Correct: Fitch Affirms $6.8B & Downgrades $1.2B On 13 TruPS CDOs.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- (This amends AMENDS. A satisfaction, given by a wrong doer to the party injured for a wrong committed. 1 Lilly's Reg. 81. 2. By statute 24 Geo. II. c. 44, in England, and by similar statutes in some of the United States, justices of the peace, upon being notified of an a press release published on Sept. 18 and amends the amount of tranches Tranches A piece, portion or slice of a deal or structured financing. This portion is one of several related securities that are offered at the same time but have different risks, rewards and/or maturities. "Tranche" is the French word for "slice". downgraded by Fitch fitch: see polecat. to 45, not 46.) Fitch has downgraded 45 tranches of 11 collateralized debt obligations Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDOs), representing approximately ap·prox·i·mate adj. 1. Almost exact or correct: the approximate time of the accident. 2. $1.2 billion of rated notes and preference shares, due to exposure to trust preferred securities (TruPS) and senior and subordinated debt Subordinated Debt A loan (or security) that ranks below other loans (or securities) with regard to claims on assets or earnings. Also known as "junior security" or "subordinated loan". issued by real estate investment trusts (REITs), homebuilders and financial institutions specializing in mortgage lending. Fitch has also affirmed af·firm v. af·firmed, af·firm·ing, af·firms v.tr. 1. To declare positively or firmly; maintain to be true. 2. To support or uphold the validity of; confirm. v.intr. $6.8 billion of rated notes including more senior tranches of the aforementioned a·fore·men·tioned adj. Mentioned previously. n. The one or ones mentioned previously. aforementioned Adjective mentioned before Adj. 1. 11 CDOs, as well as two additional CDOs in their entirety The whole, in contradistinction to a moiety or part only. When land is conveyed to Husband and Wife, they do not take by moieties, but both are seised of the entirety. . Fitch's rating actions follow a formal sector review of 13 CDOs characterized char·ac·ter·ize tr.v. character·ized, character·iz·ing, character·iz·es 1. To describe the qualities or peculiarities of: characterized the warden as ruthless. 2. as being backed primarily by REIT REIT See: Real Estate Investment Trust REIT See real estate investment trust (REIT). TruPS (REIT TruPS CDOs) or REIT, bank and insurance TruPS (hybrid hybrid (hī`brĭd), term applied by plant and animal breeders to the offspring of a cross between two different subspecies or species, and by geneticists to the offspring of parents differing in any genetic characteristic (see genetics). TruPS CDOs). In aggregate, negative rating actions affect notes initially rated between 'A' and 'BB', and represent approximately 7.9% of Fitch rated REIT TruPS CDOs and hybrid TruPS CDOs. Fitch has also removed six of the REIT TruPS CDOs included in this review from Rating Watch Negative, where they were originally placed on Aug. 2 and Aug. 14. A complete list of rating actions is at the conclusion of this rating action commentary. Fitch's rating actions are a result of the rapid deterioration de·te·ri·o·ra·tion n. The process or condition of becoming worse. in the credit and liquidity profiles of a number of REITs, homebuilders and financial institutions underlying these CDOs. In four cases, underlying issuers of trust preferred securities, or operating subsidiaries An operating subsidiary is a business term frequently used within the United States railroad industry. In the case of a railroad, it refers to a company that is a subsidiary but operates with its own identity and rolling stock. of issuers of trust preferred securities, filed for bankruptcy bankruptcy, in law, settlement of the liabilities of a person or organization wholly or partially unable to meet financial obligations. The purposes are to distribute, through a court-appointed receiver, the bankrupt's assets equitably among creditors and, in most protection. These include New Century Financial Corporation, American Home For the American mortgage lender, see . The American Home is a center of intercultural exchange located in Vladimir, Russia. The home is designed to model a typical American suburban home and its main focus is the ESL school that provides lessons for Russian students. Mortgage Investment Corp., Homebanc Corp. and First Magnus Magnus may refer to: People Kings of Norway
aortic notch dicrotic n. cardiac notch 1. downgrades as well as the assignment of Rating Watch Negative or Rating Outlook Negative. The combination of asset defaults and credit deterioration caused eight of the 13 CDOs to breach overcollateralization Overcollateralization The posting of more collateral than is needed to obtain financing. Notes: This is often done in order to get a better debt rating from a credit rating agency. See also: Collateral, Overcapitalization (OC) triggers, at least on a temporary basis. The breach of such triggers serves to trap excess spread otherwise available to 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 equity holders and redirect re·di·rect tr.v. re·di·rect·ed, re·di·rect·ing, re·di·rects To change the direction or course of. n. A redirect examination. re such cash flows to pay down the rated liabilities and reduce overall leverage in the transaction. While Fitch views such structural mechanisms as an important protection available to the senior classes of rated noteholders, it also speaks to the magnitude magnitude, in astronomy, measure of the brightness of a star or other celestial object. The stars cataloged by Ptolemy (2d cent. A.D.), all visible with the unaided eye, were ranked on a brightness scale such that the brightest stars were of 1st magnitude and the of the credit stress which these CDOs are currently experiencing. In addition to the 13 CDOs affected by these rating actions, three REIT TruPS CDOs - Kodiak CDO II, Ltd (Kodiak II), Taberna A taberna (the plural form is tabernae) is a single room shop covered by a barrel vault within great indoor markets of ancient Rome. Each taberna had a window above it to let light into a wooden attic for storage and has a wide doorway. Preferred Funding VIII, Ltd. (Taberna VIII) and Taberna Preferred Funding IX, Ltd. (Taberna IX) - are still in their ramp-up periods, have experienced negative credit migration and, in the cases of Kodiak II and Taberna VIII, have exposure to issuers which have filed for bankruptcy protection, or issuers whose operating subsidiaries have filed for bankruptcy protection. Positively, the short amount of time since these transactions closed has served to limit the magnitude of the negative credit migration, relative to other, older-vintage transactions. In addition, given that the transactions are still in their ramp-up periods, the asset managers have additional flexibility to add and/or and/or conj. Used to indicate that either or both of the items connected by it are involved. Usage Note: And/or is widely used in legal and business writing. remove collateral collateral (kəlăt`ərəl), something of value given or pledged as security for payment of a loan. Collateral consists usually of financial instruments, such as stocks, bonds, and negotiable paper, rather than physical goods, although in an effort to stabilize stabilize See peg. the credit quality of the overall portfolio. Fitch continues to engage in frequent dialogue with the asset managers of these transactions and expects to formalize its view of the credit quality of these transactions once the asset managers have completed assembling the portfolios in their entirety. Should any of these transactions fail to successfully complete their ramp-up periods in a manner consistent with the parameters outlined in the respective transaction indentures, this could potentially lead to an event of default and an early wind-down of the transaction. Kodiak II, Taberna VIII and Taberna IX have target collateral par amounts of $750 million, $673 million and $750 million, respectively. The following commentary summarizes the key factors, on a CDO-specific basis, which support Fitch's rating