S&P Places Dilmun Capital II Mezz Note Rtg on Watch.Business Editors NEW YORK--(BUSINESS WIRE)--April 24, 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. today placed its rating on the mezzanine mez·za·nine n. 1. A partial story between two main stories of a building. 2. The lowest balcony in a theater or the first few rows of that balcony. notes issued by Dilmun Capital II Ltd., a high-yield arbitrage arbitrage: see foreign exchange. arbitrage Business operation involving the purchase of foreign currency, gold, financial securities, or commodities in one market and their almost simultaneous sale in another market, in order to profit from price CBO CBO See: Collateralized Bond Obligation. transaction managed by AIG AIG addressee indicator group (US DoD) AIG American International Group, Inc AiG Answers in Genesis (religious group in defense of Scripture) AIG Artificial Intelligence Group AIG Australian Industry Group Global Investments Corp., on CreditWatch with negative implications. AIG Global Investments Corp. assumed management of the deal March 25, 2003. At the same time, the 'AAA' rating on the senior class notes is affirmed, based on a financial guarantee insurance policy issued by MBIA MBIA Montana Building Industry Association MBIA Municipal Bond Insurance Association MBIA Michigan Boating Industries Association MBIA Municipal Bond Investors Assurance MBIA Massachusetts Brain Injury Association MBIA Maryland Business Incubation Association Insurance Corp. (see list). The CreditWatch placement reflects factors that have negatively affected the 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 support the notes since the last rating action on Jan. 7, 2003. These factors include continuing par erosion of the collateral pool securing the rated notes and a negative migration in the credit quality of the performing assets in the pool. As of the most recently available monthly trustee report (March 31, 2003), the deal holds $22.05 million worth of securities that are in default, of which $9.8 million was experienced since the last rating action. Standard & Poor's noted that as a result of asset defaults, the overcollateralization ratios for the transaction have suffered since the last rating action. 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. the March 31, 2003 trustee report, the overcollateralization ratio for the mezzanine class notes was at 93.85%, versus the minimum required ratio of 105.1%, and compared to a ratio of 102.51% at the time of the last rating action. The overcollateralization ratio for the senior class notes was at 98.76%, versus the minimum required ratio of 109.60%, and compared to a ratio of 107.51% at the time of the last rating action. Standard & Poor's noted that its Trading Model test, a measure of the ability of the credit quality in the portfolio to support the rating on a given tranche Tranche One of several related securities offered at the same time. Tranches from the same offering usually have different risk, reward, and/or maturity characteristics. tranche A class of bonds. , is out of compliance, according to the March trustee report. Further, $20.19 million of the securities currently in the portfolio come from obligors with ratings currently on CreditWatch with negative implications. Standard & Poor's will be reviewing the results of current cash flow runs generated for Dilmun Capital II Ltd. to determine the level of future defaults the rated class can withstand under various stressed default timing and interest rate scenarios, while still paying all of the interest and principal due on the notes. The results of these cash flow runs will be compared with the projected default performance of the performing assets in the collateral pool to determine whether the ratings currently assigned to the notes remain consistent with the credit enhancement available.
RATING PLACED ON CREDITWATCH NEGATIVE
Dilmun Capital II Ltd.
Rating
Class To From Balance (mil. $)
Mezzanine Notes BB-/Watch Neg BB- 10.55
RATING AFFIRMED
Dilmun Capital II Ltd.
Class Rating Balance (mil. $)
Senior Notes AAA 201.72
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