Fitch CDO Review: WTC Impact on Asset-Backed CDOs
NEW YORK--Oct. 18, 2001--On September 24, Fitch commented on the potential short- and long-term impacts that the WTC tragedy may have on various segments of the CDO market. This represents follow-up analysis based on an ongoing review of Fitch-rated CDOs that may be negatively impacted by the events of September 11.Specifically, CDOs with considerable exposures of assets in certain `at risk' industries - airlines, insurance, gaming, lodging, tourism, mutual fund fee transactions, and other CDOs with large exposures to affected industries may be particularly vulnerable to higher than expected losses. Fitch's ABS CDO group performed an in-depth review of all outstanding Fitch-rated ABS CDOs and has identified several transactions that have exposure to the industries mentioned above. The ABS CDO transactions listed below have exposures to the above-mentioned industries of greater than 10% of the pool's outstanding balance, with a majority of those collateral securities having been placed on Rating Watch Negative. Since the impact of any potential collateral downgrades is uncertain at this time, especially since most ABS CDO current weighted average rating factors (WARFs) are well within covenanted or modeled WARFs, no rating action has been taken with respect to these transactions. However, Fitch will continue to closely monitor performance, including the impact of any adverse credit trends on these transactions.
ABS CDOs with `At Risk' Industry Exposure Greater than 10%
| -- | Arroyo CDO I |
| -- | Diversified Asset Securization Holdings II, L.P. (DASH II) |
| -- | Diversified Asset Securization Holdings III, L.P. (DASH III) |
| -- | Independence II CBO |
| -- | MKP CBO I |
| -- | MWAM CBO 2001-1 |
| -- | SFA Collateralized Asset Backed Securities I Trust (CABS) |
| -- | SFA CABS II CDO |
| -- | SPA CBO |