Fitch Ratings Affirms Six Classes of Citadel Hill 2000 Ltd.Business Editors NEW YORK--(BUSINESS WIRE)--June 19, 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. has affirmed six classes of notes issued by Citadel Hill Citadel Hill is a glacial drumlin located on the Halifax Peninsula. It measures approximately 120 feet above sea level and affords a commanding view of the entrance to Halifax Harbour, as well as nearby George's Island and McNabs Island. 2000 LTD LTD 1 Laron-type dwarfism 2 Leukotriene D 3 Long-term depression, see there 4. Long-term disability ., (Citadel Hill). These affirmations are the result of Fitch's annual review process. The following rating actions are effective immediately: -- $352,733,794 class A-1L notes 'AAA'; -- $45,000,000 class A-2L notes 'AA-'; -- $35,000,000 class A-3L notes 'A-'; -- $17,500,000 class B-1L notes 'BBB'; -- $7,500,000 class B-1C 'BBB'; -- $15,000,000 class B-2L notes 'BB-'. Citadel Hill is a collateralized debt obligation Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (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 ) consisting of high yield loans, bonds and structured assets. The CDO has retained Citadel Hill Advisors LLC (Logical Link Control) See "LANs" under data link protocol. LLC - Logical Link Control as collateral manager. Fitch has reviewed in detail the performance of Citadel Hill. In conjunction with this review, Fitch discussed the current state of the portfolio with the collateral manager and their portfolio management strategy going forward. The Citadel Hill portfolio has experienced some deterioration since its inception in December 2000. According to according to prep. 1. As stated or indicated by; on the authority of: according to historians. 2. In keeping with: according to instructions. 3. the most recent trustee report dated May 16, 2003, defaulted assets totaled $11.8 million or roughly 2.48% of the total portfolio balance. In October 2002, the structure fell below its required class B overcollateralization ratio of 101.50%. As a result of this failure, interest proceeds of $2.2 million were used to reduce the class A-1L notes balance. Citadel Hill's asset coverage improved via the additional coverage test (ACT) which directs interest proceeds to purchase additional collateral securities. As of the May 2003 trustee report, the ACT diverted $5.7 million of interest proceeds over the last four quarters to purchase additional collateral assets. 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 on the above referenced 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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