Fitch Ratings has affirmed the ratings on six classes of
floating-rate notes issued by R.F. Alts Finance I Ltd., series 1 and
2:
R.F Alts Finance I Ltd., series 1:
-- GBP7,125,000 class A at 'BB-';
-- GBP4,500,000 class B at 'B-/Distressed Rating (DR)1';
-- GBP3,000,000 class C remains at 'C/DR5'.
R.F Alts Finance I Ltd., series 2:
-- EUR23,750,000 class A at 'BB-';
-- EUR15,000,000 class B 'B-/DR1';
-- EUR10,000,000 class C remains at 'C/DR5'.
Both transactions are collateralized debt obligations (CDOs) of credit-linked notes (CLNs) referencing the same issuers of emerging market sovereign debt, emerging market corporate debt, and U.S. corporate debt.
Since the last rating action, the reference pool has deteriorated; however, previous rating actions factored in expected future losses; thus, enough subordination remains to maintain the current ratings. The reference pool erosion was mainly due to the default of Dana Corp. and no settlement has been reached. In addition, the Global Crossing and Argentina credit events have been settled at the minimum set recovery of 35%.
Regarding recoveries of the class B and C notes, all rated notes remain current on interest payments. However, the class C notes will likely experience principal impairments as the unrated first loss position has been largely compromised by previous losses. The eventual settlement of Dana Corp. could completely erode any residual first loss protection. Due to the leveraged nature of the structure, any further defaults could put the class B notes at risk depending on the extent of loss. However, even if further losses are suffered beyond Dana, recovery prospects for the class B notes remain highly favorable due to current subordination levels.
Additional deal information and historical data are available on the Fitch Ratings web site at 'www.fitchratings.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 Ratings web site at 'www.fitchratings.com'.
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.
R.F Alts Finance I Ltd., series 1:
-- GBP7,125,000 class A at 'BB-';
-- GBP4,500,000 class B at 'B-/Distressed Rating (DR)1';
-- GBP3,000,000 class C remains at 'C/DR5'.
R.F Alts Finance I Ltd., series 2:
-- EUR23,750,000 class A at 'BB-';
-- EUR15,000,000 class B 'B-/DR1';
-- EUR10,000,000 class C remains at 'C/DR5'.
Both transactions are collateralized debt obligations (CDOs) of credit-linked notes (CLNs) referencing the same issuers of emerging market sovereign debt, emerging market corporate debt, and U.S. corporate debt.
Since the last rating action, the reference pool has deteriorated; however, previous rating actions factored in expected future losses; thus, enough subordination remains to maintain the current ratings. The reference pool erosion was mainly due to the default of Dana Corp. and no settlement has been reached. In addition, the Global Crossing and Argentina credit events have been settled at the minimum set recovery of 35%.
Regarding recoveries of the class B and C notes, all rated notes remain current on interest payments. However, the class C notes will likely experience principal impairments as the unrated first loss position has been largely compromised by previous losses. The eventual settlement of Dana Corp. could completely erode any residual first loss protection. Due to the leveraged nature of the structure, any further defaults could put the class B notes at risk depending on the extent of loss. However, even if further losses are suffered beyond Dana, recovery prospects for the class B notes remain highly favorable due to current subordination levels.
Additional deal information and historical data are available on the Fitch Ratings web site at 'www.fitchratings.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 Ratings web site at 'www.fitchratings.com'.
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.