FRANKFURT, Germany, Feb. 11 /PRNewswire/ -- Preliminary ratings were today
assigned to the credit-linked notes to be issued by special-purpose entity
Provide Blue 2002-1 PLC and to the senior credit default swap (see list
below).
The collateral backing the notes consists of credit-linked certificates of
indebtedness (Schuldscheine) issued by the German public-law institution
Kreditanstalt fur Wiederaufbau (KfW) (AAA/Stable/A-1+).
Torsten Althaus, director at Standard & Poor's Structured Finance Ratings
group in Frankfurt, explained that the transaction has been arranged by
Societe Generale S.A. and set up by KfW to provide a standardized platform to
facilitate the efficient transfer of credit-risk exposure on residential
mortgage loans to the capital markets.
"This type of synthetic RMBS transaction is now becoming the standard for
RMBS programs for use by German mortgage lenders," he said. "Although the
transaction does break new ground in that it is the first German RMBS
transaction arranged for a German building society, BHW Bausparkasse AG
(A+/Stable/A-1)."
Mr. Althaus added that the transaction also represents a first in how the
protected amount is defined.
"The protected amount with respect to the potential loss allocation is
created by offsetting outstanding reference loan amounts with building society
savings accounts," he said.
The preliminary ratings reflect:
-- The level of credit support for the different classes of credit-linked
notes, provided by subordination and the first-loss protection provided by the
threshold amount;
-- BHW's servicing capacity, as confirmed by Standard & Poor's on-site
review of its operations; and
-- The credit quality of the Schuldscheine issued by KfW as well as its
undertaking in respect of the payments for the issuer costs.
The preliminary ratings assigned to the notes are dependent on the credit
quality of KfW. KfW is a fully supporting rating to the transaction. Potential
changes to the rating on KfW during the lifetime of this transaction could,
therefore, have a direct impact on the rating on the notes.
A copy of Standard & Poor's complete presale report for this transaction
is available on RatingsDirect, Standard & Poor's Web-based credit analysis
system, at http://www.ratingsdirect.com. The report is also available on
Standard & Poor's Ratings Services Web site at
http://www.standardandpoors.com. Under Presale Reports, select Structured
Finance, then Residential Mortgage-Backed Securities.
PRELIMINARY RATINGS ASSIGNED
Provide Blue 2002-1 PLC
EUR78.35 Million Credit-Linked Notes and EUR1.153 Billion Senior Credit
Default Swap
Class Rating Amount (EUR)
Senior credit
default swap AAA 1,153,000,000
A+ AAA 250,000
A AAA 39,600,000
B AAA 17,400,000
C AA 13,600,000
D A 7,500,000
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com
http://www.ratingsdirect.com
CONTACT:
Torsten Althaus of Standard & Poor's,
+49-69-3-39-99-300
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