actions on the 13 affected CDOs. In connection with this review, Fitch's REIT, homebuilder and financial institutions groups provided updated shadow ratings on the underlying issuers, in order to reflect their negative, yet evolving, credit profiles. In addition, Fitch's CDO group cash flow modeled each transaction, in order to determine the impact of downgrades and defaults in the context of transaction-specific cash flow 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 mechanics mechanics, branch of physics concerned with motion and the forces that tend to cause it; it includes study of the mechanical properties of matter, such as density, elasticity, and viscosity. and available credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing . Limited clarity Clarity is the property of being clear or transparent. Clarity can refer to one's ability to clearly visualize an object or concept, as in thought, understanding, and the "mind's eye", as well as the traditional notion of visual perception, that is, with the with respect to potential recoveries on defaulted assets added further conservatism to Fitch's analysis. For the purposes of Fitch's CDO modeling and rating analysis, and consistent with Fitch's global CDO criteria criteria (krītēr´ē  ),n. , underlying assets on Rating Watch Negative were assumed to be downgraded by one sub-category, while assets on Rating Watch Positive were assumed to be upgraded by one sub-category. Assets with either a Rating Watch Evolving or a Positive or Negative Rating Outlook were assumed to be affirmed. All references to underlying credit quality in the following commentary are based on a combination of publicly available ratings as well as Fitch shadow ratings. Attentus CDO I, Ltd/LLC (Attentus I): --$280,000,000 class A-1 affirmed at 'AAA'; --$20,000,000 class A-2 affirmed at 'AAA'; --$65,000,000 class B affirmed at 'AA'; --$10,000,000 class C-1 affirmed 'AA-'; --$35,000,000 class C-2A downgraded to 'A-' from 'A'; --$30,000,000 class C-2B downgraded to 'A-' from 'A'; --$20,000,000 class D downgraded to 'BBB-' from 'BBB'; --$16,000,000 class E downgraded to 'BB-' from 'BB'. Attentus I experienced one asset default representing approximately 3% of its portfolio. This default has not caused the failure of any OC test. Based on Fitch's public and shadow ratings, the average credit quality of Attentus I has migrated to the 'B/B-' range from the 'BB-/B+' range at close, causing a failure of the transaction's weighted average rating factor (WARF WARF Wisconsin Alumni Research Foundation WARF Wide Aperture Research Facility WARF Wartime Active Replacement Factors WARF weighted-average risk factor WARF Wartime Attrition and Replacement Factors WARF Whylie Animal Rescue Foundation ) covenant covenant (kŭv`ənənt), agreement entered into voluntarily by two or more parties to do or refrain from doing certain acts. In the Bible and in theology the covenant is the agreement or engagement of God with man as revealed in the . Approximately 8.9% of the underlying collateral is currently on Rating Watch Negative. Positively, Fitch notes that Attentus I benefits from an above average level of underlying senior secured and subordinated debt, which are expected to exhibit higher recovery rates relative to trust preferred securities. Attentus CDO II, Ltd/LLC (Attentus II): --$235,000,000 class A-1 affirmed at 'AAA'; --$60,000,000 class A-2 affirmed at 'AAA'; --$55,000,000 class A-3A affirmed at 'AAA'; --$5,000,000 class A-3B affirmed at 'AAA'; --$20,000,000 class B affirmed at 'AA'; --$32,000,000 class C affirmed at 'A'; --$29,000,000 class D downgraded to "BBB BBB A medium grade assigned to a debt obligation by a rating agency to indicate an adequate ability to pay interest and repay principal. However, adverse developments are more likely to impair this ability than would be the case for bonds rated A and above. +' from 'A-'; --$16,000,000 class E-1 downgraded to 'BBB-' from 'BBB'; --$2,000,000 class E-2 downgraded to 'BBB-' from 'BBB'; --$13,000,000 class F-1 downgraded to 'B' from 'BB'; --$5,000,000 class F-2 downgraded to 'B+' from 