LONDON, Feb. 12 /PRNewswire/ -- Standard & Poor's today assigned its
preliminary ratings to F.A.B. CBO 2002-1 B.V.'s EUR300 million asset-backed
floating-rate notes (see list below).
The collateral securing the rated notes consists of European euro-
denominated asset-backed securities (ABS) and synthetic securities whose
reference obligations are ABS.
"This is the first cash-funded collateralized bond obligation (CBO) with a
portfolio containing 100% European ABS," said Juan-Carlos Martorell, associate
director at Standard & Poor's Structured Finance Ratings group in London. "We
expect to see more actively managed CBOs of European ABS during the year."
The preliminary ratings on the asset-backed floating-rate notes reflect
the credit enhancement provided by the subordinate classes, the cash flow
structure (which is subject to various stresses by Standard & Poor's), and the
transaction's interest rate hedge. Based on the composition of the current
identified portfolio, the Standard & Poor's CDO Evaluator calculated a
scenario default rate of 20.5% for the class A-1 notes, 16.5% for the class
A-2 notes, and 10.5% for the class B 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 Asset-Backed Securities.
PRELIMINARY RATINGS ASSIGNED
F.A.B. CBO 2002-1 B.V.
EUR300 Million Asset-Backed Floating-Rate Notes
Class Rating Amount (Mil. EUR)
A-1 AAA 250
A-2 AA 28
B BBB 16
C N.R. 6
N.R.--not rated.
SOURCE Standard & Poor's
 back to top
Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Juan Carlos Martorell, +44-20-7826-3880, or
Lapo Guadagnuolo, +44-20-7826-3507, both of Standard & Poor's
|
