Fitch Rates Vermeer Funding II, Ltd. 'AAA/AAA/AAA/AA/BBB/BB-'

Business Wire, Dec 14, 2004

NEW YORK -- Fitch Ratings assigns the following ratings to Vermeer Funding II, Ltd. and Vermeer Funding II, Inc. (Vermeer II):

--$210,000,000 class A-1 senior secured floating rate notes due 2039 'AAA';

--$3,000,000 class A-2A senior secured floating rate notes due 2039 'AAA';

--$25,250,000 class A-2B senior secured floating rate notes due 2039 'AAA';

--$35,290,000 class B senior secured floating rate notes due 2039 'AA';

--$12,014,000 class C-1 mezzanine secured floating rate notes due 2039 'BBB';

--$2,686,000 class C-2 mezzanine secured fixed rate notes due 2039 'BBB';

--$12,625,000 preference shares due 2039 'BB-'.

Vermeer II is an arbitrage cash flow collateralized debt obligation (CDO) managed by Rabobank International (rated 'CAM2' by Fitch).

The ratings of the class A and class B 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 C notes address the likelihood that investors will receive ultimate interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The rating of the preference shares addresses the likelihood that investors will receive the ultimate return of the aggregate outstanding amount of principal only.

The ratings are based upon the credit quality of the underlying assets and the credit enhancement provided to the capital structure through subordination and excess spread, as well as the experience and capabilities of the collateral manager. Excess spread exceeding a 14.75% dividend yield on the preference shares will be used to redeem the class C notes.

Proceeds from the issuance will be invested in a portfolio of residential mortgage-backed securities (RMBS), CDOs, commercial mortgage-backed securities (CMBS), and asset-backed securities (ABS). At the end of a 120-day ramp-up period, the collateral will have a maximum Fitch weighted average rating factor (WARF) of 5.75 ('BBB'/'BBB-').

Vermeer Funding II will have a three-year substitution period during which principal proceeds will be used to pay down notes and sale proceeds may be reinvested to purchase substitute collateral or amortize notes. Rabobank International has the ability to sell 15% of the collateral per year on a discretionary basis during the substitution period and may sell defaulted, credit risk, and credit improved securities at any time.

Vermeer Funding II, Ltd. is a Cayman Islands exempted company. Vermeer Funding II, Inc. is a Delaware corporation.

For more information, please refer to the presale report titled 'Vermeer Funding II, Ltd.', dated Nov. 2, 2004 available on the web site at www.fitchratings.com.