Fitch Ratings Affirms 2 Tranches of BISTRO 2000-6.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. affirms two tranches of BISTRO 2000-6, as follows: -- $300,000,000 class A notes at 'AA-'; -- $100,000,000 class B notes at 'BB'. BISTRO 2000-6 (BISTRO) is a synthetic balance sheet 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 ) established by JP Morgan to provide credit protection on a $4 billion portfolio of investment-grade loans. The above referenced notes are supported by the cash flows of the collateral, as well as the 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. premium paid by JP Morgan. The ratings assigned to the notes address the timely payment of interest and the ultimate payment of principal. Fitch has reviewed the credit quality of the individual assets constituting the portfolio. Since Fitch's last rating action in July 2003, the performance of the reference portfolio has remained relatively stable, along with minimal credit migration. BISTRO has experienced one credit event during this time; Interstate Brands Corporation filed for bankruptcy in September 2004 but Fitch estimates a low credit protection payment due to a high recovery price on the underlying loan. Accordingly, Fitch has determined that the ratings assigned, as indicated above, reflect the current risk to noteholders. As a result of earlier deterioration in credit quality of several of the underlying assets, as well as higher-than-expected credit protection payments under the credit default swap, $100,000,000 class C and $30,000,000 class D notes were downgraded in 2003 to 'D'. Fitch will continue to monitor and review this transaction for future rating adjustments as needed as needed prn. See prn order. . Additional deal information and historical data are available on the Fitch Ratings web site at 'www.fitchratings.com'. |
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