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December 18, 2007 |
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PARK MOUNTAIN: Moody's Puts Low-B Ratings on Classes E & F Notes Moody's Investors Service assigned provisional ratings to notes to be issued by Park Mountain SME 2007-I B.V. The ratings assigned are: -- (P)Aaa to the EUR363,250,000 Class A3 Floating Rate Credit Linked Notes due 2016 -- (P)Aa2 to the EUR30,300,000 Class B Floating Rate Credit Linked Notes due 2016 -- (P)A2 to the EUR30,250,000 Class C Floating Rate Credit Linked Notes due 2016 -- (P)Baa2 to the EUR30,250,000 Class D Floating Rate Credit Linked Notes due 2016 -- (P)Ba2 to the EUR21,200,000 Class E Floating Rate Credit Linked Notes due 2016 -- (P)Ba3 to the EUR30,300,000 Class F Floating Rate Credit Linked Notes due 2016 The provisional ratings address the expected loss posed to investors by the legal final maturity date in 2016. Also issued but unrated are 2 super senior swaps (the class A1 for EUR2,330,828,000 and the class A2 for 151,352,500) and the class G for EUR16,650,000. The transaction also benefits from a Loss Threshold amount of EUR22,700,000. The provisional ratings of the notes are based upon: (1) An assessment of the credit quality and diversity of the underlying reference entities in the static portfolio; (2) The loss protection provided by the subordination of the more junior ranking classes of notes and the loss threshold; (3) The legal and structural integrity of the transaction. Park Mountain SME 2007-I B.V. is a partially funded synthetic transaction arranged by Fortis Bank N.V./S.A., in which investors are exposed to the credit risk related to a portfolio of secured and unsecured loans extended by Fortis Bank N.V./S.A. to Belgian SMEs. The credit risk transferred by Fortis Bank N.V./S.A. is related to a total portfolio of approximately EUR3.02 billion. This reference pool is made up initially of 10,545 claims to 4,847 separate obligors. The portfolio is static. The notes are scheduled to mature in November 2013 but may mature earlier should the clean up call option be exercised. The legal final maturity of the transaction is in November 2016. Moody's issues provisional ratings in advance of the final sale of securities, and these ratings only represent Moody's preliminary opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavor to assign definitive ratings to the Notes. A final rating may differ from a provisional rating. |
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