Fitch Ratings affirms the bond fund volatility ratings
and affirms the bond fund credit ratings of three of the Dow Jones
CDX.NA.HY.3 trusts. The credit linked certificates of each trust
enable investors to gain funded non-levered exposure to the reference
entities of the Dow Jones CDX.NA.HY.3 credit default swap index of
non-investment grade corporations. The exposure to the index
constituents is obtained via credit default swaps between the trust
and ten major financial institutions. The obligations of the trust
under the credit default swaps are collateralized via a reverse
repurchase agreement.
-- Dow Jones CDX.NA.HY.3 Trust 1 Dec. 2009 affirmed at 'B+';
-- Dow Jones CDX.NA.HY.3 Trust 2 Dec. 2009 affirmed at 'BB';
-- Dow Jones CDX.NA.HY.3 Trust 3 Dec. 2009 affirmed at 'B'.
In addition, Fitch affirms the following volatility ratings of the trusts:
-- Dow Jones CDX.NA.HY.3 Trust 1 Dec. 2009 'V3';
-- Dow Jones CDX.NA.HY.3 Trust 2 Dec. 2009 'V3';
-- Dow Jones CDX.NA.HY.3 Trust 3 Dec. 2009 'V3'.
Since last review, Dana Corporation has defaulted causing the entity to be removed from Trust 1 and Trust 2. The credit quality of all three trusts continues to reflect the current rating. Fitch's bond fund credit rating is based on the weighted average credit rating of the underlying reference entities.
As the Dow Jones CDX.NA.HY.3 trusts approach their scheduled maturity date of Dec. 29, 2009, the time remaining in the protection period of the certificates will decrease. Subsequently, volatility rating upgrades may be warranted as the result of decreased market risk exposure. The bond fund volatility rating reflects the relative sensitivity of a fund's total return and market price to changes in interest rates and other market conditions.
Fitch's bond fund credit and volatility ratings do not address the likelihood of a timely or ultimate payment of interest or principal of the securities issued by the trust and should not be considered as a substitute for Fitch's international long or short-term credit ratings. Fitch's rating also does not address the risk associated with the ability of the Credit Default Swap Counterparties, the Repo Counterparty, and the Trust Property to provide payment to the trust.
Funds rated in the 'V3' category are considered to have moderate market risk. Total returns perform consistently over intermediate to long-term holding periods but will exhibit some variability over shorter periods due to greater exposure to interest rates and changing market conditions. Fund volatility ratings are assigned on a scale of 'V1' (least volatile) through 'V10' (most volatile).
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.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.
-- Dow Jones CDX.NA.HY.3 Trust 1 Dec. 2009 affirmed at 'B+';
-- Dow Jones CDX.NA.HY.3 Trust 2 Dec. 2009 affirmed at 'BB';
-- Dow Jones CDX.NA.HY.3 Trust 3 Dec. 2009 affirmed at 'B'.
In addition, Fitch affirms the following volatility ratings of the trusts:
-- Dow Jones CDX.NA.HY.3 Trust 1 Dec. 2009 'V3';
-- Dow Jones CDX.NA.HY.3 Trust 2 Dec. 2009 'V3';
-- Dow Jones CDX.NA.HY.3 Trust 3 Dec. 2009 'V3'.
Since last review, Dana Corporation has defaulted causing the entity to be removed from Trust 1 and Trust 2. The credit quality of all three trusts continues to reflect the current rating. Fitch's bond fund credit rating is based on the weighted average credit rating of the underlying reference entities.
As the Dow Jones CDX.NA.HY.3 trusts approach their scheduled maturity date of Dec. 29, 2009, the time remaining in the protection period of the certificates will decrease. Subsequently, volatility rating upgrades may be warranted as the result of decreased market risk exposure. The bond fund volatility rating reflects the relative sensitivity of a fund's total return and market price to changes in interest rates and other market conditions.
Fitch's bond fund credit and volatility ratings do not address the likelihood of a timely or ultimate payment of interest or principal of the securities issued by the trust and should not be considered as a substitute for Fitch's international long or short-term credit ratings. Fitch's rating also does not address the risk associated with the ability of the Credit Default Swap Counterparties, the Repo Counterparty, and the Trust Property to provide payment to the trust.
Funds rated in the 'V3' category are considered to have moderate market risk. Total returns perform consistently over intermediate to long-term holding periods but will exhibit some variability over shorter periods due to greater exposure to interest rates and changing market conditions. Fund volatility ratings are assigned on a scale of 'V1' (least volatile) through 'V10' (most volatile).
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, www.fitchratings.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.
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