Fitch Assigns Ratings to DJ CDX.NA.HY.5 (December 2010) Trusts.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. has assigned bond fund credit and volatility ratings to three of the Dow Jones CDX CDX Companion Dog Excellent (AKC Obedience Title) CDX Cyber-Defense Exercise CDX Central Data Exchange CDX Community Development Exchange (UK community development organization) CDX Commercial Data Exchange .NA.HY.5 trusts. The credit linked certificates of each trust enable investors to gain funded non-levered exposure to the reference entities of the current Dow Jones CDX.NA.HY.5 credit default swap index A credit default swap index is a credit derivative used to hedge credit risk or to take a position on a basket of credit entities. Unlike a credit default swap, which is an over the counter credit derivative, a credit default swap index is completely standardised credit of non-investment grade corporations. The exposure to the index constituents is obtained via credit default swaps between the trust and five major financial institutions. The obligations of the trust under the credit default swaps are collateralized via a reverse repurchase agreement Reverse Repurchase Agreement The purchase of securities with the agreement to sell them at a higher price at a specific future date. For the party selling the security (and agreeing to repurchase it in the future) it is a repo for the party on the other end of the . Fitch assigns the following ratings to the trusts for Dow Jones CDX.NA.HY.5: -- Trust 1 December 2010 'B/V5'; -- Trust 2 December 2010 'BB/V4'; -- Trust 3 December 2010 'B/V4'. Fitch's bond fund credit rating is based on the weighted average credit rating Weighted Average Credit Rating The weighted average of all the bond credit ratings in a bond fund. The measure gives investors an idea of how risky a fund's bonds are overall. The lower the weighted average credit, rating the riskier the bond fund. of the underlying reference entities. The bond fund volatility rating reflects the relative sensitivity of the fund's total return and market price to changes in interest rates and other market conditions. The rating for Dow Jones CDX.NA.HY.5 Trust 1 takes into account the trust's exposure to Delphi Corporation, which triggered a credit event by filing for bankruptcy. Upon commencement of this transaction, Trust 1 will recognize this credit event. Once Delphi Corporation is removed from the reference portfolio and the related credit event settlement process is concluded, Fitch will review the trust's rating and adjust the rating if necessary. Funds rated in the 'V4' and 'V5' category are considered to have moderate market risk. Total returns perform consistently over intermediate- to long-term holding periods but will exhibit some variability over shorter periods due to greater exposure to interest rates and changing market conditions. Fund volatility ratings are assigned on a scale of 'V1' (least volatile) through 'V10' (most volatile). Fitch's bond fund credit and volatility ratings do not address the likelihood of a timely or ultimate payment of interest or principal of the securities issued by the trust and should not be considered as a substitute for Fitch's international long or short-term credit ratings. Fitch's rating also does not address the risk associated with the ability of the Credit Default Swap Counterparties, the Repo Counterparty, and the Trust Property to provide payment to the trust. 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