Wednesday, July 11, 2007
NEW YORK, Jul. 11, 2007 (Business Wire) -- Fitch upgrades two classes, affirms two classes, downgrades one class of notes, and revises the recovery ratings on one class of notes issued by Inner Harbor CBO 1999-1 Ltd. (Inner Harbor). The following rating actions are effective immediately:
--$4,348,346 class A-3L notes upgraded from 'A-' to 'AAA';
--$13,379,527 class A-3 notes upgraded from 'A-' to 'AAA';
--$28,000,000 class A-4A notes affirmed at 'CCC+/DR1';
--$10,000,000 class A-4B notes affirmed at 'CCC+/DR1';
--$9,000,000 class B-1L notes downgraded to 'C/DR4' from 'CC/DR3';
--$5,500,000 class B-2 notes revised to 'C/DR4' from 'C/DR5'.
Inner Harbor is a collateralized debt obligation (CDO) managed by T. Rowe Price Associates, Inc. which closed Dec. 21, 1999. Inner Harbor is composed primarily of High Yield Bonds. Included in this review, Fitch discussed the current state of the portfolio with the asset manager and their portfolio management strategy going forward. In addition, Fitch conducted cash flow modeling utilizing various default timing and interest rate scenarios to measure the breakeven default rates going forward relative to the minimum cumulative default rates required for the rated liabilities.
These upgrades are a result of amortization and cash accumulation. The class A-3L and A-3 notes have amortized a total of 66.6% of their original balance since the last review on Nov. 1, 2004. Additionally, $17.7 million of cash principal proceeds have accumulated since the last payment date on Jan. 15, 2007, and are expected to be distributed at the next distribution date on July 15, 2007.
The senior class A overcollateralization test has improved to 372.54% from 136.19% at the last review, and the class A overcollateralization test has improved to 115.81% from 106.69%. Conversely, the class B overcollateralization test has decreased to 87.78% from 98.45% at the last review, and continues to fail its trigger of 103%. According to the June 2, 2007 trustee report, there are $7.8 million of defaulted assets currently held, comprising 14.6% of the total portfolio (excluding cash).
Due to the structural features of this deal, the class B-1L and class B-2 notes have remained current on interest with the application of a portion of the CDO's principal proceeds after the interest coverage test is cured in the principal waterfall. Despite their subordination to the B-1L notes, the class B-2 notes have a high coupon of 13.67%, which provides them with a marginal benefit in total expected interest cash flows given this CDO's structure.
The ratings of the classes A-3L and A-3 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 of the classes A-4A, A-4B, B-1L, and B-2 notes address the likelihood that investors will receive ultimate and compensating interest payments, as per the governing documents, as well as 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. 18, 2006 and also available on Fitch's web site at www.derivativefitch.com.
Fitch's Distressed Recovery (DR) ratings, introduced in April 2006 across all sectors of structured finance, are designed to estimate recoveries on a forward-looking basis while taking into account the time value of money. For more information on Distressed Recovery ratings, see the full report ('Structured Finance Distressed Recovery Ratings'), which is available on the Fitch's web site at www.derivativefitch.com.
Fitch's rating definitions and the terms of use 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 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.
Newstex ID: BW-0001-18063577
Delivered by Newstex LLC
via theFinancials.com
e-mail:
Homepage:
