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Fitch Affirms $243.7MM and Downgrades $103.5MM of NovaStar ABS CDO I, Ltd.Fitch Affirms $243.7MM and Downgrades $103.5MM of NovaStar ABS CDO I, Ltd. CHICAGO--(BUSINESS WIRE)--Fitch affirms one class and downgrades four classes of notes issued by NovaStar ABS CDO I, Ltd and NovaStar ABS CDO I, Inc co-issuer (collectively NovaStar I). The following rating actions are effective immediately: --$243,700,000 class A-1 notes affirmed at 'AAA'; --$34,900,000 class A-2 notes downgraded to 'AA' from 'AAA' and place on Rating Watch Negative; --$28,500,000 class B notes downgraded to 'A+' from 'AA' and place on Rating Watch Negative; --$24,400,000 class C notes downgraded to 'BBB' from 'A' and place on Rating Watch Negative; --$15,700,000 class D notes downgraded to 'BB' from 'BBB' and remain on Negative Rating Watch. NovaStar I is a collateralized debt obligation (CDO) that closed Feb. 8, 2007 and is managed by NovaStar Asset Management Company. The collateral supporting the CDO is composed of a portfolio of nearly 100% subprime residential mortgage-backed securities (RMBS), issued between 2005 and 2007. The downgrade of the class A-2, B, C and D notes is the result of continued deterioration of portfolio credit quality. The WARF has increased to 7.38, as of the most recent trustee report dated Aug. 2, 2007, from 6.20 when the transaction went effective on May 9th, 2007. Currently, 17.6% of the portfolio is on Rating Watch Negative and in Fitch's view 35.3% of the portfolio is below investment grade quality, including approximately 7.7% 'CCC' or lower credit quality. It is our view that based on the collateral composition of the portfolio and the percentage of bonds on rating watch negative the downgrades to the notes reflect the risk inherent in the underlying portfolio. The class A-2, B and C notes have been placed on Rating Watch Negative and the class D notes remain on Rating Watch Negative due to exposure to 2005, 2006 and 2007 RMBS subprime collateral, currently experiencing high default and delinquency rates, of which a substantial percentage have not been reviewed by any agency. Fitch expects to resolve the Rating Watch status on these notes as the expected performance of these bonds is more apparent. The ratings on the class A-1, A-2 and B notes address the timely payment of interest and ultimate receipt of principal; the ratings on the class B-1, B-2 and C notes address the ultimate payment of interest and principal. All classes of notes have a legal final maturity of Feb 2047. http://home.businesswire.com/portal/site/google/index.jsp?ndmViewId=news_view&newsId=20070821006231&newsLang=en |
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Msg # | Subject | Author | Recs | Date Posted |
77901 | Re: Fitch Affirms $243.7MM and Downgrades $103.5MM of NovaStar ABS CDO I, Ltd. | objectiveguy111 | 0 | 8/22/2007 10:47:11 AM |