Fitch Affirms Malibu Loan Fund, LLC

• Press Release
• Source: Fitch Ratings
• On 3:14 pm EST, Friday November 6, 2009

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has affirmed the $110,800,000 class B notes issued by Malibu Loan Fund, LLC at 'CCC'.

The affirmation reflects Fitch's analysis of both the market value (MV) and the credit risk of the portfolio. The market value risk was analyzed by comparing the distance to trigger metric of 7% to the advance rate ranges published in Fitch's Markey Value Structures criteria and further supplemented in 'Fitch Update: Application of Revised Market Value Structure Criteria to TRR CLOs', published in May 2008. Based on Fitch's classification of the assets, the market value trigger is in line with Fitch's 'CCC' advance rates for this structure.

The reference portfolio is comprised of a diverse pool of senior secured loans. Therefore, the credit risk of the portfolio was analyzed using the Portfolio Credit Model (PCM), as described in Fitch's Corporate CDO criteria (this and the other aforementioned criteria are cited at the bottom of this press release). Based on Fitch's PCM analysis, the par subordination of the notes (approximately 10%) was in line with a 'CCC' rating loss rate.

Malibu Loan Fund, LLC is a synthetic total rate of return collateralized loan obligation (CLO) with a market value termination trigger. The transaction closed on Sept. 30, 2005 and is managed by Aegon USA Investment Management. The notes began to experience negative net asset value coverage in 2008, but subsequently benefited from cash infusions which were designed to increase the distance to the MV trigger.

This rating action reflects the application of Fitch's current criteria which are available at www.fitchratings.com and specifically include the following reports:

--'Fitch Update: Application of Revised Market Value Structure Criteria to TRR CLOs', dated May 15, 2008.

--'Rating Market Value Structures', dated April 18, 2008.

--'Global Rating Criteria for Corporate CDOs', dated April 30, 2008.

Additional information is available at www.fitchratings.com.

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Fitch Ratings, New York
Jenny Story, +1-212-908-0302
Taka Ushiroda, +1-212-908-0881
or
Sandro Scenga, +1-212-908-0278 (Media Relations)
sandro.scenga@fitchratings.com