Fitch Rates Kimberlite CDO I, Ltd./LLC.
--$79,375,000 class A senior floating-rate notes, due 2050 'AAA';
--$40,125,000 class B senior floating-rate notes due 2050 'AA';
--$45,750,000 class C mezzanine floating-rate deferrable notes due 2050 'A+';
--$10,125,000 class D mezzanine floating-rate deferrable notes due 2050 'A';
--$9,750,000 class E mezzanine floating-rate deferrable notes due 2050 'A-';
--$11,625,000 class F mezzanine floating-rate deferrable notes due 2050 'BBB+';
--$12,000,000 class G mezzanine floating-rate deferrable notes due 2050 'BBB-';
--$22,500,000 class H mezzanine floating-rate deferrable notes due 2050 'BB'.
The ratings of the class A and B notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date. The ratings of the class C through H notes address the likelihood that investors will receive ultimate interest payments, as per the governing documents, as well as the aggregate outstanding amount of principal by the stated maturity date.
The ratings will be based on the quality of the initial portfolio assets, as well as the credit enhancement provided by support from the preference shares, the excess spread, the reserve account, and the protections incorporated within the structure.
Kimberlite CDO I, represents a hybrid collateralized debt obligation (CDO) transaction that combines the use of synthetic and cash assets, as well as unfunded and funded liabilities. Kimberlite CDO I structure will have an approximately $500.0 million unfunded super-senior class and issue approximately $250.0 million of funded notes and funded subordinated notes and invest in a $750 million portfolio of approximately 90% credit default swaps (CDS) and approximately 10% cash securities, primarily referencing commercial mortgage-backed securities (CMBS). The collateral will be selected and managed by BlackRock Financial Management, Inc. (BlackRock). BlackRock will have 120 days from the closing date to ramp up the portfolio to the target par amount of $750.0 million. The notes will have a stated maturity of May 2050.
During the 5 year reinvestment period, the asset manager may annually trade up to 15% of the total portfolio balance on a discretionary basis, along with any credit risk, defaulted or credit impaired securities as determined by the asset manager.
The quality of the collateral will have a maximum Fitch weighted average rating factor (WARF) of 9.0 ('BBB-/BB+'). Structural features include the reserve account which is funded from cash proceeds. In the case of any credit events with respect to the CDS and total return swap (TRS) contracts, collateral interest collections, collateral principal collections and the reserve account will initially be used to make interest shortfall and credit protection payments. After the reserve account has been depleted, the liquidity facility will be drawn upon to make interest shortfall and credit protection payments. The outstanding liquidity facility drawn amount receives interest of three-month London Interbank Offered Rate (LIBOR) + 35 basis points (bps), while the undrawn portion of the super-senior class will receive an ongoing commitment fee of 12 bps ongoing.
During the five-year reinvestment period, the collateral manager may use cash principal collections to purchase additional collateral for the portfolio or may enter into additional CDS or TRS transactions in the event of CDS or TRS contract expiry. The collateral manager may also use the available TRS facility to gain exposure to cash assets and synthetic assets structured as credit-linked notes and to effect conversions between cash and synthetic assets
After the reinvestment period, principal proceeds will be paid sequentially for the remainder of the deal. Upon the expiration of the CDS or TRS contracts during this period, CDS or TRS notional reductions will be used to reduce the unfunded portion of the super-senior class.
The portfolio for Kimberlite will be managed by Blackrock Financial Manager, Inc., rated CAM 1 by Fitch. BlackRock Financial Management, Inc. (BlackRock), headquartered in New York City, is one of the largest publicly traded investment management companies in the U.S., with $414 billion of assets under management as of June 30, 2005. BlackRock manages assets for both retail and institutional investors and offers a variety of equity, fixed income, liquidity, and alternative investment products. In addition, BlackRock offers a broad range of tools and services, from risk analytics to highly sophisticated enterprise investment systems, designed to streamline the investment management process for large institutional investors through its BlackRock Solutions group.
For more information, see the presale report 'Kimberlite CDO I, Ltd.' available on the Fitch Ratings web site at www.fitchratings.com.
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|Date:||Sep 28, 2006|
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