HIGHLY RATED
OBLIGOR POOL: Approximately 85% (by dollar value) of the combined trust and fund loans is estimated to be investment grade (versus a Fitch 'AAA' median of 80%).
The "negative" watch has been prompted by RAM Ratings' concerns over the vulnerability of the super senior bonds given the recent default by one of Idaman's
obligors, the agency explained.
In particular, the weighted average (WA) rating of the top 10 rated
obligors is 'A-'.
Remarketing Event: If the liquidity pool is drawn to cure a default of an
obligor to pay interest on their debt obligation and falls below 75% of the initial deposits (initial deposits account for most of the liquidity pool), this will trigger the remarketing of the concerned debt obligation.
Due to the high
obligor concentrations, Fitch's review focused primarily on the
obligor approach to review possible concentration risks within the transaction.
If the insurance policy does not apply to bank bonds, then the bank bond rating would be based on the long-term rating of the VRDO's underlying
obligor.
The portfolio will be diversified geographically and is also diversified by
obligor, with the largest
obligor concentration at 4% of the portfolio principal balance.
Noteworthy
obligor industry exposures are transportation (36.
The credit quality of the
obligors backing the 2006-D transaction is one of the highest, as measured by DCFS' proprietary credit-grading matrix and
obligor FICO scoring (713), as compared with recent DCAT transactions.
The portfolio has a weighted average rating of approximately 'B+/B', and is comprised of 178 loan
obligors with the largest single
obligor exposure at 2.
The expected pool will have 37 loan
obligors representing 58 loans, with no single
obligor representing more than 5% of the total portfolio value.
The bond represents an unsecured and unsubordinated obligation of each
obligor.
