Fitch Assigns Final Ratings To Bifrost Investments Ltd Series 1.Business Editors LONDON--(BUSINESS WIRE)--Nov. 25, 2002 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 assigned final ratings to Bifrost Investments Plc (Bifrost) series 1 unfunded obligations due November 2007 as indicated below: --EUR140,000,000 class A 'AAA'; --EUR100,000,000 class B 'AA'. This transaction is an unfunded synthetic securitisation of a portfolio of geographically diverse corporate entities. Bifrost, a special purpose vehicle, is incorporated under the laws of Ireland. The ratings address only the probability of the outstanding notional amounts of the mezzanine credit swaps being reduced. At the closing date, Bifrost will enter into two mezzanine credit default swaps 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 BNP Paribas BNP Paribas (Euronext: BNP, TYO: 8665 ) is one of the main banks in Europe and France. It was created on 23 May 2000 through the merger of Banque Nationale de Paris (BNP) and Paribas. (rated 'AA/F1+' with a Stable Rating Outlook by Fitch), under which it provides notional protection on a reference portfolio of 100 corporate entities with a total notional value Notional Value The total value of a leveraged position's assets. This term is commonly used in the options, futures and currency markets because in them a very little amount of invested money can control a large position (have a large consequence for the trader). of EUR EUR In currencies, this is the abbreviation for the Euro. Notes: The currency market, also known as the Foreign Exchange market, is the largest financial market in the world, with a daily average volume of over US $1 trillion. 5,000,000,000. The mezzanine credit default swaps with BNP Paribas each relate to the same reference portfolio of 100 corporate entities, although the swaps have different loss thresholds. The ratings are based on the credit quality of the mezzanine credit default swaps (in turn dependent upon the credit quality of the underlying portfolio of reference entities and relative loss thresholds) and the sound legal structure of the transaction. 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 for the class A obligations will be provided by a loss threshold of 7.40%. Credit enhancement for the class B obligations will be provided by a first loss threshold of 5.40%. A copy of the new issue report for this transaction is available on the Fitch Ratings web site at 'www.fitchratings.com'. |
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