Correction - Fitch Places Six CDOs with Dana Exposure on Rating Watch Negative.LONDON & 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 is a correction for a previous message. It corrects the headline. 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. has placed four tranches from three public collateralized debt obligations (CDOs) and 13 tranches from three private CDOs on Rating Watch Negative following Dana Corporation's filing under Chapter 11. Fitch has identified 31 rated tranches of 18 European deals (30 synthetic tranches and one cash flow tranche) and 177 rated tranches of 42 U.S. deals (28 synthetic tranches and 149 cash flow tranches) with a total portfolio notional exposure to Dana of more than EUR EUR In currencies, this is the abbreviation for the Euro. Notes: The currency market, also known as the Foreign Exchange market, is the largest financial market in the world, with a daily average volume of over US $1 trillion. 1.63 (US$1.97) billion equivalent. Fitch will resolve the Rating Watch Negative status on all CDOs as and when final valuations for Dana in each transaction are made available. Transactions with synthetic exposure to Dana, which have not been placed on Rating Watch Negative are expected to have sufficient 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 to withstand the impact of Dana's default. In order to perform this analysis, Fitch applied a 40% recovery rate assumption, derived from the midpoint mid·point n. 1. Mathematics The point of a line segment or curvilinear arc that divides it into two parts of the same length. 2. A position midway between two extremes. of the 'RR4' Recovery Rating assigned to Dana's senior unsecured debt Unsecured debt Debt that does not identify specific assets that the debtholder is entitled to in case of default. . According to Fitch's Synthetic Index, Fitch-rated static synthetic CDOs exposed to entities related to the automobile industry represent 6.06% of the synthetic index. These credits are primarily domiciled in the United States, followed by Germany and Japan (3.16%, 1.28% and 1.23% respectively). Two entities extensively referenced(Delphi and Dana), which form 0.61% (60bps: 1bp respectively) of the synthetic index have filed for Chapter 11, bankruptcy protection within six months. The majority of the U.S. cash CDOs containing exposure to Dana are high yield bond CDOs. They have already experienced ratings downgrades due to the past negative credit cycle. Dana's bankruptcy alone may not be sufficient to cause further ratings volatility as excess spread and deleveraging may offset the loss of par. Fitch will review these transactions individually to determine the effect of the loss on each 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 . The following public tranches have been placed on Rating Watch Negative: In line with efforts to provide greater transparency to the market, Fitch has included below an indication of likely rating action upon resolving the Rating Watch Negative. European CDOs: RIJN Finance Company BV -- Class B1 EUR14,000,000 Notes 'AA-'; (indicating 'BBB+/BBB'); -- Class B2 EUR26,000,000 Notes 'AA-'; (indicating 'BBB+/BBB'). Quartz Finance PLC Series 2005-1 (Kingsbury) -- Class B EUR5,000,000 Notes 'AA-'; (indicating 'A+'). *Xelo III Series 2005 (Como II) -- Single tranche EUR70,000,000 'AAA'; (indicating 'BBB-/BB+'). *The above transaction was already placed on 'AAA' Rating Watch Negative due to the default of Delphi. 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.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate 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. |
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