KEY RATING DRIVERS
The affirmations are based on the stable performance of the underlying portfolio since Fitch's last review in
All classes of notes are able to perform at or above their current ratings under the default timing and interest rate stresses in the cash flow model. The affirmations reflect the notes' ability to perform at their current rating levels, with robust cushion available to withstand future deterioration in the underlying portfolio. Fitch does not expect the ratings to experience ratings volatility in the near term, supporting the Stable Outlooks on the notes.
The ratings of the notes may be sensitive to the following: asset defaults, portfolio migration, including assets being downgraded to 'CCC', portions of the portfolio being placed on Rating Watch Negative, overcollateralization (OC) or interest coverage (IC) test breaches, or breach of concentration limitations or portfolio quality covenants. However, Fitch's stressed analysis shows the notes performing at their current rating levels so long as the portfolio concentrations are within permitted limitations.
This review was conducted under the framework described in the report 'Global Rating Criteria for Corporate CDOs' using the Portfolio Credit Model (PCM) for projecting future default and recovery levels for the underlying portfolio. These default and recovery levels were then utilized in Fitch's cash flow model under various default timing and interest rate stress scenarios'. Fitch's modeling results for the class A-2, B, C and D notes indicated higher passing ratings when analyzing with the current portfolio's characteristics. However, analysis with the portfolio covenants stressed to certain permitted limitations indicated that an upgrade was not warranted for these notes.
ACAS CLO 2007-1 is a cash flow collateralized loan obligation (CLO) that closed
Fitch has affirmed the following ratings:
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings was sourced from periodic trustee reports and the public domain.
--'Global Structured Finance Rating Criteria' (
--'Global Rating Criteria for Corporate CDOs' (
--'Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds' (
--'Counterparty Criteria for Structured Finance and Covered Bonds' (
Global Structured Finance Rating Criteria
Global Rating Criteria for Corporate CDOs
Criteria for Interest Rate Stresses in Structured Finance Transactions and Covered Bonds
Counterparty Criteria for Structured Finance and Covered Bonds
Primary Surveillance Analyst
Source: Fitch Ratings
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