A.M. Best Rates InCapS Funding II - An Insurance CDO.Business Editors OLDWICK, N.J.--(BUSINESS WIRE)--Dec. 17, 2003 A.M. Best Co. has assigned as·sign tr.v. as·signed, as·sign·ing, as·signs 1. To set apart for a particular purpose; designate: assigned a day for the inspection. 2. 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, InCapS Funding II, Ltd. and InCapS Funding II Corp. (the "Issuers"). The placement agents for the transaction are Sandler O'Neill & Partners, L.P. and Citigroup Global Markets Inc. The notes rated by A.M. Best total $169.00 million in principal and are collateralized by trust preferred securities, surplus notes and secondary market securities (collectively, the "Capital Securities"), issued primarily by small- to medium-sized U.S. insurance entities. A.M. Best has assigned ratings of "aaa" to the Class A-1 Floating Rate Senior Notes and "aaa" to the Class A-2 Floating Rate Senior Notes. All the notes have a stated maturity Stated maturity For the CMO tranche, the date the last payment would occur at zero CPR. date of January 15, 2034. Notwithstanding, the notes can be redeemed re·deem tr.v. re·deemed, re·deem·ing, re·deems 1. To recover ownership of by paying a specified sum. 2. To pay off (a promissory note, for example). 3. prior to the maturity date through several mechanisms, including a successful auction of the Capital Securities that commences on the 10th anniversary.
CDO Tranches
Notes Amount($mm) Rating Coupon
----- ----------- ------ ------
Class A-1 Floating Rate Senior
Notes 118.50 aaa 3M LIBOR + 95 bps
Class A-2 Floating Rate Senior
Notes 50.50 aaa 3M LIBOR + 120 bps
Total Rated By A.M. Best 169.00 aaa
Class B-1 Floating Rate Senior
Subordinate Notes 47.50 Not 3M LIBOR + 190 bps
Rated
by-
A.M.
Best
Class B-2 Fixed/Floating Rate
Senior Subordinate Notes* 47.00 Not
Rated 5.50% / 3M LIBOR
by - + 190 bps
A.M.
Best
Class C Floating Rate Junior 16.00 Not 3M LIBOR + 325 bps
Subordinate Notes Rated
by -
A.M.
Best
Subordinate Income Notes 33.60 Not N.A.
Rated
by Any
Rating
Agency
Total Unrated 144.10 - -
Total Rated & Unrated Notes 313.10 - -
* The fixed coupon is for the first five years of the transaction.
Major considerations in rating the notes included assessments of their default risks, which are derived by applying A.M. Best's proprietary insurance insolvency insolvency Condition in which liabilities exceed assets so that creditors cannot be paid. It is a financial condition that often precedes bankruptcy. In the context of equity, insolvency is the inability to pay debts as they become due; insolvency under the balance-sheet 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; the counterparty Counterparty The other participant, including intermediaries, in a swap or contract. swap and the interest-rate cap; 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 an·a·lyze tr.v. an·a·lyzed, an·a·lyz·ing, an·a·lyz·es 1. To examine methodically by separating into parts and studying their interrelations. 2. Chemistry To make a chemical analysis of. 3. , supporting ratings will be monitored and regular contact will be maintained with the trustee to ensure that material changes are communicated and assessed. 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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