A.M. Best Rates Dekania CDO II.Business Editors OLDWICK, N.J.--(BUSINESS WIRE)--April 29, 2004 A.M. Best Co. has assigned debt ratings to a multi-tranche collateralized debt obligation Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDO (Collaborative Data Objects) A programming interface from Microsoft for accessing MAPI-based e-mail, calendaring and scheduling servers. Originally called "OLE Messaging" and "Active Messaging," CDO wraps the Enhanced MAPI library into a COM object that provides the ) co-issued by two bankruptcy remote A company within a corporate group is said to be bankruptcy remote when the solvency of that company does not affect any other company in the group, particularly any holding company or subsidiary company of the bankruptcy remote vehicle. special purpose vehicles, Dekania CDO II, Ltd. and Dekania CDO II, Inc. (the Issuers). The initial purchaser for the transaction was Merrill Lynch Merrill Lynch & Co., Inc. (NYSE: MER TYO: 8675 ), through its subsidiaries and affiliates, provides capital markets services, investment banking and advisory services, wealth management, asset management, insurance, banking and related products and services on a global basis. . The collateral manager is Dekania Capital Management, LLC (Logical Link Control) See "LANs" under data link protocol. LLC - Logical Link Control . The rated notes, totaling $373.2 million in principal, are collateralized with trust preferred securities, surplus notes, senior notes and secondary market securities, most of which are issued by small to medium-sized U.S. insurance entities. The capital structure includes $41.5 million of unrated preferred shares Preferred shares Preferred shares give investors a fixed dividend from the company's earnings and entitle them to be paid before common shareholders. See: Preferred stock. , which represent the equity in the transaction. A.M. Best has assigned ratings of "aaa" to the Class A-1 and Class A-2 Senior Notes, "aa" to the Class B Notes, "a-" to the Class C-1 and Class C-2 Notes, and "bbb" to the Class D-1 and D-2 Mezzanine mez·za·nine n. 1. A partial story between two main stories of a building. 2. The lowest balcony in a theater or the first few rows of that balcony. Notes. All the notes have a stated maturity Stated maturity For the CMO tranche, the date the last payment would occur at zero CPR. date of August 23, 2034. Notwithstanding, the Issuers can redeem the notes prior to the maturity date through several mechanisms, including a successful auction of the capital securities that commences on the 10th anniversary of the transaction.
CDO Tranches
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Notes Amount($mm) Rating Coupon
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Class A-1 Senior Notes 200.0 aaa 3M LIBOR + 65 bps
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Class A-2 Senior Notes 42.0 aaa 3M LIBOR + 100 bps
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Class B Notes 60.0 aa 3M LIBOR + 135 bps
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Class C-1 Notes 21.2 a- 3M LIBOR + 190 bps
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Class C-2 Notes 30.0 a- 5 yr fixed 5.118% /
3M LIBOR + 190 bps
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Class D-1 Mezzanine Notes 15.0 bbb 3M LIBOR + 340 bps
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Class D-2 Mezzanine Notes 5.0 bbb 10 yr fixed 7.61% /
3M LIBOR + 340 bps
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Total Rated Notes 373.2 -
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Preferred Shares 41.5 N.R.
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TOTAL RATED &
UNRATED NOTES 414.7 -
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Major considerations in rating the notes included assessments of their default risks, which are derived by applying A.M. Best's proprietary insurance insolvency probabilities, payment deferral deferral - Waiting for quiet on the Ethernet. probabilities and recovery statistics to the collateral; collateral diversity; structural protection through the "waterfall waterfall, a sudden unsupported drop in a stream. It is formed when the stream course is interrupted as when a stream passes over a layer of harder rock—often igneous—to an area of softer and therefore more easily eroded rock; the edge of a cliff or " and other mechanisms; counterparty Counterparty The other participant, including intermediaries, in a swap or contract. swaps and interest-rate cap protection; legal documentation; and ongoing monitoring of the transaction. A.M. Best has reviewed all documentation and relies on certain legal and tax opinions concerning the Issuers and aspects of the transaction. A.M. Best will monitor the transaction until the notes mature or are otherwise retired. Regular qualitative and quantitative reports detailing the performance of the underlying collateral will be analyzed, supporting ratings will be monitored and regular contact will be maintained with the trustee to ensure that material changes are communicated and assessed. For a list of A.M. Best's debt ratings, please visit http://www.ambest.com/debtratings/ A.M. Best Co., established in 1899, is the world's oldest and most authoritative insurance rating and information source. For more information, visit A.M. Best's Web site at www.ambest.com. |
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