Fitch Ratings affirms all classes of notes issued by
Ares High Yield CSO, Ltd. These affirmations are the result of Fitch's
review process and are effective immediately:
-- US$20,000,000 series B-1 at 'AAA';
-- US$45,500,000 series 2B-1 at 'AAA';
-- EUR25,000,000 series B-2 at 'AAA';
-- JPY500,000,000 series 2B-2 at 'AAA';
-- US$5,000,000 series B-3 at 'AAA';
-- US$3,000,000 series C at 'AA';
-- US$5,000,000 series 2C at 'AA';
-- US$4,000,000 series D at 'AA-';
-- US$10,500,000 series 2D-1 at 'AA-';
-- JPY300,000,000 series 2D-2 at 'AA-';
-- US$4,500,000 series E-1 at 'A';
-- US$2,000,000 series 2E-1 at 'A';
-- JPY1,000,000,000 series E-2 at 'A';
-- JPY100,000,000 series 2E-2 at 'A';
-- US$11,700,000 series G at 'BBB';
-- US$11,070,000 series 2G at 'BBB'.
Ares High Yield CSO, Ltd. is a synthetic collateralized swap obligation giving investors leveraged access to the credit risk of a diverse portfolio of credit default swaps comprising primarily non-investment-grade corporate obligations. Ares High Yield CSO Ltd. (the issuer) gains access to the credit risk of the portfolio via a credit default swap between the issuer and Deutsche Bank AG London, as swap counterparty. The swaps have a scheduled maturity date of Sept. 20, 2010.
These affirmations are the result of the deal's stable performance. Since closing, the collateral's credit quality has remained stable. The credit enhancement levels of all notes have increased and no credit events have occurred since the deal's inception. As of the most recent trustee report available, there were no defaulted assets. There are no assets rated 'CCC+' or lower as of July 31, 2006. Ares Management has a 'CAM2' CDO Asset Manager rating.
The rating of the notes addresses the likelihood that investors will receive full and timely payments of interest and ultimate receipt of principal by the scheduled maturity date. The ratings are based upon the credit quality of the reference portfolio, the financial strength of Deutsche Bank AG London as the swap counterparty, Ares High Yield CSO Management II, L.P. as the reference pool manager, the credit quality of the trust assets, and the legal structure of the transaction.
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004 and also available on Fitch's 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.
-- US$20,000,000 series B-1 at 'AAA';
-- US$45,500,000 series 2B-1 at 'AAA';
-- EUR25,000,000 series B-2 at 'AAA';
-- JPY500,000,000 series 2B-2 at 'AAA';
-- US$5,000,000 series B-3 at 'AAA';
-- US$3,000,000 series C at 'AA';
-- US$5,000,000 series 2C at 'AA';
-- US$4,000,000 series D at 'AA-';
-- US$10,500,000 series 2D-1 at 'AA-';
-- JPY300,000,000 series 2D-2 at 'AA-';
-- US$4,500,000 series E-1 at 'A';
-- US$2,000,000 series 2E-1 at 'A';
-- JPY1,000,000,000 series E-2 at 'A';
-- JPY100,000,000 series 2E-2 at 'A';
-- US$11,700,000 series G at 'BBB';
-- US$11,070,000 series 2G at 'BBB'.
Ares High Yield CSO, Ltd. is a synthetic collateralized swap obligation giving investors leveraged access to the credit risk of a diverse portfolio of credit default swaps comprising primarily non-investment-grade corporate obligations. Ares High Yield CSO Ltd. (the issuer) gains access to the credit risk of the portfolio via a credit default swap between the issuer and Deutsche Bank AG London, as swap counterparty. The swaps have a scheduled maturity date of Sept. 20, 2010.
These affirmations are the result of the deal's stable performance. Since closing, the collateral's credit quality has remained stable. The credit enhancement levels of all notes have increased and no credit events have occurred since the deal's inception. As of the most recent trustee report available, there were no defaulted assets. There are no assets rated 'CCC+' or lower as of July 31, 2006. Ares Management has a 'CAM2' CDO Asset Manager rating.
The rating of the notes addresses the likelihood that investors will receive full and timely payments of interest and ultimate receipt of principal by the scheduled maturity date. The ratings are based upon the credit quality of the reference portfolio, the financial strength of Deutsche Bank AG London as the swap counterparty, Ares High Yield CSO Management II, L.P. as the reference pool manager, the credit quality of the trust assets, and the legal structure of the transaction.
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional deal information and historical data are available on the Fitch Ratings web site at www.fitchratings.com. For more information on the Fitch VECTOR Model, see 'Global Rating Criteria for Collateralised Debt Obligations,' dated Sept. 13, 2004 and also available on Fitch's 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.