TEXT-S&P Afms Ratings On Class A1 And A2 Notes Issued By Max Trust
(The following was released by the rating agency)
MELBOURNE (Standard & Poor's) Jan. 11, 2013--Standard & Poor's Ratings Services today affirmed its 'A (sf)' ratings on the class A1 and A2 notes issued by Max Trust (see list). This hybrid cash-flow collateralized debt obligation (CDO) is backed by a portfolio of corporate bonds and structured finance assets. The rating affirmation reflects our view that the rated notes are able to withstand stresses that are commensurate with the current 'A (sf)' rating level.
Standard & Poor's undertakes surveillance of its outstanding ratings over time, and has typically informed the market of any consequent changes to our credit opinions. To enhance market transparency, we will also be publishing rating affirmations from time to time, where we have conducted a rating review that does not result in a rating change.
Today's affirmation follows a review of the performance and management of the transaction. Since a restructure in June 2009, the transaction has significantly reduced the outstanding balance on the notes, which has resulted in a significant build up of overcollateralization in percentage terms. Further, all excess spread has been diverted to repay the principal outstanding on the class A1 and A2 notes. The restructure included asset redemption and sales, which led to the elimination of many of the assets with potential currency and/or interest rate exposures. This has reduced the overall potential unhedged currency exposures of the portfolio. However, due to the reduction in the number of assets, this has increased portfolio concentration in terms of obligor, industry, sector, and geographic diversity.
We believe that the portfolio is susceptible to tail-end adverse selection risk and an increase in concentrations in the portfolio as the underlying assets amortize or repay. Nonetheless, we believe that the build up to date of over-collateralization is likely to offset the potential risks consistent with stress at the 'A (sf)' rating level.
STANDARD & POOR'S 17G-7 DISCLOSURE REPORT SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011.
If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at "here ".
Please refer to the initial rating report for any additional regulatory disclosures that may apply to a transaction.
A1 A (sf)
A2 A (sf)
RELATED CRITERIA AND RESEARCH
-- Counterparty Risk Framework Methodology And Assumptions, Nov. 29, 2012
-- CDOs: Global CDOs Of Pooled Structured Finance Assets: Methodology And Assumptions, Feb. 21, 2012
-- Methodology: Credit Stability Criteria, May 3, 2010
-- Criteria: Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
-- Criteria: Application Of Supplemental Tests For Rating Global Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
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