Fitch Affirms North Street Referenced Linked Notes 2000-2, Ltd.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 -- 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. affirms six classes of notes issued by North Street Referenced Linked Notes 2000-2, Ltd. (North Street 2000-2). These affirmations are the result of Fitch's review process. The following rating actions are effective immediately: North Street 2000-2 --$60,800,000 class A Notes affirm at 'AA-'; --$32,600,000 class B Notes affirm at 'BBB+'; --$29,000,000 class C Notes affirm at 'BBB-'; --$7,500,000 class D Notes affirm at BB+; --$36,100,000 class E Notes affirm at 'CCC/DR4'; --$19,716,100 Income Notes remain at 'C/DR6'. North Street 2000-2 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 Investment Bank. North Street 2000-2 closed on October 27, 2000. The reference portfolio consists primarily of corporate bonds, asset backed securities (ABS), commercial mortgage backed securities (CMBS CMBS See: Commercial Mortgage Backed Securities ), and real estate investment trust (REIT REIT See: Real Estate Investment Trust REIT See real estate investment trust (REIT). ) securities. These affirmations are a result of stable credit quality of the referenced portfolio. As of the most recent trustee report dated August 31, 2006, Fitch Rating Factor of the referenced portfolio was 21.3 ('BBB-/BB+'), as compared to 21.46 ('BBB-/BB+') at the time of last review on November 10, 2005, but still above the allowed maximum of 17 ('BBB/BBB-'). Referenced securities below 'BBB-' represented 28.83% of the $1.176 million reference portfolio on August 31, 2006, as compared to 25.4% at the time of last review, above the allowed maximum of 3%. The referenced portfolio has experienced five credit events to date requiring protection payments over $39 million, but no additional credit events since last review. The ratings of all classes of notes address 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 full and timely payments of interest, at the rated coupon of 9.5%, as well as the stated balance of principal by the legal final maturity date. Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralized Debt Obligations,' dated Sept. 13, 2004 and also available on Fitch's web site at www.fitchratings.com. Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch Ratings web site at www.fitchratings.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.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. |
|
||||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion