Fitch Ratings has affirmed the following classes of mezzanine floating-rate notes from Triaxx Funding High Grade I, Ltd:
--$80,000,000 class B-1 affirmed at 'CCC' and removed from Rating Watch Negative;
--$41,000,000 class B-2 affirmed at 'CCC' and removed from Rating Watch Negative;
--$149,375,000 class C deferrable interest notes affirmed at 'C';
--$8,000,000 class D deferrable interest notes affirmed at 'C'.
The ratings of the classes B-1 and B-2 notes reflect the likelihood that investors will receive periodic interest payments through the redemption date as well as their respective stated principal balances. The ratings of the classes C and D notes only reflect the likelihood that investors will ultimately receive their interest and principal balances by the legal final maturity date.
Triaxx Funding High Grade I Ltd. invests in 'AAA' rated residential mortgage backed securities (RMBS) assets using proceeds raised by issuing notes and equity as well as using repo funding. The credit quality of the underlying assets has remained stable but the market prices have continued to drop. The ratings reflect the continued distress in asset pricing, the short-term nature of the repo financing, and delevering of the program that has led to further realization of losses. The removal from negative rating watch reflects a reduction in the likelihood of an imminent liquidation of the entire portfolio.
For earlier ratings actions see the press releases below, which are available on the Fitch Ratings web site at www.fitchratings.com.
--'Fitch Downgrades 4 Classes of Triaxx Funding High Grade I, Ltd.' (Feb. 22, 2008);
--'Fitch Downgrades 2 Classes of Triaxx Funding High Grade I, Ltd.' (Nov. 29, 2007);
--'Fitch Downgrades 4 Classes of Triaxx Funding High Grade I, Ltd.' (Nov. 6, 2007);
--'Fitch Places 1 Class of Triaxx Funding High Grade I Ltd. On Rating Watch Negative' (Nov. 2, 2007);
--'Fitch Downgrades 3 Classes of Triaxx Funding High Grade I Ltd.' (Oct. 4, 2007);
--'Fitch Places 2 Classes from Triaxx Funding High Grade I Ltd. on Rating Watch Negative' (Sept. 18, 2007).
Additional deal information and historical data are available on the Fitch 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.