S&P Asgns Prelim Rtgs in Morgan Stanley's CDO Deal.Business Editors LONDON--(BUSINESS WIRE)--May 14, 2003 Standard & Poor's Ratings Services Ratings Service A company, such as Moody's or Standard & Poor's, that rates various debt and preferred stock issues for safety of payment of principal, interest, or dividends. said today it assigned its preliminary credit ratings to the 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. 100 million secured credit-linked floating-rate notes series 2003-1 to be issued by Arosa Funding Ltd., an SPE SPE - Software Practice and Experience (see list below). The notes are backed by euro-denominated investments in 'AAAm' rated money market funds. The rationale behind this synthetic 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 of ABS is to create a warehouse facility for ABS assets held by Morgan Stanley  To comply with Wikipedia's , the introduction of this article needs a complete rewrite. , either now or
in the future. The initial portfolio size is EUR215 million but is
expected to increase over time, with a maximum limit of EUR2.5 billion.Morgan Stanley & Co. International Ltd., as substitution agent, can make an unlimited number of portfolio substitutions throughout the six-year 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, subject to satisfying eligibility criteria and the portfolio quality tests. "Unlike most other synthetic CDO of ABS transactions, there will not be a market valuation exercise to determine losses," said Mike Nicholson, a credit analyst with Standard & Poor's Structured Finance Ratings group in London. "Instead 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. settlement mechanism has been structured so that actual losses experienced on the underlying portfolio are passed through to the noteholders." The preliminary ratings reflect: -- The credit support in the form of subordination provided by the junior class B notes and the first loss threshold; -- The credit risk of the reference portfolio; -- A review of the mechanics of the credit default swap and the interest rate swap Interest Rate Swap A deal between banks or companies where borrowers switch floating-rate loans for fixed rate loans in another country. These can be either the same or different currencies. ; and -- The substitution criteria for the reference portfolio. The full presale report for this transaction was published today and is available to subscribers of RatingsDirect, Standard & Poor's Web-based credit analysis system, at www.ratingsdirect.com. The presale report can also be found on Standard & Poor's Web site at www.standardandpoors.com. Click on Fixed Income; then, in the left navigation bar A set of buttons or graphic images typically in a row or column used as a central point that link you to major topic sections on a Web site. If the navigation bar is a single graphic image with multiple selections, it is known as an imagemap. See imagemap. under Browse by Sector, select Structured Finance; scroll down to Presale Credit Reports to locate the article. Alternatively, call one of Standard & Poor's Ratings Desks: London (44) 20-7847-7400; Paris (33) 1-4420-6705; Frankfurt (49) 69-33-999-223; or Stockholm (46) 8-440-5916. Members of the media may contact the Press Office Hotline on (44) 20-7826-3605 or via media_europe@standardandpoors.com.
RATINGS LIST
Arosa Funding Ltd.
EUR100 Million Secured Credit-Linked Floating-Rate Notes Series 2003-1
Class Preliminary Preliminary
credit rating amount (Mil. EUR)
A AAA 50
B AA 50
ANALYST E-MAIL ADDRESSES mike_nicholson@standardandpoors.com StructuredFinanceEurope@standardandpoors.com Copyright 2003, Standard & Poor's Ratings Services |
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