Fitch Ratings Upgrades Fifth Avenue CBO, Ltd.Business Editors 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 upgraded three classes of notes issued by Fifth Avenue CBO CBO See: Collateralized Bond Obligation. , Ltd., 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) backed predominately by emerging market sovereign and corporate debt. The following securities have been upgraded and removed from Rating Watch Positive: --$235,286,165 class A senior secured floating-rate notes Floating-rate note (FRN) Note whose interest payment varies with short-term interest rates. floating-rate note An unsecured debt issue with an interest rate that is reset at specified intervals (usually every six months) according to a due 2010 to 'AAA' from 'AA'; --$49,470,000 class B senior secured floating-rate notes due 2013 to 'BBB+' from 'BBB-'; --$76,120,000 subordinated notes due 2013 to 'BB-' from 'B'. Ratings assigned to the class A and class B notes address the likelihood of noteholders receiving timely interest and ultimate return of principal. The rating assigned to the subordinated notes addresses the likelihood of noteholders receiving ultimate return of principal only. The ratings reflect an increase in 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 of the rated notes aided by a significant amount of excess interest used to service interest payments to the subordinated notes and to amortize amortize To write off gradually and systematically a given amount of money within a specific number of time periods. For example, an accountant amortizes the cost of a long-term asset by deducting a portion of that cost against income in each period. the senior notes. The class A notes were paid down by approximately $19.7 million since the conclusion of Fifth Avenue CBO Ltd.'s reinvestment Reinvestment Using dividends, interest and capital gains earned in an investment or mutual fund to purchase additional shares or units, rather than receiving the distributions in cash. 1. In terms of stocks, it is the reinvestment of dividends to purchase additional shares. period in March 2001. As of the June 28, 2002 trustee report, Fifth Avenue CBO Ltd.'s senior par value test was passing at 126.69% with a trigger of 115%. The portfolio contained $5.25 million (1.44%) of defaulted assets with an additional $0.92 million (0.26%) of assets rated 'CCC+' or less. The weighted average rating of the collateral pool was between a 'BB' and 'BB-'. Since Fifth Avenue CBO Ltd.'s inception in March 1998, the deal has experienced relatively few defaults, with current and historical defaulted assets primarily attributable to U.S. high yield and Argentine credits. In reaching its rating actions, Fitch reviewed the results of its cash flow model runs after running several different stress scenarios. In addition, Fitch discussed the current portfolio with JP Morgan Investment Management, Inc., the collateral manager, as well as their management strategies for the portfolio going forward. 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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