative Fitch web site at (www.derivativefitch.com). For more information on Fitch's approach to rating CDOs of trust preferred securities, see the special report, 'Rating Criteria for US Bank and Insurance Trust Preferred CDOs' dated Feb. 2, 2005 and available on Fitch's web site.
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.