Fitch Ratings Affirms Two Classes of JWS CBO 2000-1, Ltd.Business Editors NEW YORK--(BUSINESS WIRE)--July 9, 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 JWS JWS Jackson-Weiss Syndrome JWS Joint Warfighting Space (DOD warfighter concept integrating responsive space assets to battle theater) JWS Joint Work Statement JWS Java Web Service JWS Java Web Start JWS Java Workshop JWS Java Web Server CBO CBO See: Collateralized Bond Obligation. 2000-1, Ltd. (JWS CBO). These affirmations are the result of Fitch's annual review process. The following rating actions are effective immediately: -- $31,500,000 class C third priority senior secured notes 'BBB'; -- $23,250,000 class D fourth priority senior secured notes 'B+'. Fitch does not rate the class A or class B notes of JWS CBO. JWS CBO, 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 Stonegate Capital Management, L.L.C. (Stonegate), was established in July 2000 and currently maintains most of its invested note proceeds in senior unsecured and subordinated bonds Subordinated bonds Securities that fall after others in priority of claims on the entity in the case of financial distress. . Fitch has reviewed in detail the portfolio performance of JWS CBO. 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 JWS CBO portfolio has experienced some deterioration de·te·ri·o·ra·tion n. The process or condition of becoming worse. since its inception, but has shown improvements over the last year of performance. As of the most recent trustee report dated June 5, 2003, the current portfolio has 3.8% in defaulted securities and 18.6% in securities rated 'CCC+' or lower (excluding defaults) calculated using the lower of the other agencies' ratings. However, only 3.9% of the total collateral that is rated 'CCC+' and below (excluding defaults) is trading below 70, which is higher than Fitch's expected recovery rates on defaulted senior unsecured bonds Noun 1. unsecured bond - the ability of a customer to obtain goods or services before payment, based on the trust that payment will be made in the future debenture, debenture bond and subordinated bonds of 40% and 20%, respectively. Stonegate has been managing this portfolio well by trading premium securities and reinvesting the proceeds in par or below assets, thereby improving the structures overcollateralization (OC) levels. Although there have been three payment dates with a failing OC test, JWS CBO has had sufficient excess interest to cure the test and continue paying current interest on the class C and D notes. During this period, paydowns due to a failing OC test resulted in a class A principal reduction of approximately $10 million. As of the most recent trustee report, JWS CBO is passing all of its OC tests and its interest coverage tests. 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 current ratings assigned 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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