Fitch Ratings assigns the following rating to Benazzi
CDO 2005-1 Ltd.:
-- U.S. $20,000,000 class A notes, due 2040 rated 'AAA';
-- U.S. $50,000,000 class B notes, due 2040 rated 'AA';
-- U.S. $30,000,000 class C notes, due 2040 rated 'A'.
This is a synthetic CDO that will issue $100 million in credit linked notes. The note proceeds will collateralize a credit default swap with Barclays Bank PLC ('Barclays'), the swap counterparty, which references a $1 billion portfolio comprised of 80% residential mortgage-backed securities (RMBS) and 20% asset-backed securities (ABS). Benazzi will issue three classes of notes as shown above and use the $100 million in proceeds to purchase 'AAA' Fitch rated assets that will collateralize the funded portion of the credit default swap. The rating addresses the timely receipt of interest and ultimate receipt of principal. The ratings are based upon the credit quality of the reference portfolio, the financial strength of Barclays as the swap counterparty, the credit quality of the collateral assets and the legal structure of the transaction.
Barclays will make monthly premium payments to the issuer and in return, the issuer will cover $100 million of realized losses in the reference portfolio after the first loss amount. The loss amounts will reduce the principal amount of the classes in reverse sequential order, and Barclays will reduce its premium payments if the actual interest received on an RMBS reference obligation is less than the expected interest amount in reverse sequential order.
Fitch will monitor the performance of this transaction. Deal information and historical data will be 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.
-- U.S. $20,000,000 class A notes, due 2040 rated 'AAA';
-- U.S. $50,000,000 class B notes, due 2040 rated 'AA';
-- U.S. $30,000,000 class C notes, due 2040 rated 'A'.
This is a synthetic CDO that will issue $100 million in credit linked notes. The note proceeds will collateralize a credit default swap with Barclays Bank PLC ('Barclays'), the swap counterparty, which references a $1 billion portfolio comprised of 80% residential mortgage-backed securities (RMBS) and 20% asset-backed securities (ABS). Benazzi will issue three classes of notes as shown above and use the $100 million in proceeds to purchase 'AAA' Fitch rated assets that will collateralize the funded portion of the credit default swap. The rating addresses the timely receipt of interest and ultimate receipt of principal. The ratings are based upon the credit quality of the reference portfolio, the financial strength of Barclays as the swap counterparty, the credit quality of the collateral assets and the legal structure of the transaction.
Barclays will make monthly premium payments to the issuer and in return, the issuer will cover $100 million of realized losses in the reference portfolio after the first loss amount. The loss amounts will reduce the principal amount of the classes in reverse sequential order, and Barclays will reduce its premium payments if the actual interest received on an RMBS reference obligation is less than the expected interest amount in reverse sequential order.
Fitch will monitor the performance of this transaction. Deal information and historical data will be 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.