Fitch Ratings reviewed documents relating to amendments being pursued on the structured finance (SF) transactions listed below with derivative counterparty exposure to Bank of America or Merrill Lynch and related entities:
Bayview Financial Mortgage Pass-Through Trust 2007-A
Baview Commercial Asset Trust 2007-1
Bayview Commercial Asset Trust 2006-3
In the transaction listed above, the swap counterparty will implement a credit support annex in order to be in a position to collateralise its obligations under derivative agreements with respect to the transactions. In view of the swap counterparty's current rating, Fitch's counterparty criteria does not expect collateral be posted, therefore, Fitch's current ratings will not be affected by the implementation of the credit support annex.
According to its criteria, Fitch expects that remedial action (including the posting of collateral) to be taken in the event the swap counterparty (or guarantor) is downgraded below 'A' or 'F1' by Fitch. The provisions of the credit support annex are generally consistent with Fitch's criteria; however, Fitch notes that the rating triggers are defined in the existing swap schedules which have not been reviewed as part of this exercise. The materiality of any discrepancies between Fitch's criteria and the documented rating triggers will be reviewed in the event of a Fitch counterparty downgrade.
Additionally, amendments to the underlying derivative agreement were made to accommodate for the credit support annex. Fitch has reviewed the draft amendment and concludes that such amendment, in and of itself, will not negatively affect the ratings of the transaction.
Additional information is available at 'www.fitchratings.com.'
Rodney Pelletier, New York, +1-212-908-0625
Kevin Kendra, New York, +1-212-908-0760
Sandro Scenga, New York, +1-212-908-0278