Ratings impact on Coast collateral agreement
28 June 2012 New York
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Fitch ratings has declared that a proposed change to the Coast Collateral Management Agreement (CMA), in which the CDO asset management responsibilities for the transaction would be assumed by Crescent Capital Group, would not affect its ratings.
Crescent is the successor collateral manager to Coast Capital Asset Management.
“The most senior class in the transaction is currently rated 'CCCsf', indicating that default appears a real possibility for the notes,” said a statement from Fitch.
“In addition, the CDO is no longer in its reinvestment period and all overcollateralization tests have
been failing. Given the above, the manager's capabilities are no longer a rating factor for this transaction. Accordingly, Fitch has not evaluated the replacement manager and does not expect the novation to have any impact on the ratings of the notes.”
Fitch went on to state that under the new CMA, Contingent Collateral Management Fees will be paid before interest to the class A notes, but said that the impact on the notes from a rating perspective is mitigated by the cushion available between the notes' credit enhancement level and 'CCCsf' level losses.
Crescent is the successor collateral manager to Coast Capital Asset Management.
“The most senior class in the transaction is currently rated 'CCCsf', indicating that default appears a real possibility for the notes,” said a statement from Fitch.
“In addition, the CDO is no longer in its reinvestment period and all overcollateralization tests have
been failing. Given the above, the manager's capabilities are no longer a rating factor for this transaction. Accordingly, Fitch has not evaluated the replacement manager and does not expect the novation to have any impact on the ratings of the notes.”
Fitch went on to state that under the new CMA, Contingent Collateral Management Fees will be paid before interest to the class A notes, but said that the impact on the notes from a rating perspective is mitigated by the cushion available between the notes' credit enhancement level and 'CCCsf' level losses.
NO FEE, NO RISK
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