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January 11, 2008 |
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MARYLEBONE CBO III: Fitch Cuts Class A-3 Debt Ratings to BB Fitch has affirmed and downgraded Marylebone Road CBO III B.V.'s (Marylebone) floating-rate notes due 2013: -- EUR38.25 million Class A-1 (XS0137285184): affirmed at 'AA+' -- EUR21.25 million Class A-2 (XS0137285267): affirmed at 'AA' -- EUR29.75 million Class A-3 (XS0137285697): downgraded to 'BB' from 'BBB' The rating actions reflect that, while no credit event occurred since last review in December 2006, there has been negative rating migration within the portfolio. The weighted average rating factor of the referenced portfolio is now 7.07 ('BBB-' compared to 4.93 ('BBB'/'BBB-') in December 2006. Since the previous review, five assets have migrated below the investment grade category. Speculative-grade assets now constitute 26% of the portfolio compared to 13% at the 2006 review. Marylebone, which is a special purpose vehicle incorporated in the Netherlands, entered into a credit default swap with Deutsche Bank AG London. DB also entered into a credit default swap with Abbey National Financial Products for the reimbursement of losses on a EUR850 million reference portfolio. Marylebone issued several classes of notes, the proceeds of which were used to purchase a portfolio of repo securities (rated 'AAA') from ANFP. The current reference portfolio consists of 76 mainly investment-grade corporates and currently stands at EUR515.83 million following commencement of amortization. |
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