'BB'; --$40,000,000 subordinated Subordinated A claim ranked lower in priority than other claims. Common stock claims are always subordinated to debt. downgraded to 'CCC' from 'BB+'. Attentus II experienced one asset default representing approximately 3.8% of its portfolio. This default has caused the failure of two OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Attentus II has migrated to the 'B/B-' range from the 'BB/BB-' range at close, causing a failure of the transaction's WARF covenant. Approximately 11.5% of the underlying collateral is currently on Rating Watch Negative. Positively, Fitch notes that Attentus II benefits from an above average level of underlying senior secured and subordinated debt, which are expected to exhibit higher recovery rates relative to trust preferred securities. Attentus CDO III, Ltd. (Attentus III): --$150,000,000 class A-1A affirmed at 'AAA'; --$100,000,000 class A-1B affirmed at 'AAA'; --$100,000,000 class A-2 affirmed at 'AAA'; --$34,000,000 class B affirmed at 'AA'; --$16,000,000 class C-1 affirmed at 'A'; --$15,000,000 class C-2 affirmed at from 'A'; --$10,000,000 class D affirmed at 'A-'; --$15,000,000 class E-1 affirmed at 'BBB'; --$7,000,000 class E-2 affirmed at 'BBB'; --$24,000,000 class F downgraded to 'BB-' from 'BB'. Attentus III experienced one asset default representing approximately 3.5% of its portfolio. This default caused a temporary failure of one OC test, although discretionary trading by the asset manager subsequently cured this OC test failure. Based on Fitch's public and shadow ratings, the average credit quality of Attentus III has migrated to the 'B+/B' range from the 'BB+/BB' range at close, causing a failure of the transaction's WARF covenant. Approximately 13.4% of the underlying collateral is currently on Rating Watch Negative. Positively, Fitch notes that Attentus III benefits from an above average level of underlying senior secured and subordinated debt, which are expected to exhibit higher recovery rates relative to trust preferred securities. Kodiak CDO I, Ltd./Inc. (Kodiak I): --$303,486,153 class A-1 affirmed at 'AAA'; --$103,500,000 class A-2 affirmed at 'AAA'; --$83,000,000 class B affirmed at 'AA'; --$30,000,000 class C affirmed at 'AA'; --$13,000,000 class D-1 affirmed at 'AA-'; --$5,000,000 class D-2 affirmed at 'AA-'; --$29,000,000 class D-3 affirmed at 'AA-'; --$5,000,000 class E-1 affirmed at 'A'; --$29,000,000 class E-2 affirmed at 'A'; --$7,000,000 class F affirmed at 'BBB+'; --$50,000,000 class G affirmed at 'BB' and removed from Rating Watch Negative; --$27,000,000 class H downgraded to 'B-' from 'B+' and removed from Rating Watch Negative. Kodiak I experienced two asset defaults representing approximately 8% of its portfolio. These defaults have caused the failure of two OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Kodiak I experience negative migration, although it remains in the 'B+/B' range. The limited deterioration in the portfolio WARF is due, in part, to the fact that the first of Kodiak I's two asset defaults occurred during the transaction's ramp-up period. This allowed the asset manager to remove collateral in an effort to stabilize the credit quality of the overall portfolio. Approximately 16.6% of the underlying collateral is currently on Rating Watch Negative. Fitch previously took negative rating action on Kodiak I on Aug. 2, 2007, downgrading downgrading A reduction in the quality rating of a security issue, generally a bond. A downgrading may occur for various reasons including a period of losses, or increased debt service required by restructuring a firm's capital to include more debt and less the class G notes to 'BB' from 'BBB' and the class H notes to 'B+' from 'BB+' and placing both classes on Rating Watch Negative. TABERNA Preferred Funding I, Ltd. (Taberna I): --$344,485,175 class A-1A affirmed at 'AAA'; --$14,514,825 class A-1B affirmed at 'AAA'; --$87,000,000 class A-2 affirmed at 'AAA'; --$64,000,000 class B-1 affirmed at 'AA'; --$10,000,000 class B-2 affirmed at 'AA'; --$37,750,000 class C-1 affirmed at 'A'; --$25,750,000 