Fitch Ratings Upgrades One Class of Oasis CBO Ltd.Business Editors CHICAGO--(BUSINESS WIRE)--Dec. 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 upgraded the rating on the following class of notes issued by Oasis CBO CBO See: Collateralized Bond Obligation. Ltd. (Oasis), 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 by US corporate and emerging market bonds and loans: -- $86,800,000 second priority senior notes to 'A+' from 'BBB-'. In conjunction with the upgrade, Fitch has removed the aforementioned notes from Rating Watch Positive and has affirmed the following class of notes: -- $219,876,224 senior notes 'AAA'. Having exited its revolving period in May 2002, Oasis is currently de-levering sequentially in order of seniority. Oasis is also currently benefiting from a favorable interest rate mismatch between its underlying collateral pool and its issued liabilities, having approximately 36% fixed-rate collateral versus 100% 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 . Absent an interest rate hedge coupled with a low interest rate environment, Oasis benefits from a significant amount of excess spread. Consequently, the increased amount of 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 available to the rated notes is, in Fitch's opinion, sufficient to warrant an upgrade. 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. its Nov. 21, 2003 trustee report, Oasis' senior par value test was at 166.43% versus a 153.8% trigger, and its second priority par value test was at 129.26% versus a 128.7% trigger. As of the same date, the collateral pool included a par amount of $67.06 million (11.90%) of defaulted assets. In reaching its rating actions, Fitch had conversations with Morgan Stanley  To comply with Wikipedia's , the introduction of this article needs a complete rewrite. Asset Management, the collateral manager, regarding the portfolio. Furthermore, Fitch reviewed the results of its cash flow model runs after running several different default timing and interest rate stress scenarios, including scenarios in which interest rates rise. Fitch will continue to monitor this transaction. Deal information and historical performance data for this transaction is available on the Fitch Ratings web site at 'www.fitchratings.com'. |
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