Fitch Ratings Affirms 7 Classes of Northwoods Capital II, Ltd.Business Editors NEW YORK--(BUSINESS WIRE)--Nov. 4, 2003 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 seven classes of notes issued by Northwoods Capital II, Ltd (Northwoods II). These affirmations are the result of Fitch's annual review process. The following rating actions are effective immediately: -- $229,000,000 class I senior notes 'AAA'; -- $76,000,000 class II senior notes 'AA'; -- $36,000,000 class III mezzanine mez·za·nine n. 1. A partial story between two main stories of a building. 2. The lowest balcony in a theater or the first few rows of that balcony. notes 'A'; -- $35,000,000 class IV mezzanine notes 'BBB+'; -- $12,000,000 class V mezzanine notes 'BBB'; -- $7,000,000 class VI mezzanine notes 'BB'; -- $10,000,000 combination notes 'BBB'. Northwoods II is a collateralized loan obligation Collateralized loan obligation (CLO) A security backed by a pool of commercial or personal loans , structured so that there are several classes of bondholders with varying maturities, called tranches. Similar in structure to Collateralized Mortgage Obligations. (CLO CLO See: Collateralized Loan Obligation. ) managed by Angelo, Gordon & Co., (Angelo, Gordon). The CLO was issued March 23, 2000 and is primarily comprised of high yield senior secured loans. Fitch has reviewed in detail the portfolio performance of Northwoods II. In conjunction with this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. Angelo Gordon is a private investment firm based in New York City New York City: see New York, city. New York City City (pop., 2000: 8,008,278), southeastern New York, at the mouth of the Hudson River. The largest city in the U.S. that is focused on alternative investments. The firm currently manages over $10 billion in assets. Angelo Gordon has historically invested in distressed assets. While Northwoods II has a 20% bucket for discounted senior secured loans, Angelo Gordon is currently focusing on the par senior secured loans for the portfolio. The Northwoods II portfolio has experienced some deterioration de·te·ri·o·ra·tion n. The process or condition of becoming worse. since its inception, with a reduction in its overcollateralization levels of approximately 4%. The target par amount of the portfolio at inception was $423 million. The overcollateralization (OC) test balance, which discounts defaulted assets at the lower of market price or recovery and values discounted asset purchases at par, was as high as $429 million in September 2000 and as low as $405 million in April 2003. As of the latest available trustee report, the OC test balance is currently approximately $411 million, which is available to cover $395 million of rated liabilities. The $6 million improvement in the OC test balance from April 2003, is partially attributed to realized gains Realized Gain A gain resulting from selling an asset at a price higher than the original purchase price. Notes: There may be tax consequences for a realized profit. on previously defaulted securities. The current portfolio has $22 million of defaulted securities which represents 5.8% of the total collateral balance (excluding cash). Approximately half of the defaulted assets are currently trading above the assumed recovery rate for the OC test balance calculation. Angelo, Gordon has been successfully managing this portfolio and as a result, the portfolio is currently passing all of its performance tests under Fitch guidelines guidelines, n.pl a set of standards, criteria, or specifications to be used or followed in the performance of certain tasks. . Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven breakeven 1. The level of output or sales necessary to cover fixed expenses. Companies in industries that have high fixed costs and, consequently, high breakevens, such as automobile and steel manufacturing, are likely to exhibit large fluctuations default rates going forward relative to the minimum cumulative default rates required for the rated liabilities. As a result of this analysis, Fitch has determined that the original ratings assigned to the notes still reflect the current risk to noteholders. 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'. |
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