Fitch Ratings has been notified by agents of Saturn Ventures I, Inc. of the proposed novation of the transaction's interest rate swap counterparty to Bank of NY Mellon (BONY; rated 'AA-/F1+', Outlook Stable) replacing Citibank N.A (rated 'A/F1', Outlook Stable). Additionally, BONY is proposing to execute a Credit Support Annex (CSA) in conjunction with the swap novation.
Fitch does not expect the swap novation and proposed CSA to have any impact on the existing ratings on the above referenced transaction. Based on its current rating by Fitch, BONY is an eligible counterparty for the transaction under Fitch's criteria 'Counterparty Criteria for Structured Finance Transactions'. The proposed CSA is in line with Fitch's expectations with respect to timing of remedial actions and levels of collateralization outlined in Fitch's 'Counterparty Criteria for Structured Finance Transactions: Derivative Addendum'.
The current 'Counterparty Criteria for Structured Finance Transactions' is under review and is subject to an exposure draft consultation. The exposure draft was published on March 12, 2012, and its proposals - if adopted into criteria - are not expected to result in rating actions on these transactions. However, this cannot be entirely precluded if the final criteria differ materially from the exposure draft proposals.
Fitch is not a party to the transaction and therefore does not provide consent or approval to changes in its terms, as that remains the sole preserve of the transaction parties. Fitch expects to be notified by the trustee when or if the proposed amendments are executed either in part or in their entirety.
Additional information is available at 'www.fitchratings.com'.
The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2011);
--'Global Rating Criteria for Structured Finance CDOs' (Oct. 6, 2011);
--'Counterparty Criteria for Structured Finance Transactions' (March 12, 2012);
--'Counterparty Criteria for Structured Finance Transactions: Derivative Addendum' (March 12, 2012);
--'Exposure Draft: Counterparty Criteria for Structured Finance Transactions' (March 12, 2012).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=646569
Global Rating Criteria for Structured Finance CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=651560
Counterparty Criteria for Structured Finance Transactions
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=667929
Counterparty Criteria for Structured Finance Transactions: Derivative Addendum
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=667930
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Contacts:
Fitch Ratings
Erika Tsang, CFA, +1-212-908-0817
Director -
Structured Credit
One State Street Plaza
New York, NY 10004
or
Committee
Chairperson:
Alina Pak, CFA, +1-312-368-3184
Senior Director
or
Media Relations:
Sandro
Scenga, New York, +1-212-908-0278
sandro.scenga@fitchratings.com