2008-05-14 02:05:59 -
- Fitch affirms 13 classes of notes issued by Salt Creek High Yield CSO 2005-1 Ltd (Salt Creek). These affirmations are the result of Fitch's review process and are effective immediately:
--$34,000,000 class A-1$L notes at 'AAA';
--$20,000,000 class A-2$L notes at 'AA+';
--$30,000,000 class A-4$L notes at 'AA-';
--$1,000,000 class A-6$L notes at 'A';
--$40,000,000 class A-7$L notes at 'A-';
--$8,000,000 class B-2$L notes at 'BBB';
--$3,000,000 class B-3$L notes at 'BBB-';
--$500,000 class B-5$L notes at 'BB-';
--$2,000,000 class B-6$L notes at 'B+';
--EUR5,000,000 class A-1EURO notes at 'AAA';
--EUR 20,000,000 class A-2EURO notes at 'AA+';
--EUR 3,000,000 class A-6EURO-1 notes at 'A';
--JPY1,000,000,000 class A-3YL notes at 'AA'.
The rating actions reflect Fitch's view on the credit risk of the rated notes following the release of its new Corporate CDO rating Criteria.
Key drivers of this transactions credit strength are:
--Portfolio credit quality of 'B+/B', with 9.3% of the portfolio in the 'CCC' or below rating category, and 51.2% in the 'B' rating category.
--Industry diversification with concentration of 23.3% in the three largest industries, made up of 8.9% in computers & electronics, 7.5% in automobiles and 7.0% in broadcasting & media.
The affirmations are the result of stable collateral performance since the last review on September 2006 and sufficient credit enhancement levels on each class of notes. Despite experiencing two credit events since the last review, the subordination amounts have increased slightly due to trading gains. Additionally, with a scheduled maturity of September 2010, the risk horizon of the transaction has decreased as a result of decreased time to maturity.
Salt Creek is a synthetic collateralized debt obligation (CDO) that closed on March 30, 2005 and is managed by TCW Asset Management Co. Salt Creek provides investors leveraged access to the credit risk of a portfolio of credit default swaps referencing primarily non-investment grade corporate obligations. Salt Creek gains access to the credit risk of the portfolio via a credit default swap between Salt Creek and Bear Stearns Credit Products Inc., as swap counterparty (guaranteed by Bear Stearns Companies, rated 'F2/A-', Rating Watch Positive by Fitch) and further guaranteed by JPMorgan Chase & Co., rated 'F1+/AA-' by Fitch (as discussed in the release titled, 'Fitch Clarifies Review of Bear Stearns Counterparty Exposure in Global SF Transactions' dated April 1, 2008).
Fitch released updated criteria on April 30, 2008 for Corporate CDOs and, at that time, noted it would be reviewing its ratings accordingly to establish consistency for existing and new transactions. As part of this review, Fitch makes standard adjustments for any names on Rating Watch Negative or Outlook Negative, reducing such ratings for default analysis purposes by two and one notch, respectively. Fitch has noted its review will be focused first on ratings most exposed to risks it has highlighted in its updated criteria. Committees are also reviewing transactions that are least impacted by the new criteria and/or portfolio migration.
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.
Fitch Ratings
Derek Miller, 312-368-2076, Chicago
Kevin Kendra, 212-908-0760, New York
or
Media Relations:
Sandro Scenga, 212-908-0278, New York
