Derivative Fitch Affirms InCapS Funding I, Ltd. /Corp.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 -- Derivative Fitch affirms four classes of notes issued by InCapS Funding I, Ltd. /Corp. (InCapS I). These affirmations are the result of Derivative Fitch's review process and are effective immediately: --$201,033,952 class A notes at 'AAA'; --$49,500,000 class B-1 notes at 'A-'; --$75,000,000 class B-2 notes at 'A-'; --$15,000,000 class C notes at 'BBB'. InCapS I is a 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 ), which closed May 22, 2003. InCapS I is a static pool composed of insurance trust preferred securities, senior notes, and surplus notes. Included in this review, Derivative Fitch performed an analysis of the collateral included in the portfolio. The CDO has recently experienced the default of one asset with a notional value Notional Value The total value of a leveraged position's assets. This term is commonly used in the options, futures and currency markets because in them a very little amount of invested money can control a large position (have a large consequence for the trader). of $15 million (4.15%) and the distressed sale Distressed Sale An urgent sale of assets because of negative conditions. Notes: For example, securities may have to be sold because there is a margin call. of another asset representing $13.5 million of the portfolio. A third $15 million asset, which was previously deferring on its interest payments, has resumed interest payments and has re-entered the performing pool. The net effect of this activity has led to minimal deterioration in 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 due to recovery proceeds of the deferring asset and re-entry RE-ENTRY, estates. The resuming or retaking possession of land which the party lately had. 2. Ground rent deeds and leases frequently contain a clause authorizing the landlord to reenter on the non-payment of rent, or the breach of some covenant, when the to the performing pool of the third asset. Certain protective features embedded in the structure also aid overall performance. InCapS I includes a structural feature that traps 50% of excess spread up to the amount of any defaulted or deferring security, and then applies the proceeds to the redemption of the most senior notes outstanding. To date, approximately $6.8 million of the class A notes has been redeemed as a result of this feature. The senior subordinate principal coverage test failed on Feb. 24, 2006 and $1.8 million of the class A notes were redeemed to cure the test. According to the Aug. 24, 2006 trustee report, the senior principal coverage test ratio is stable at 174.7%, and continues to pass its performance test trigger of 125.0%. The senior subordinate principal coverage test also passes its performance test trigger of 106.0% with a ratio of 108.9%. The rating of the class A notes addresses the likelihood that investors will receive timely payments of interest as well as ultimate payment of principal by the stated maturity Stated maturity For the CMO tranche, the date the last payment would occur at zero CPR. date. The ratings of the class B-1, B-2, and C notes address the likelihood that investors will receive ultimate payment of interest and principle by the stated maturity date. As a result of this analysis, Derivative Fitch has determined that the current ratings assigned to the A, B-1, B-2 and C notes still reflect the current risk to noteholders. Derivative Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on Fitch's approach to rating CDOs of trust preferred securities, see the special report, 'Rating Criteria for US Bank and Insurance Trust Preferred CDOs' dated Feb. 2, 2005 and available on Fitch's web site. 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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