Fitch Places 2 CDOs with Dura Exposure on Rating Watch Negative.LONDON & 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 has placed one tranche from one public 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 ) and one tranche from a private CDO on Rating Watch Negative following Dura Automotive Corporation's (Dura) filing for protection under Chapter 11. Fitch has identified eight European deals and 32 U.S. deals, with a total portfolio notional exposure to Dura of more than 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. 2.588 billion (US$3.235 billion) equivalent. Fitch will resolve the Rating Watch Negative status on all CDOs as and when final valuations for Dura in each transaction are made available. Transactions with synthetic exposure to Dura, which have not been placed on Rating Watch Negative, are expected to have sufficient 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 to withstand the impact of Dura's default. In performing this analysis, Fitch applied a 25% recovery rate assumption for senior debt and assumed total loss for subordinate positions. These estimates were based on conservative market value estimates. The majority of the U.S. cash CDOs containing exposure to Dura are high-yield bond CDOs. They have already experienced rating downgrades due to the previous credit cycle downturn of 2001 and 2002. Dura's bankruptcy alone may not be sufficient to cause further rating volatility as excess spread and de-leveraging may offset the loss of par value. Fitch will review these transactions individually to determine the effect of the loss on each CDO. Fitch has placed the following tranches on Rating Watch Negative: U.S. CDOs: Sutter CBO CBO See: Collateralized Bond Obligation. 1998-1 Ltd. -- Class B 'B-/DR1'. ** One privately rated tranche from one European CDO was placed on Rating Watch Negative. 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 vale 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. |
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