Fitch Downgrades One Class from JWS CBO 2000-1, LTD.NEW YORK -- Fitch Ratings affirms one class and downgrades one class of notes from JWS JWS Jackson-Weiss Syndrome JWS Joint Warfighting Space (DOD warfighter concept integrating responsive space assets to battle theater) JWS Joint Work Statement JWS Java Web Service JWS Java Web Start JWS Java Workshop JWS Java Web Server CBO CBO See: Collateralized Bond Obligation. 2000-1, LTD LTD 1 Laron-type dwarfism 2 Leukotriene D 3 Long-term depression, see there 4. Long-term disability . (JWS CBO). The following rating actions are effective immediately: -- $31,500,000 class C notes affirmed at 'BBB'; -- $23,250,000 class D notes downgraded to 'B+' from 'BB-'. JWS CBO is a collateralized bond obligation Collateralized Bond Obligation (CBO) Investment-grade bonds backed by a collection of junk bonds with different levels of risk, called tiers, that are determined by the quality of junk bond involved. (CBO) managed by Stonegate Capital Management, L.L.C. (Stonegate) which closed July 18, 2000. JWS CBO is composed primarily of corporate high-yield bonds. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. In addition, Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities. The overall collateral quality has deteriorated since Fitch's last rating action on October 12, 2004. Specifically, defaulted assets in the portfolio have increased to 7.98% of the portfolio from 2.57% of the portfolio, while assets rated 'CCC+' or lower increased to 31.2% of the portfolio from 17.5% of the portfolio. The weighted average coupon Weighted average Coupon The weighted average of the gross interest rates of mortgages underlying a pool as of the pool issue date; the balance of each mortgage is used as the weighting factor. has decreased to 9.685% from 9.82% versus a trigger of 9.80% and the weighted average spread has decreased to 5.08% from 5.30% versus a trigger of 2.70%. All coverage tests are currently passing their required trigger levels. The class A/B A/B Airborne A/B Afterburner (jet engines) A/B Air Blast A/B Answerback A/B Auto-brake A/B Air Bus A/B Afterburning , class C and class D overcollateralization (OC) tests have improved, as of the most recent trustee report available dated August 5, 2006. As a result of this analysis, Fitch has determined that the current ratings assigned to the class D notes no longer reflect the current risk to noteholders, and the ratings of this note will be downgraded. The ratings of the class C and D notes address the ultimate payments of interest and 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 Collateralised Debt Obligations,' dated Sept. 13, 2004, available on Fitch's 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. |
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