Fitch Rates Northwall Funding CDO I, Ltd./Inc.
CHICAGO -- 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. assigns the following ratings to Northwall Funding 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 I, Ltd. (the issuer) and Northwall Funding CDO I, Inc. (the co-issuer, or together with the issuer, Northwall):
--$180,000,000 class A-1 first priority senior secured floating-rate notes due December 2041 'AAA';
--$46,500,000 class A-2 second priority senior secured floating-rate notes due December 2041 'AAA';
--$40,500,000 class B third priority senior secured floating-rate notes due December 2041 'AA';
--$18,000,000 class C fourth priority mezzanine secured fixed-rate notes due December 2041 'BBB'.
The ratings of the classes A-1, A-2, and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity Stated maturity
For the CMO tranche, the date the last payment would occur at zero CPR. date. The rating of the class C notes addresses the likelihood that investors will receive ultimate interest and deferred interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. Periodic payments on the notes will be paid quarterly starting in September 2005.
The ratings are based upon the capital structure of the transaction, the credit quality of the collateral, approximately 90% of which will be purchased at close and the overcollateralization (OC) and interest coverage (IC) tests provided for within the indenture. The collateral portfolio will be managed by Terwin Money Management LLC (Logical Link Control) See "LANs" under data link protocol.
LLC - Logical Link Control (Terwin). The transaction has a substitution period for two years beginning after the first quarterly distribution date. Proceeds from the sale of defaulted or written-down securities and prepayments will be used to redeem the notes. During the substitution period, Terwin's trading activities are limited to a maximum 10% discretionary trading bucket during any 12-month period, as defined in the governing documents. Principal collections due to sales proceeds during the substitution period can be used to buy additional collateral, within covenanted limitations, but after the substitution period must be used to pay down the most senior liabilities.
Interest and principal payments are made on a sequential basis, paid first to the class A-1 notes.
The proceeds of the notes will be used to purchase a portfolio of subprime residential mortgage-backed securities (RMBS RMBS Residential Mortgage-Backed Securities
RMBS Rambus, Inc. (NASDAQ stock symbol)
RMBS Russian Mortgage-Backed Securities ), prime RMBS, and collateralized debt obligations Collateralized Debt Obligation (CDO)
A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDOs). The collateral has a maximum Fitch weighted average rating factor (WARF WARF Wisconsin Alumni Research Foundation
WARF Wide Aperture Research Facility
WARF Wartime Active Replacement Factors
WARF weighted-average risk factor
WARF Wartime Attrition and Replacement Factors
WARF Whylie Animal Rescue Foundation ) of 6.00 ('BBB/BBB-'). Northwall has the ability to solicit auction bids for the entire portfolio of securities, whereby sales proceeds are used to pay down the notes sequentially.
The issuer and co-issuer are special-purpose companies 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. and Delaware, respectively. Terwin is a wholly owned subsidiary Wholly Owned Subsidiary
A subsidiary whose parent company owns 100% of its common stock.
In other words, the parent company owns the company outright and there are no minority owners. of Terwin Asset Management LLC, which is a member of The Winter Group family of businesses. Northwall is the fifth cash flow ABS CDO managed by Terwin.
The placement agent for this transaction is Merrill Lynch Merrill Lynch & Co., Inc. (NYSE: MER TYO: 8675 ), through its subsidiaries and affiliates, provides capital markets services, investment banking and advisory services, wealth management, asset management, insurance, banking and related products and services on a global basis. , Pierce, Fenner & Smith Incorporated. For additional information on structural and others features of Northwall, please see the Fitch presale report, "Northwall Funding CDO I, Ltd./Inc.," which is available on Fitch's subscription-based Web site, www.fitchresearch.com.