class C-2 affirmed at 'A'; --$4,500,000 class C-3 affirmed at 'A'; --$13,500,000 class D affirmed at 'BBB+'; --$31,081,063 class E affirmed at 'BBB'. Taberna I experienced no asset defaults and continues to pass all OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Taberna I has migrated to the 'B-/CCC+' range from the 'BB-/B+' range at close. Approximately 10.2% of the underlying collateral is currently on Rating Watch Negative. Taberna Preferred Funding II, Ltd. (Taberna II): --$383,501,525 class A-1A affirmed at 'AAA'; --$102,107,281 class A-1B affirmed at 'AAA'; --$9,587,538 class A-1C affirmed at 'AAA'; --$86,500,000 class A-2 affirmed at 'AAA'; --$120,500,000 class B affirmed at 'AA'; --$73,750,000 class C-1 downgraded to 'BBB+' from 'A'; --$26,000,000 class C-2 downgraded to 'BBB+' from 'A'; --$15,000,000 class C-3 downgraded to 'BBB+' from 'A'; --$31,250,000 class D downgraded to 'BBB' from 'A-'; --$29,866,591 class E-1 downgraded to 'BB' from 'BBB' and removed from Rating Watch Negative; --$10,035,175 class E-2 notes downgraded to 'BB' from 'BBB' and removed from Rating Watch Negative; --$42,500,000 class F notes downgraded to 'B' from 'BB+' and removed from Rating Watch Negative. Taberna II experienced two asset defaults representing approximately 6.3% of its portfolio. These defaults have caused the failure of two OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Taberna II has migrated to the 'B-/CCC+' range from the 'B/B-' range at close. Approximately 12.6% of the underlying collateral is currently on Rating Watch Negative. Taberna Preferred Funding III, Ltd. (Taberna III): --$390,944,516 class A-1A affirmed at 'AAA'; --$9,810,402 class A-1C affirmed at 'AAA'; --$38,500,000 class A-2A affirmed at 'AAA'; --$15,000,000 class A-2B affirmed at 'AAA'; --$91,250,000 class B-1 affirmed at 'AA'; --$7,500,000 class B-2 affirmed at 'AA'; --$36,500,000 class C-1 downgraded to 'A-' from 'A'; --$52,000,000 class C-2 downgraded to 'A-' from 'A'; --$43,750,000 class D downgraded to 'BBB-' from 'BBB' and removed from Rating Watch Negative; --$31,500,000 class E downgraded to 'B+' from 'BB+' and removed from Rating Watch Negative. Taberna III experienced one asset default representing approximately 3.8% of its portfolio. This default has caused the failure of two OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Taberna III has migrated to the 'B/B-' range from the 'B+/B' range at close. Approximately 12.4% of the underlying collateral is currently on Rating Watch Negative. Taberna Preferred Funding IV, Ltd. (Taberna IV): --$310,785,434 class A-1 affirmed at 'AAA'; --$50,000,000 class A-2 affirmed at 'AAA'; --$20,000,000 class A-3 affirmed at 'AAA'; --$81,450,000 class B-1 affirmed at 'AA'; --$7,000,000 class B-2 affirmed at 'AA'; --$45,000,000 class C-1 downgraded to 'A-' from 'A'; --$20,000,000 class C-2 downgraded to 'A-' from 'A'; --$35,000,000 class C-3 downgraded to 'A-' from 'A'; --$21,000,000 class D-1 downgraded to 'BBB-' from 'BBB'; --$13,000,000 class D-2 downgraded to 'BBB-' from 'BBB'; --$24,375,000 class E downgraded to 'B+' from 'BB+' and removed from Rating Watch Negative. Taberna IV experienced one asset default representing approximately 3.8% of its portfolio. This default has caused the failure of two OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Taberna IV has migrated to the 'B/B-' range from the 'BB-/B+' range at close. Approximately 11.3% of the underlying collateral is currently on Rating Watch Negative. Taberna Preferred Funding V, Ltd. (Taberna V): --$99,901,499 class A-1LA affirmed at 'AAA'; --$249,753,747 class A-1LAD Left anterior descending coronary artery (LAD) One of the heart's coronary artery branches from the left main coronary artery which supplies blood to the left ventricle. affirmed at 'AAA'; --$60,000,000 class A-1LB affirmed at 'AAA'; --$90,000,000 class A-2L affirmed at 'AA'; --$50,000,000 class A-3L downgraded to 'BBB' from 'A'; --$35,000,000 class A-3FV downgraded to 'BBB' from 'A'; --$25,000,000 class A-3FX downgraded to 'BBB' from 'A'; --$40,500,000 class B-1L downgraded to 'B+' from 'BBB' and