According to Fitch Ratings, a supplemental indenture (Supplemental Indenture) proposed by Wellington Management Company, LLP (Wellington), the collateral manager for Juniper CBO 2000-1 Ltd. (Juniper), would not adversely affect Fitch's ratings of the CDO's liabilities. However, the changes to the collateral pool as a result of the additional flexibility afforded the collateral manager will be reflected in Fitch's ongoing credit opinion of Juniper.
Wellington notified Fitch of its intention to amend the indenture as it relates to the sale of defaulted, equity, credit risk and appreciated portfolio collateral. As a result of the ongoing Event of Default (EOD), triggered by the failure of the issuer to maintain 90% of the minimum overcollateralization percentage, the asset manager is currently prohibited from selling defaulted, equity, credit risk and appreciated portfolio collateral.
Fitch's current rating criteria does not specifically address the proposed changes to the Indenture. The impact of the proposed changes, although currently unquantifiable, could benefit one noteholder over another and each has advantages and disadvantages. For example, the sale of any defaulted, equity, credit risk or appreciated portfolio collateral provides the opportunity for the transaction to realize proceeds sooner, but at the expense of potential future improvement in recovery amount. For its analysis, Fitch assumes the lower of recovery or market values for defaulted and credit risk collateral and no value for equity collateral.
Fitch's applicable criteria for Juniper are available at 'www.fitchratings.com' and specifically include the reports listed at the bottom of this commentary.
Fitch is not a party to the transaction and therefore does not provide consent or approval of the Supplemental Indenture, as that remains the sole preserve of the transaction parties. Fitch has received and reviewed the latest draft of the proposed Supplemental Indenture. Fitch expects to be notified by the trustee when or if the proposed supplemental indenture is executed.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug 13, 2010);
--'Global Rating Criteria for Corporate CDOs' (July 5, 2010);
--'Criteria for Structured Finance Loss Severity Ratings' (Feb. 17, 2009);
--'Criteria for Structured Finance Recovery Ratings' (Aug. 17, 2009).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326
Global Rating Criteria for Corporate CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=537494
Criteria for Structured Finance Loss Severity Ratings
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=426038
Criteria for Structured Finance Recovery Ratings
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=462434
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