Fitch Upgrades Julia CDO LTD.NEW YORK New York, state, United States New York, Middle Atlantic state of the United States. It is bordered by Vermont, Massachusetts, Connecticut, and the Atlantic Ocean (E), New Jersey and Pennsylvania (S), Lakes Erie and Ontario and the Canadian province of -- Fitch upgrades two classes of notes issued by Julia 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 ('Julia CDO'). The following rating actions are the result of Fitch's review process and are effective immediately: --$97,500,000 class I 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 2009 affirmed at 'AAA'; --$34,125,000 class II secured floating-rate notes due 2009 upgraded to 'AAA' from 'AA'; --$29,250,000 class III secured floating-rate notes due 2009 upgraded to 'BBB+' from 'BBB'. These upgrades are the result of the transaction's reduced time to maturity and relatively stable portfolio performance. Since the previous review in November 2004, the weighted average life has reduced to 2.98 years from 4.95 years, reflecting a shorter remaining risk horizon. In October 2005, the transaction experienced a credit event following the default of Delphi Corporation. There was a 51.75% recovery on this reference entity. Julia CDO was established as a 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) to provide mezzanine credit protection on a $975 million diversified static portfolio of 120 equally weighted (notional balance) corporate reference entities, and 15 synthetic CDOs with a notional of $13 million each. The proceeds of the issued notes were used to purchase approximately $161 million of 'AAA' rated floating rate notes. The collateral is pledged to the counterparty to reimburse re·im·burse tr.v. re·im·bursed, re·im·burs·ing, re·im·burs·es 1. To repay (money spent); refund. 2. To pay back or compensate (another party) for money spent or losses incurred. for credit losses on the reference portfolio during the term of the 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. (CDS). Interest earned on the collateral during the term of the CDS along with CDS premiums paid to Julia CDO by the CDS counterparty will be applied to make quarterly interest payments on the rated notes. The ratings are linked to the credit quality of the collateral such that if the collateral is downgraded below 'AAA' the notes will be downgraded accordingly. The ratings on the class I, class II and class III notes address the likelihood that investors will receive full and timely payments of interest and ultimate repayment of the stated balance of principal by the legal final maturity date. 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 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. , Ltd. and their subsidiaries including Derivative Fitch, Inc. and Derivative Fitch Ltd. and any successor or successors thereto. |
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