removed from Rating Watch Negative; --$23,000,000 class B-2L downgraded to 'CCC+' from 'BB' and removed from Rating Watch Negative; --$5,000,000 class B-2FX downgraded to 'CCC+' from 'BB' and removed from Rating Watch Negative. Taberna V experienced two asset defaults representing approximately 7.1% of its portfolio. These defaults have caused the failure of two OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Taberna V has migrated to the 'B/B-' range from the 'BB-/B+' range at close. Approximately 18.7% of the underlying collateral is currently on Rating Watch Negative. Taberna Preferred Funding VI, Ltd. (Taberna VI): --$49,818,219 class A-1A notes affirmed at 'AAA'; --$303,891,134 class A-1B notes affirmed at 'AAA'; --$90,000,000 class A-2 notes affirmed at 'AAA'; --$18,000,000 class B notes affirmed at 'AA+'; --$97,000,000 class C notes affirmed at 'AA'; --$43,000,000 class D-1 notes downgraded to 'A-' from 'A'; --$10,000,000 class D-2 notes downgraded to 'A-' from 'A'; --$17,000,000 class E-1 notes downgraded to 'BBB-' from 'BBB' and removed from Rating Watch Negative; --$17,000,000 class E-2 notes downgraded to 'BBB-' from 'BBB' and removed from Rating Watch Negative; --$15,000,000 class F-1notes downgraded to 'B+' from 'BB+' and removed from Rating Watch Negative; --$10,000,000 class F-2 notes downgraded to 'B+' from 'BB+' and removed from Rating Watch Negative. Taberna VI experienced one asset default representing approximately 3.7% of its portfolio. This default has caused the failure of one OC test. Based on Fitch's public and shadow ratings, the average credit quality of Taberna VI has migrated to the 'B+/B' range from the 'BB-/B+' range at close. Approximately 17.3% of the underlying collateral is currently on Rating Watch Negative. Taberna Preferred Funding VII, Ltd. (Taberna VII): --$350,000,000 class A-1LA affirmed at 'AAA'; --$120,000,000 class A-1LB affirmed at 'AAA'; --$25,000,000 class A-2LA affirmed at 'AA+ '; --$50,000,000 class A-2LB affirmed at 'AA'; --$57,000,000 class A-3L affirmed at 'A'; --$40,000,000 class B-1L affirmed at 'BBB'; --$30,000,000 class B-2L downgraded to 'BB-'from 'BB'. Taberna VII experienced one asset default representing approximately 1.4% of its portfolio. This default has not caused the failure of any OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Taberna VII has migrated to the 'B+/B' range from the 'BB-/B+' range at close, causing a failure of the transaction's WARF covenant. Approximately 22.5% of the underlying collateral is currently on Rating Watch Negative. TRAPEZA CDO X, Ltd./ Inc. (Trapeza X): --$268,000,000 class A-1 affirmed at 'AAA'; --$69,000,000 class A-2 affirmed at 'AAA'; --$31,000,000 class B affirmed at 'AA'; --$21,000,000 class C-1 affirmed at 'A-'; --$35,000,000 class C-2 affirmed at 'A-'; --$22,000,000 class D-1 downgraded to 'BBB-' from 'BBB'; --$22,000,000 class D-2 downgraded to 'BBB-' from 'BBB'; --$39,500,000 subordinate downgraded to 'B+' from 'BBB-'. Trapeza X experienced one asset default representing approximately 4% of its portfolio. This default has not caused the failure of any OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Trapeza X has migrated to the 'B/B-' range from the 'BB-/B+' range at close. Note that bank and insurance collateral is excluded from this measurement of portfolio credit quality, given that banks and insurance companies underlying the transaction are evaluated on a numerical numerical expressed in numbers, i.e. Arabic numerals of 0 to 9 inclusive. numerical nomenclature a numerical code is used to indicate the words, or other alphabetical signals, intended. score basis. Approximately 3.3% of the portfolio, representing REIT/homebuilder collateral, is currently on Rating Watch Negative. At close, Trapeza X was comprised of 62.89% bank collateral, 5.35% insurance collateral and 31.76% REIT/homebuilder collateral. Trapeza CDO XI, Ltd.: --$281,000,000 class A-1 affirmed at 'AAA'; --$53,000,000 class A-2 affirmed at 'AAA'; --$20,000,000 class A-3 affirmed at 'AAA'; --$25,000,000 class B affirmed at 'AA'; --$33,000,000 class C affirmed at 'A'; --$22,500,000 class D-1 affirmed at 'A-'; --$18,500,000 class D-2 affirmed at 'A-'; --$13,000,000 class E-1 affirmed at 'BBB'; --$5,000,000 class E-2 affirmed at 'BBB'; --$10,000,000 class F affirmed at 'BB'. Trapeza XI experienced one asset default representing approximately 2% of its portfolio. This default has not caused the failure of any OC tests. Based on Fitch's public and shadow ratings, the average credit quality of Trapeza XI has migrated to the 'B/B-' range from the 'B+/B' range at close. Note that bank and insurance collateral is excluded from this measurement of portfolio credit quality, given that banks and insurance companies underlying the transaction are evaluated on a numerical score basis. There is no underlying REIT/homebuilder collateral currently on Rating Watch Negative. At close, Trapeza XI was comprised of 60.51% bank collateral, 9.65% insurance collateral, 29.84% REIT/homebuilder collateral. Trapeza X and Trapeza XI differ from the other CDOs included in this review in that they combine trust preferred securities issued by regional banks and insurance companies, along with trust preferred securities and senior and subordinated debt issued by REITs and homebuilders. While regional banks and insurance companies are expected to exhibit positive correlation Noun 1. positive correlation - a correlation in which large values of one variable are associated with large values of the other and small with small; the correlation coefficient is between 0 and +1 direct correlation with REITs and homebuilders over the long-term Long-term Three or more years. In the context of accounting, more than 1 year. long-term 1. Of or relating to a gain or loss in the value of a security that has been held over a specific length of time. Compare short-term. , regional banks and insurance companies have yet to exhibit the same level of underperformance that REITs and homebuilders have in recent periods. This has served as a positive counterbalance to overall CDO portfolio performance, and tempered Fitch's rating actions on hybrid TruPS CDOs, relative to REIT TruPS CDOs. In summary, Fitch's rating actions reflect an increasingly challenging credit and liquidity environment facing REITs, homebuilder and other financial institutions focusing on mortgage lending. Fitch believes the revised CDOs ratings more accurately reflect the credit risk to noteholders, following the recent period of defaults and rating downgrades. Going forward, Fitch will continue monitor ratings at the CDO and underlying issuer level. In the event of further defaults at the issuer level, additional rating action at the CDO level may be warranted. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality Restrictions on the accessibility and dissemination of information. Confidentiality is one of the six fundamental components of information security (see Parkerian Hexad). , conflicts of interest, affiliate Affiliate Relationship between two companies when one company owns substantial interest, but less than a majority of the voting stock of another company, or when two companies are both subsidiaries of a third company. See: Subsidiaries, parent company. firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings Fitch Ratings An international rating agency for financial institutions, insurance companies, and corporate, sovereign, and municipal debt. Fitch Ratings has headquarters in New York and London and is wholly owned by FIMALAC of Paris. , Ltd. and their subsidiaries including Derivative derivative: see calculus. derivative In mathematics, a fundamental concept of differential calculus representing the instantaneous rate of change of a function. Fitch, Inc. and Derivative Fitch Ltd. and any successor 1. SuccessoR - A language for distributed computing derived from SR. ["SuccessoR: Refinements to SR", R.A. Olsson et al, TR 84-3, U Arizona 1984]. 2. successor - daughter or successors thereto there·to adv. 1. To that, this, or it. 2. Archaic In addition to that; furthermore. thereto Adverb Formal 1. to that or it 2. . |
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