Fitch Ratings downgrades two classes and affirms one class of notes issued by JWS CBO 2000-1, LTD./Corp. (JWS CBO). A detailed list of rating actions follows at the end of this press release.
The rating actions are the result of credit deterioration and increased exposure to defaulted assets. The class C notes will be reliant on collateral rated 'CCC' or below for the full return of principal. In Fitch's opinion the class C notes have a possibility of default and as such are downgraded to 'CCC'. For the class D notes, Fitch believes default is probable, and the notes are affirmed at 'CC'. The performance of the class D notes will be determined by realized recoveries on defaulted collateral as well as the future performance of the performing portfolio.
Since the last rating action in September 2008, JWS CBO's portfolio has experienced further credit deterioration. As of the most recent trustee report dated Sept. 16, 2009, defaulted securities represented 28% of the total portfolio versus 21% at the last review. Approximately 61% of the portfolio is rated 'CCC+' or lower, compared to 42% at the last review. Additionally, 3% of the assets are currently on Rating Watch Negative and 15% have a Negative Rating Outlook by at least one rating agency. As described in Fitch's corporate CDO criteria, Fitch accounts for Rating Watch and Rating Outlook status in its modeling assumptions, which are reflected in these rating actions.
On the Sept. 28, 2009 payment date the class A notes were paid in full. The benefit from the increase in credit enhancement to the junior notes has been offset by portfolio credit deterioration and exposure to defaulted assets. Recent recovery rates on defaulted assets have been lower than historical averages, especially for bonds, which has negatively impacted the junior notes of JWS CBO. The credit deterioration has caused the class C and class D OC tests to fail. Due to the failure of the class C OC test, interest proceeds available after class C interest were used to redeem notes in order of priority, causing the class D notes to defer interest and subsequently write up their principal balance. The class A/B and C OC tests divert interest proceeds to redeem notes sequentially, while the class D OC test diverts proceeds to pay down only the class D notes.
JWS CBO is a collateralized bond obligation (CBO) managed by Stonegate Capital Management, L.L.C. (Stonegate) that closed on July 18, 2000. JWS CBO's current portfolio is comprised of 72% senior unsecured debt, 18% of subordinated debt, 8% senior secured debt and 2% senior unsecured loans. The top three industry concentrations are Automobiles (15%), Gaming, Leisure and Entertainment (11%), and Building and materials (9%). The single largest obligor represents 4% of the collateral par balance. The transaction is scheduled to mature in July 2012.
Fitch does not rate the class A and class B notes.
Fitch takes various rating actions on the following classes of JWS CBO 2000-1, LTD./Corp. as specified below:
--$15,000,000 class C-1 downgraded to 'CCC' from 'B';
--$16,500,000 class C-2 downgraded to 'CCC' from 'B';
--$23,112,085 class D affirmed at 'CC'.
These rating actions reflect the application of Fitch's current criteria which are available at 'www.fitchratings.com' and specifically include the following reports:
--'Global Rating Criteria for Corporate CDOs' (April 30, 2008);
--'Global Criteria for Cash Flow Analysis in Corporate CDOs' (April 30, 2008).
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional transaction information and historical data are also available 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.
ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE '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.
Contacts:
Fitch Ratings, New York
Elizabeth Nugent, 212-908-9157
Kevin
Kendra, 212-908-0760
or
Media Relations:
Sandro Scenga,
212-908-0278
Email: sandro.scenga@fitchratings.com