Fitch Rates Marylebone Road CBO 2, Ltd.Business Editors NEW YORK--(BUSINESS WIRE)--April 18, 2001 Fitch rates Marylebone Road CBO CBO See: Collateralized Bond Obligation. 2, Ltd's (Marylebone) $85.5 million class A-1L and $49.5 million class A-2L notes 'AAA' and $61 million class A-3L notes 'A'. Marylebone 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. , established to issue floating-rate notes and enter into a credit default swap 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 Abbey National Financial Products (ANFP ANFP Asociación Nacional de Fútbol Profesional (Chile) ANFP Agentia Nationala a Functionarilor Publici (Romania) ANFP Associazione Nazionale Funzionari di Polizia (Italia) ). The issuer is organized under Cayman Islands law. The ratings on the class A-1L and A-2L notes address the timely payment of interest and principal, and the ratings on the class A-3L notes address the ultimate payment of interest and principal by the final maturity date. The credit default swap references a portfolio of US and non-US investment grade senior unsecured bonds, under which Marylebone will agree to make payments to ANFP (up to a maximum of $221.25 million) for losses on a portfolio of reference credits with a notional amount of $1.5 billion. The ratings are based on the investment grade quality of the reference credits; the strength of ANFP as repurchase and swap counterparty; the 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 provided through subordinated notes; and the structural protection provided for in the indenture. Risks to the portfolio include the overall deterioration in the credit quality of the portfolio assets, excessive defaults in a significant portion of investments, and exposure to ANFP. These risks are mitigated by the investment guidelines, which require a minimum level of diversification, a minimum weighted average rating of `BBB BBB A medium grade assigned to a debt obligation by a rating agency to indicate an adequate ability to pay interest and repay principal. However, adverse developments are more likely to impair this ability than would be the case for bonds rated A and above. +', maintenance of a minimum par value coverage test, and collateral support under the repurchase agreement. |
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