Fitch Ratings Upgrades Solstice ABS CDO, LTD.Business Editors NEW YORK--(BUSINESS WIRE)--Feb. 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. upgrades the $10,420,042 class C mezzanine floating rate notes due 2036 of Solstice ABS 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 , Ltd (CDO) to 'A-' from 'BBB'. The rating action reflects the deleveraging of the collateralized debt obligation Collateralized Debt Obligation (CDO) A general inclusive term which covers Collateralized Bond Obligations, Collateralized Loan Obligations, and Collateralized Mortgage Obligations, (CDO), as the principal balances of the class C notes have been paid down by approximately 16.6% over the past year and a half from excess spread in the transaction. This is due to the equity cap structured into the CDO, whereby excess spread is paid to the equityholder in an amount of up to 26% per annum, and any excess spread above the 26% cap is then diverted to pay down the principal balance of the class C notes. Therefore, although the CDO is in its revolving period, during which time any principal receipts from the collateral are reinvested in new collateral unless a coverage test is tripped, the CDO may still amortize the class C notes from interest if there are excess proceeds. Fitch views this equity cap feature as being positive for the rated notes of the CDO, as it traps excess spread that would otherwise flow out of the deal and directs it to pay down the most expensive liabilities, without reducing the credit enhancement to the senior notes. Fitch modeled this transaction over various default rate timing, interest rate, and prepayment speed assumptions. Given that the CDO is still in its revolving period, during which time the portfolio composition may change, the transaction was modeled using the deal parameters, including weighted average coupon Weighted average Coupon The weighted average of the gross interest rates of mortgages underlying a pool as of the pool issue date; the balance of each mortgage is used as the weighting factor. (WAC WAC (Women's Army Corps), U.S. army organization created (1942) during World War II to enlist women as auxiliaries for noncombatant duty in the U.S. army. Before 1943 it was known as the Women's Auxiliary Army Corps (WAAC). Its first director was Oveta Culp Hobby. ) and weighted average spread parameters that were lower than what the collateral pool was actually earning as of the November month-end trustee report. Additionally, a WARF WARF Wisconsin Alumni Research Foundation WARF Wide Aperture Research Facility WARF Wartime Active Replacement Factors WARF weighted-average risk factor WARF Wartime Attrition and Replacement Factors WARF Whylie Animal Rescue Foundation parameter of 17 ('BBB'/'BBB-'), which is also the current WARF, was used to model the transaction. Solstice ABS CDO, Ltd., which closed April 18, 2001, is a structured finance collateralized debt obligation (CDO) managed by Rabobank International (Rabobank). Rabobank has over $15.5 billion in assets under management Assets Under Management (AUM) is a term used by financial services companies in the mutual fund and money management or investment management business to gauge how much money they are managing. , as of Jan. 31, 2003. |
|
||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion