Fitch Ratings Affirms SEQUILS/MINCS Cumberland I.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 the following ratings assigned to SEQUILS Cumberland I (SEQUILS) and MINCS MINCS Mixed-Income New Communities Strategy Cumberland I (MINCS) effective immediately: -- $75,000,000 SEQUILS class A-1 notes affirmed at 'AAA'; -- $390,000,000 SEQUILS class A-2 notes affirmed at 'AAA'; -- $35,000,000 SEQUILS class B notes affirmed at 'A'; -- $65,000,000 MINCS notes affirmed at 'BBB'. SEQUILS and MINCS are cash flow and synthetic collateralized loan obligations 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. (CLOs), respectively, jointly obtaining exposure to a portfolio of high-yield, U.S. senior bank loans. SEQUILS obtains access to the economics of the loan portfolio via the purchase or the assignment of loans utilizing the funds obtained from the SEQUILS note issuance. MINCS obtains access to the economics of the portfolio by synthetically referencing the portfolio via credit default swaps 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. between SEQUILS, JPMorgan Chase JPMorgan Chase (NYSE: JPM TYO: 8634 ) is one of the oldest financial services firms in the world. The company, headquartered in New York City, is one of the leaders in investment banking, financial services, asset and wealth management and private equity. With assets of $1. Bank, and MINCS. The MINCS program is essentially a first-loss, credit enhancement Credit Enhancement A method whereby a company attempts to improve its debt or credit worthiness. Notes: Credit enhancements take many different forms. An example of a credit enhancement would be conversion rights added on to a debt instrument in order to lower the issuing to the SEQUILS program. Deerfield Capital Management LLC (Logical Link Control) See "LANs" under data link protocol. LLC - Logical Link Control is the asset manager. Since the last review in June 2003, the transactions have experienced positive year-over-year performance. As of the December 2004 trustee report, the defaulted and/or credit impaired assets have decreased from over approximately $5.5 million to approximately $2.1 million and the credit quality of the overall portfolio has remained stable at a 'BB-/B+' weighted average rating. Additionally, the SEQUILS reserve account balance increased from approximately $1.4 million to $2.8 million, the SEQUILS threshold utilization test remained at 0% and the MINCS deficit ratio declined from approximately 4.8% to approximately .08%. Accordingly, as a result of Fitch's analysis, Fitch has determined that the current ratings assigned to all rated notes reflect the current risk to noteholders. Fitch assigned a rating for the SEQUILS notes to the timely return of interest and ultimate return of principal. The MINCS notes are rated to the ultimate payment of basic interest and principal. Additionally, the ratings assigned to the SEQUILS and MINCS notes do not address the payment of any additional interest or distributions. Fitch will continue to monitor and review this transaction as the leveraged loan market continues to experience tight loan spreads and historically high market values. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. |
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