Fitch Ratings Affirms Malibu Loan Fund, Ltd.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 one class of notes issued by Malibu Loan Fund, Ltd. (Malibu). The following rating action is effective immediately: --$63,300,000 class B affirmed at 'BBB'. Malibu is a synthetic 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. ) that closed on Sept. 30, 2005 and provides investors leveraged exposure to a diversified portfolio of high yield senior loans utilizing a total rate of return swap with Citibank, N.A. Malibu is managed by Aegon USA Investment Management and its reinvestment period ends in November 2014. This affirmation is a result of the stable credit quality of the reference portfolio. Since closing, the portfolio's 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 ) has remained in the 'BB-/B+' range, with a WARF of 21, according to the most recent trustee report dated Aug. 31, 2006, which is below the maximum WARF of 27. The current weighted average spread is 2.16% and the current weighted average market price of the reference obligations is 99.89, which is showing stability relative to the weighted average original price of 100.01. The Aug. 31, 2006 report shows an unrealized mark-to-market loss of $494,358 and is performing within expectations. Fitch has determined that the current ratings assigned to the notes continue to reflect the current risk to the noteholders. The rating of the notes addresses the likelihood that the payment of amounts to the noteholders will be sufficient to produce a yield to maturity of not less than the notes' interest rate if held to the stated maturity, but does not address the timing of payments. 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 on Fitch's web site at 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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