Fitch Ratings Affirms Two Classes Of Brant Point CBO 1999-1, Ltd.Business Editors NEW YORK--(BUSINESS WIRE)--Feb. 21, 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. affirms two classes of notes issued by Brant brant or brant goose, common name for a species of wild sea goose. The American brant, Branta bernicla, breeds in the Arctic and winters along the Atlantic coast. Point CBO CBO See: Collateralized Bond Obligation. 1999-1, Ltd (Brant Point). These affirmations are the result of Fitch's annual review process. The following rating actions are effective immediately: -- $48,750,000 class C third priority senior secured notes 'BBB-'; -- $18,118,214 class D fourth priority senior secured notes 'BB'. Fitch fitch: see polecat. does not rate the class A or class B notes of Brant Point. Brant Point is a collateralized bond obligation Collateralized Bond Obligation (CBO) Investment-grade bonds backed by a collection of junk bonds with different levels of risk, called tiers, that are determined by the quality of junk bond involved. (CBO) managed by Sankaty Advisors, Inc. (Sankaty). Fitch has reviewed in detail the portfolio performance of Brant Point. In conjunction with this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. The Brant Point portfolio has experienced some deterioration de·te·ri·o·ra·tion n. The process or condition of becoming worse. since its inception with a cumulative reduction in its overcollateralization levels of between 6% and 8% on average. The current portfolio has 7% in defaulted securities and 12% in securities rated 'CCC+' or lower (excluding defaults). Sankaty has been successfully managing this portfolio, trading premium securities and reinvesting the proceeds in par assets without further reducing the credit quality of the portfolio. Despite some of the deterioration in the portfolio, Brant Point is performing well due to some of the deal's structural features, including the ability of the asset manager to keep equity distributions in the deal and a $10 million interest reserve account that is still fully available, is not included in the coverage test calculations and provides additional support to the deal in the event that a coverage test is breached. Very few other transactions of this vintage contain the same interest reserve account feature. 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 assigned as·sign tr.v. as·signed, as·sign·ing, as·signs 1. To set apart for a particular purpose; designate: assigned a day for the inspection. 2. to the class C and D 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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