Fitch Ratings Affirms Loan Funding Corp. 2003-1.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 classes of notes issued by Loan Funding Corp. 2003-1 (Loan Funding Corp.) as follows: --$25,000,000 class A notes at 'BBB'; --$12,000,000 class B notes at 'BB'. Loan Funding Corp. is a synthetic collateralized debt obligation Synthetic Collateralized Debt Obligation An artificial collateralized debt obligation that is backed by a pool of credit derivatives. Notes: Rather than the traditional pools of assets such as bonds and loans, the pools of credit derivatives that back synthetic CDOs (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 on July 10, 2003 and managed by Guggenheim Investment Management LLC (Logical Link Control) See "LANs" under data link protocol. LLC - Logical Link Control . Note proceeds are invested in senior bank notes rated 'AA' or higher by Fitch, and pledged as collateral to support a leveraged total return swap Total Return Swap Any swap in which the non-floating rate side is based on the total return of an equity or fixed income instrument with a life longer than the swap. Notes: Total return swaps are most common in equity or physical commodity markets. program, referencing a portfolio of predominately non-investment-grade senior secured loans. These affirmations are the result of the offsetting effects of decreased credit quality and improved credit enhancement to the class A and class B notes. The weighted average rating factor has deteriorated to 53.6 ('B/B-'), according to the July 24, 2006 trustee report, from 50.8 ('B+/B'), as reported in the March 31, 2005 trustee report, and is now breaching its maximum covenant of 51.1. During this same period, the weighted average spread has also declined to 2.9% from 3.0%. Counterbalancing these negative changes, accumulated excess spread and market value increases of the reference portfolio loans have resulted in a net collateral value increase of approximately $1.6 million since the last review and $8.4 million since close, providing additional credit enhancement to the notes. Excess spread is captured each period in an amount determined by several market value tests or based upon a minimum diversion amount. Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates relative to the minimum cumulative default rates required for the rated liabilities. The rating on the class A notes addresses timely payment of interest and repayment of principal on the stated maturity date. The rating on the class B notes addresses ultimate payment of interest and principal on the stated maturity date. 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 Collateralised Debt Obligations,' dated Sept. 13, 2004 and also available www.fitchratings.com. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.fitchratings.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. |
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