Fitch Ratings Affirms Senior Notes Of Enhanced Loan Facility I, Ltd.Business Editors NEW YORK--(BUSINESS WIRE)--June 18, 2003 Fitch Ratings affirms the senior notes of Enhanced Loan Facility I, Ltd. (ELF I). The transaction 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 enables investors to gain exposure to the economics of a reference loan portfolio via a total rate of return swap between the trust and Swiss Re Financial Products (SRFP SRFP Sub-Regional Focal Point (disaster preparedness term) ), a wholly owned subsidiary Wholly Owned Subsidiary A subsidiary whose parent company owns 100% of its common stock. Notes: In other words, the parent company owns the company outright and there are no minority owners. of Swiss Reinsurance The contract made between an insurance company and a third party to protect the insurance company from losses. The contract provides for the third party to pay for the loss sustained by the insurance company when the company makes a payment on the original contract. Company, on a leveraged basis. The reference asset portfolio is managed by Highland Capital Management. The following security has been affirmed: -- $57,000,000 senior notes 'BBB'. ELF I, was established to enter into a total rate of return swap with SRFP referencing a $330 million high-yield loan portfolio. The transaction was closed in October 1999 and matures in October 2011. As stated in the June 2003 transaction report, ELF I is maintaining a 5.3 times (x) leverage, with a reference asset amount of $320.9 million. The weighted average spread on the reference assets is 3.89%, the 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 ) is 51.3 ('B+/B'), and the transaction is currently in compliance with the Threshold Value Condition. A review of the transaction, including analyses under Fitch Rating's stressed loan interest spread and default scenarios, has led to the conclusion that the 'BBB' rating of the Senior Notes is representative of the current credit risk to investors. Fitch will continue to monitor this transaction. Deal information and historical data on ELF I is available on the Fitch Ratings web site at 'www.fitchratings.com'. |
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