Fitch Affirms One & Downgrades Five Classes of Oceanview CBO I, Ltd.CHICAGO -- Fitch has affirmed the ratings of one class of notes and downgraded the rating of five classes of notes issued by Oceanview CBO CBO See: Collateralized Bond Obligation. I, Ltd. (Oceanview). The following rating actions are effective immediately: --$155,312,769 class A-1A notes affirmed at 'AAA'; --$41,416,738 class A-1B notes downgraded to 'BB-' from 'AAA'; --$28,000,000 class A-2 notes downgraded to 'CCC' and assigned 'DR4' from 'BB-' and removed from Rating Watch Negative; --$12,737,372 class B-F notes downgraded to 'C' and remain at 'DR6' from 'CC/DR6' and removed from Rating Watch Negative; --$6,078,079 class B-V notes downgraded to 'C' and remain at 'DR6' from 'CC/DR6' and removed from Rating Watch Negative; --$6,617,630 combination securities downgraded to 'BB-' from 'AAA'; Oceanview 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 ) managed by Deerfield Capital Management that closed June 27, 2002 and has a portfolio composed of residential mortgage-backed securities Residential mortgage-backed securities (RMBS) are a type of bond commonly issued in American security markets. They are a type of Mortgage-backed security which are backed by mortgages on residential rather than commercial real estate. , CDOs, commercial mortgage-backed securities Commercial mortgage-backed securities (CMBS) are a type of bond commonly issued in American security markets. They are a type of Mortgage-backed security which are backed by mortgages on commercial rather than residential real estate. (CMBS CMBS See: Commercial Mortgage Backed Securities ), 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. (ABS) and corporate debt. The reinvestment Reinvestment Using dividends, interest and capital gains earned in an investment or mutual fund to purchase additional shares or units, rather than receiving the distributions in cash. 1. In terms of stocks, it is the reinvestment of dividends to purchase additional shares. period ended in June 2006. 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 going forward relative to the minimum cumulative default rates needed to support the rated liabilities. The credit quality of the Oceanview portfolio has continued to deteriorate, since Fitch's last review of this transaction, approximately 23% of the portfolio has been downgraded and 4.4% of the portfolio remains on Rating Watch Negative. Subsequently, the weighted average rating factor (WARF WARF Wisconsin Alumni Research Foundation WARF Wide Aperture Research Facility WARF Wartime Active Replacement Factors WARF weighted-average risk factor WARF Wartime Attrition and Replacement Factors WARF Whylie Animal Rescue Foundation ) has increased to 28.47 as of the July 30, 2007 trustee report from a WARF of 22.93 as of the last rating action on April 13, 2006. In addition, the collateral pool contains three newly distressed assets which total over $9.8 million, or 4.49% of the portfolio. The class A-2 overcollateralization (OC) ratio has decreased to 98.6% from 100.1% as of last rating action and remains below its trigger of 101.5%. Assets rated 'CCC' or lower currently represent approximately 10.7% of the portfolio. In addition to the failure of A-2 OC coverage test, class A-1 interest coverage test is currently below the required trigger amount and has been doing so since August 2005. Such failure has caused all interest proceeds otherwise available to pay class B and C interest to pay down the most senior notes in order to cure the test. Fitch anticipates that class A-2 noteholders may experience an impairment of principal, and the class B-F and B-V noteholders may experience an impairment of principal and interest over the remaining life of the transaction. Furthermore, it is unlikely that the class C noteholders will receive any further payments of principal or interest. The rating of the class A-1A notes, the class A-1B notes and the class A-2 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 ratings of the class B-F notes and the class B-V notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The rating of the combination securities addresses the likelihood that investors will receive their stated balance of principal by the legal final maturity date. The rating of the class C notes has been withdrawn. 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 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. web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised 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.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, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto. |
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