Fitch Rates Nerva Limited Series I.Business Editors NEW YORK--(BUSINESS WIRE)--June 30, 2000 Fitch rates Nerva Limited Series I (Nerva) as follows: 'AAA' on the $528 million class A notes, `AA' on the $12 million class B notes, `BBB' on the $30 million class C notes, and `BB` on the $18 million class D notes. The ratings address the full and timely payment of interest and principal by the final maturity date in 2014. Nerva, incorporated under the laws of the Cayman Islands Cayman Islands (kā`mən), British dependency (2005 est. pop. 44,300), 100 sq mi (259 sq km), comprising three islands in the West Indies. , was created to enter into a credit swap with Barclays Bank PLC (Barclays) and to issue the notes outlined above. The credit swap references a pool of structured finance securities. All credits in the pool have been rated by public rating agencies. The ratings reflect the credit quality of the reference credits, the structure of the transaction (including 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 levels), Barclays' strength as a swap counterparty Counterparty The other participant, including intermediaries, in a swap or contract. , and the credit support provided under the swap. Structural protection is derived through subordination of the unrated class of notes to the class D notes, which, in turn, are junior to the class C notes, which are junior to the class B notes, which are junior to the class A notes. The class A notes are protected by credit enhancement of 12%; class B, 10%; class C, 5%; and class D, 3%. These percentages are based on the reference pool of $500 million. These subordination levels passed Fitch's actuarial ac·tu·ar·y n. pl. ac·tu·ar·ies A statistician who computes insurance risks and premiums. [Latin and obligor The individual who owes another person a certain debt or duty. The term obligor is often used interchangeably with debtor. obligor (ah-bluh-gore) n. stress tests for the desired ratings. Additional protection is provided by the presence of overcollateralization tests in the priority of payments of interest proceeds and excess spread. For a detailed description of this transaction please refer to the presale report, `Nerva Limited Series I' dated June 13, 2000, available on Fitch's web site at `www.fitchratings.com'. Fitch is an international rating agency that provides global capital market investors with the highest quality ratings and research. Dual headquartered in 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 and London with a major office in Chicago, Fitch rates entities in 75 countries and has some 1,100 employees in more than 40 local offices worldwide. The agency, which is a combination of Fitch IBCA IBCA International Braille Chess Association IBCA Institute of Burial and Cremation Administration IBCA Integrated Business Communications Alliance IBCA International Barbeque Cookers Association IBCA Department of Interior Board of Contract Appeals and Duff & Phelps Credit Rating Co., provides ratings for Financial Institutions, Insurance, Corporates, Structured Finance, Sovereigns and Public Finance Markets worldwide. |
|
||||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion