Fitch Affirms North Street 2002-3A.CHICAGO -- 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 affirmed one class of notes from North Street Referenced Linked Notes 2002-3A, Ltd. (North Street 2002-3A). The transaction is a partially funded 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 ) created to enter into 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. with UBS UBS Union Bank of Switzerland UBS United Bible Societies UBS United Blood Services UBS United Buying Service UBS Used Bookstore UBS University Business Services UBS Universal Building Society (UK) UBS Ulaanbaatar Broadcasting System Warburg referencing a portfolio of $2 billion high grade asset-backed securities. North Street 2002-3A will make credit protection payments to UBS for losses that exceed $160 million. Fitch has affirmed the rating of the following liability: North Street 2002-3A -- $100,000,000 floating-rate notes 'AAA'; The rating of the notes addresses the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. North Street 2002-3A has performed as anticipated since closing on Dec. 16, 2002. While some negative rating migration has occurred, the referenced portfolio's Weighted Average Rating continues to perform at 2.06 ('AA+/AA') and 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 is maintained at the appropriate level for the current rating. Additionally, no credit events have been called on the referenced portfolio. Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates relative to the minimum cumulative default rates required for the rated liabilities. (For more information on the Fitch Vector Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004, available on the Fitch Ratings web site at 'www.fitchratings.com'. Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are also available at 'www.fitchratings.com'. |
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