NEW YORK--(BUSINESS WIRE)--Fitch Ratings has upgraded three classes of notes issued by MWAM CBO 2001-1, Ltd./Inc. (MWAM 2001-1) as follows:
--$3,813,181 class B notes to 'AAAsf' from 'Asf'; Outlook Stable;
--$17,641,519 class C-1 notes to 'CCsf' from 'Csf';
--$13,249,668 class C-2 notes 'to CCsf' from 'Csf'.
KEY RATING DRIVERS
The upgrade of the class B notes is attributed to the increased credit enhancement (CE) available to this class as a result of the transaction's continued deleveraging, as well as the notes' robust performance under Fitch's cash flow model analysis. Since the last review, the class B notes have received approximately $2.3 million or 37.1% of their previous rated balance in principal paydowns. The notes are able to pass at the 'AAAsf' rating stress in all scenarios of the Fitch's cash flow analysis. The Outlook reflects Fitch's expectation of a stable performance until the notes are fully paid down.
The class C-1 and C-2 notes (collectively, class C) are currently receiving their periodic interest payments. The CE level to these notes has increased since Fitch's last review and now exceeds the expected losses from the distressed and defaulted collateral (rated 'CCsf' or lower) in the underlying portfolio.
This review was conducted under the framework described in the report 'Global Rating Criteria for Structured Finance CDOs' using Fitch's Structured Finance Portfolio Credit Model (SF PCM) to project future default levels for the underlying portfolio. These default levels were then compared to the transaction's breakeven levels generated by Fitch's cash flow model under various default timing and interest rate stress scenarios.
RATING SENSITIVITIES
The class B notes have limited rating sensitivity given their CE level and the likelihood for the class to pay in full within the next two to three payment periods.
The class C notes are rated 'CCsf' and have limited downward rating sensitivity. However, higher than expected recoveries, from the portfolio's distressed collateral, could lead to upgrades above the notes' current rating.
MWAM 2001-1 is a structured finance collateralized debt obligation (SF CDO) that closed on Jan. 24, 2001. As of the Oct. 31, 2014 trustee report, the portfolio is comprised of residential mortgage-backed securities (44.8%), corporate bonds (30.8%), commercial asset-backed securities (15.6%), commercial mortgage-backed securities (5.4%), and SF CDOs (3.4%), from 1992 through 2003 vintage transactions.
Additional information is available at 'www.fitchratings.com'.
Applicable Criteria and Related Research:
--'Global Structured Finance Rating Criteria' (Aug. 4, 2014);
--'Global Rating Criteria for Structured Finance CDOs' (Jul. 16, 2014);
--'Counterparty Criteria for Structured Finance and Covered Bonds' (May 14, 2014);
--'Fitch's Interest Rate Stress Assumptions for Structured Finance' (Jan. 23, 2014).
Applicable Criteria and Related Research:
Global Structured Finance Rating Criteria
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=754389
Global Rating Criteria for Structured Finance CDOs
http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=751136
Additional Disclosure
Solicitation Status
http://www.fitchratings.com/gws/en/disclosure/solicitation?pr_id=933155
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