Fitch Affirms North Street 2002-4.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 six classes of notes from North Street Referenced Linked Notes 2002-4, Ltd. (North Street 2002-4). 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 $3 billion investment grade asset-backed securities Asset-backed security A security that is collateralized by loans, leases, receivables, or installment contracts on personal property, not real estate. asset-backed security A debt security collateralized by specific assets. (76%) and corporate bonds (24%). Fitch has affirmed the ratings of the following liabilities: North Street 2002-4 -- $353,000,000 class A floating-rate notes 'AAA'; -- $40,000,000 class B floating-rate notes 'AA'; -- $46,000,000 class C floating-notes 'A'; -- $61,000,000 class D floating-rate notes 'BBB+'; -- $25,000,000 class E floating-rate notes 'BBB'; -- $49,000,000 fixed-rate income notes 'BB+'. The ratings of the class A, B, C and D notes addresses the credit quality of the reference pool and the likelihood of the applicable class of notes having to make credit protection payments under credit swap. The rating of the class E 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. The rating of the income notes addresses the likelihood that investors will receive ultimate payments of interest, at the rated coupon of 7.5%, as well as the stated balance of principal by the legal final maturity date. North Street 2002-4 has performed as anticipated since closing on March 15, 2002. While some negative rating migration has occurred, the referenced portfolio's Weighted Average Rating test continues to pass at 'BBB+' 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 appropriate levels for the current ratings. 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 breakeven 1. The level of output or sales necessary to cover fixed expenses. Companies in industries that have high fixed costs and, consequently, high breakevens, such as automobile and steel manufacturing, are likely to exhibit large fluctuations 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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