Fitch Upgrades HALCYON 2005-1, Ltd.NEW YORK -- Fitch upgrades two classes of notes issued by HALCYON 2005-1, Ltd (HALCYON). The following rating actions are the result of Fitch's review process and are effective immediately: --EUR51,875,000 class A notes due July 25, 2056 affirmed at 'AAA'; --EUR15,000,000 class B notes due July 25, 2056 upgraded to 'AA+' from 'AA'; --US$15,750,000 class C notes due July 25, 2056 upgraded to 'A-' from 'BBB'. These upgrades are the result of improved portfolio quality and reduced time to maturity. There have been some upgrades in the subordinate classes of the reference obligations, which have fortified their 'AAA' ratings. Since closing, the reference obligations have maintained their 'AAA' ratings, keeping the Fitch Weighted Average Rating Factor at 0.19. As of the Oct. 25, 2006 trustee report, the reference obligations had not experienced any credit events. In addition, there have not been any principal paydowns or interest shortfalls. HALCYON is a static synthetic collateralized debt obligation Synthetic Collateralized Debt Obligation An artificial collateralized debt obligation that is backed by a pool of credit derivatives. Notes: Rather than the traditional pools of assets such as bonds and loans, the pools of credit derivatives that back synthetic CDOs (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 ) that issued US$15.75 million and EUR EUR In currencies, this is the abbreviation for the Euro. Notes: The currency market, also known as the Foreign Exchange market, is the largest financial market in the world, with a daily average volume of over US $1 trillion. 66.875 million in credit-linked notes and closed on July 25, 2005. The note proceeds collateralize collateralize To pledge an asset as security for a loan. A loan to a broker is collateralized by pledging securities. a credit default swap Credit Default Swap A swap designed to transfer the credit exposure of fixed income products between parties. Notes: The buyer of a credit swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. that references a $1.5 billion portfolio of 30 'AAA' rated CMBS CMBS See: Commercial Mortgage Backed Securities assets with Hypo Public Finance Bank (HPFB HPFB Health Products and Food Branch (Canada) ), the swap counterparty. HPFB buys protection from the issuer on US$96 million of realized losses in the portfolio; the U.S. dollar losses are converted into Euros at a fixed exchange rate of US$1.20 to EUR1 to the extent such losses are applied to the euro-denominated class A and class B notes. The issuer has entered into an investment contract with Pallas Capital Corp. ('AAA/F1+') to mitigate the collateral market value risk associated with the U.S. denominated collateral and the proceeds of the euro notes are invested in short-term money market investments rated 'F1' by Fitch. The ratings of the notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The ratings are based upon the credit quality of the reference portfolio, the financial strength of HPFB, as the swap counterparty, the credit quality of the collateral assets, and the legal structure of the transaction. Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Derivative Fitch web site at www.derivativefitch.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Oct. 4, 2006 and also available on Fitch's web site. Fitch's rating definitions and the terms of use Terms of Use are rules set up by the owner of an intellectual property or service to govern how they may be legally used. In many cases, terms of service are used as a contractual agreement between a company and users of a service they provide. of such ratings are available on the agency's public site, www.derivativefitch.com. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures Policies and Procedures are a set of documents that describe an organization's policies for operation and the procedures necessary to fulfill the policies. They are often initiated because of some external requirement, such as environmental compliance or other governmental are also available from the 'Code of Conduct' section of this site. Fitch means Fitch, Inc., Fitch Ratings, Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto. |
|
||||||||||||||
Printer friendly
Cite/link
Email
Feedback
Reader Opinion