2008-08-04 23:39:03 -
- Fitch Ratings has downgraded seven classes and affirmed two classes of notes issued by Glacier Funding CDO V, Ltd. and Glacier Funding CDO V, LLC. (Glacier V). These rating actions are the result of Fitch's review process and are effective immediately:
--$190,311,532 class A-1 downgraded to 'CCC' from 'BB+', removed from Rating Watch Negative;
--$122,000,000 class A-2 downgraded to 'CC' from 'BB-', removed from Rating Watch Negative;
--$46,000,000 class A-3 downgraded to 'CC' from 'B-', removed from Rating Watch Negative;
--$44,000,000 class B affirmed at 'CC', removed from Rating Watch Negative;
--$15,000,000 class C affirmed at 'CC', removed from Rating Watch Negative;
--$20,953,419 class D downgraded to 'C' from 'CC', removed from Rating
Watch Negative;
--$27,245,702 class E downgraded to 'C' from 'CC', removed from Rating Watch Negative;
--$5,740,580 class F downgraded to 'C' from 'CC', removed from Rating Watch Negative;
--$7,058,932 class G downgraded to 'C' from 'CCC+', removed from Rating Watch Negative.
Glacier V is a cash flow collateralized debt obligation (CDO) that closed on March 27, 2007 and is managed by Terwin Money Management, LLC (Terwin). Presently 91% of the portfolio is comprised of pre-2005, 2005, 2006, and 2007 vintage U.S. subprime residential mortgage-backed securities (RMBS), and 8% comprised of 2006 and 2007 vintage U.S. Structured Finance (SF) CDOs.
Fitch's rating actions reflect the significant collateral deterioration within the portfolio, specifically subprime RMBS and SF CDOs with underlying exposure to subprime RMBS. Since Nov. 21, 2007, approximately 92.7% of the portfolio has been downgraded with 5.5% of the portfolio currently on Rating Watch Negative. Nearly 99% of the portfolio is now rated below investment grade, of which 95.8% of the portfolio is rated 'CCC+' and below. As per the latest Trustee report dated July 02, 2008, defaulted and deferred interest PIK securities constitute 61.3%, or $276.12 million, of the portfolio total.
Classes A-1, A-2, A-3, B, C and D are paid on a monthly basis and classes E, F, and G receive interest and principal on a quarterly basis. At present, the transaction continues to make the scheduled monthly distributions to the A-1, A-2, A-3, B and C classes; however, principal distributions are being utilized to make up for interest shortfalls to B and C classes. Payment of interest to the D, E, F, and G classes has been made in kind by writing up the principal balance of each class by the amount of interest owed.
The classes are removed from Rating Watch as Fitch believes further negative migration in the portfolio will have a lesser impact on these classes. Additionally, Fitch is reviewing its SF CDO approach and will comment separately on any changes and potential rating impact at a later date.
The rating of the class A, B, and C notes address the likelihood that investors will receive full and timely payments of interest, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The ratings of the classes D, E, and F notes address the likelihood that investors will receive ultimate interest payments, as per the governing documents, as well as the stated balance of principal by the legal final maturity date. The ratings are based upon the capital structure of the transaction, the quality of the collateral, and the protections incorporated within the structure.
Fitch will continue to monitor and review this transaction for future rating adjustments. Additional transaction information and historical data are 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.
Fitch Ratings
Brian Vorderbrueggen, 212-908-9102, New York
Alina Pak, 312-368-3184, Chicago
or
Media Relations:
Sandro Scenga, 212-908-0278, New York
