Fitch Ratings: Summit CBO I Ltd. Notes Remain at 'C'.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 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. has reviewed three classes of notes issued by Summit CBO CBO See: Collateralized Bond Obligation. I, Ltd., (Summit). These updates are the result of Fitch's review process. The following rating actions are effective immediately: -- $37,000,000 class B notes remain at 'C'; -- $48,379,010 class C notes remain at 'C'; -- $9,518,072 class D-1 notes remain at 'C'. Summit is a 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 ) managed by Summit Investment Partners which closed April 23, 1999. Summit is currently a static portfolio composed primarily of high yield bonds. Summit Investment Partners is restricted from trading with the exception of credit impaired and defaulted securities. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. Since the last rating action in October 2002, $81.3 million (43.5%) of the class A notes has been redeemed for a total of $126.4 million (54.5%). The class A notes have an outstanding balance of $105.6 million and are not rated by Fitch. The class A and B notes have continued to receive current interest throughout the life of the transaction. The class C and D notes have been PIKing since May 2001 and November 2000 respectively. The interest rate swap Interest Rate Swap A deal between banks or companies where borrowers switch floating-rate loans for fixed rate loans in another country. These can be either the same or different currencies. had been a major cause of the recent deterioration in the overcollateralization (OC) levels, as over $6 million in interest proceeds were being allocated to the swap counterparty. Principal proceeds have been used on three previous payment dates to make current interest payments, thus further eroding the OC ratios. The interest rate swap terminated in May 2004, raising 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 IC test from 0% to 288.3%. The most recent payment no longer required principal proceeds to meet the current interest requirements. The class A/B OC test is currently at 80.1%, and Fitch expects the class B notes to incur a loss. 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 Collateralized Debt Obligations,' dated Sept. 13, 2004, available on Fitch's web site at www.fitchratings.com.) |
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