S&P’s assigns preliminary ratings in GIB (UK)'s second CDO of ABS transaction
Standard & Poor's Ratings Services has assigned its preliminary credit ratings to the 309.5 million euro asset-backed floating-, fixed- and zero-coupon notes to be issued by FAB CBO 2003-1 B.V., an SPE. The collateral backing the notes is made up of approximately €300 million in senior, mezzanine, and junior ABS and synthetic securities satisfying a set of eligibility criteria.
The originator of the collateral is Gulf International Bank (UK) Ltd. (GIB UK), which will act as collateral manager in this transaction. GIB UK specializes in relative value fixed-income strategies, with a focus on mortgage-backed and ABS markets.
"This is GIB UK's second CDO of ABS, the first (F.A.B. CBO 2002-1 B.V.) having closed in April 2002. The portfolio, which is expected to be fully ramped up over a period of three months, will consist of mainly European ABS," said credit analyst Billy Radicopoulos, associate at Standard & Poor's Structured Finance Ratings group in London.
The ratings reflect: The credit support provided to each class of notes by its respective
junior classes; Standard & Poor's analysis of the cash flows under various stressed
scenarios; and the rating triggers and downgrade and collateralization provisions for
the various counter-parties in this transaction.
A unique feature of this transaction is that it has been structured and modeled with zero-coupon class A-1F notes, which are redeemed at their par notional amount irrespective of whether such redemption occurs prior to the target date for par accretion. — (menareport.com)
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