Fitch Affirms 1 Class of IVY-ORSO Trust B.CHICAGO -- Fitch has affirmed one class of notes issued by IVY-ORSO Trust B (IVY-ORSO). The following rating action is effective immediately: --$2,000,000 credit-linked certificates at 'AAA'. IVY-ORSO is a static, single tranche, synthetic collateralized debt obligation Synthetic Collateralized Debt Obligation An artificial collateralized debt obligation that is backed by a pool of credit derivatives. Notes: Rather than the traditional pools of assets such as bonds and loans, the pools of credit derivatives that back synthetic CDOs (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 ) giving investors leveraged access to the credit risk of a diverse portfolio of mostly investment-grade, corporate reference entities and a single tranche CDO Single Tranche CDO is a natural extension of full capital structure Synthetic CDO deals. These are bespoke transactions where the bank and the investor work closely to achieve a specific target. of mostly high yield reference entities. The trust gains access to the credit risk of the portfolios via a credit default swap Credit Default Swap A swap designed to transfer the credit exposure of fixed income products between parties. Notes: The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. between IVY-ORSO and Bear Stearns The Bear Stearns Companies, Inc. (NYSE: BSC) is the parent company of Bear, Stearns & Co. Inc., one of the largest global investment banks and securities trading and brokerage firms in the world. Credit Products Inc., as swap counterparty. IVY-ORSO provides protection to the swap counterparty via a credit default swap that is collateralized with the issuance proceeds of the certificates. The proceeds are invested in an investment contract that is guaranteed by Financial Security Assurance Inc. (insurer financial strength rated 'AAA' by Fitch). IVY-ORSO pays the swap counterparty for any losses due to credit events experienced in the portfolio above 6.8% and up to 8.8% by liquidating the collateral. Since close, the weighted average rating has remained relatively stable in the range of 'BBB/BBB-'. One security has defaulted within the mostly investment-grade portfolio and four securities have defaulted within the single tranche CDO of mostly high yield reference entities. However, the losses have not resulted in a breach of the first loss attachment point. Furthermore, the subordination resulting from the first loss piece is still sufficient to maintain the current rating on the certificates. 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 the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 18, 2006 and also available at www.derivativefitch.com. 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, 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. 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 Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto. |
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