Derivative Fitch Affirms Preferred Term Securities XVII, Ltd./Inc.
Derivative Fitch affirms five classes of notes issued by Preferred Term Securities XVII, Ltd./Inc. (PreTSL XVII). These affirmations are the result of Fitch's review process and are effective immediately:
--$270,800,000 class A-1 senior notes at 'AAA';
--$62,000,000 class A-2 senior notes at 'AAA';
--$58,400,000 class B mezzanine notes at 'AA';
--$65,600,000 class C mezzanine notes at 'A';
--$32,600,000 class D mezzanine notes at 'BBB'.
PreTSL XVII is a collateralized debt obligation (CDO), which closed March 17, 2005. PreTSL XVII is a static pool composed of bank, thrift and insurance trust preferred securities. Included in this review, Derivative Fitch performed an analysis of the collateral included in the portfolio.
Since closing, the collateral has continued to perform with slight deterioration in the weighted average bank score, as determined by the Fitch Bank Scoring Model, and stable credit quality of the insurance securities. To date, there have been no defaulted securities and no obligors that have deferred interest payments at any time.
According to the August 2006 trustee report, the senior, B, C, and D overcollateralization (OC) ratios remained relatively stable. The senior, B, C, and D OC ratios are currently 151.3%, 128.7%, 110.2% and 102.9% respectively, and all are in compliance with their performance test triggers of 128.0%, 115%, 107%, and 100.2%, respectively.
The ratings of the class A-1 and A-2 notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class B, C and D notes address the likelihood that investors will receive ultimate interest and deferred interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date.
As a result of this analysis, Fitch has determined that the current ratings assigned to the class A-1, A-2, B, C, and D 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 U.S. Bank and Insurance Trust Preferred CDOs' dated February 2005 also available on the Derivative Fitch web site.
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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