CHICAGO - (Business Wire) Fitch Ratings has reviewed the effect of the Macquarie Bank Limited (MBL) or its affiliate's proposed acquisition of Delaware Management Holdings, Inc. and its subsidiaries (collectively, Delaware) from Lincoln National Corp. and determined that this transaction will not affect the ratings currently assigned to Delphinus CDO 2007-1, LLC/Ltd. (Delphinus). Delphinus is managed by Delaware Asset Advisers, a subsidiary of Delaware Management Holdings, Inc. On Oct. 8, 2009, Fitch was notified that pursuant to applicable law, an assignment of the Delphinus collateral management agreement would be deemed to occur upon MBL's acquisition of Delaware. Although the ultimate ownership of Delaware will change as a result of the acquisition, the organizational structure and investment capabilities of the existing entity responsible for managing Delphinus will remain in place. Fitch's initial and on-going rating of CDO transactions includes a review of the CDO asset manager to determine whether they meet the appropriate standards. Fitch's review procedure for potential replacement collateralized debt obligation (CDO) asset managers is outlined in the special report entitled 'CDO Asset Manager Replacement Activity Update', dated April 24, 2009 and available on Fitch's web site at 'www.fitchratings.com'.
Delaware, the asset management arm of the Lincoln National Corp., is headquartered in Philadelphia, PA. As of June 30, 2009, Delaware had approximately $124.4 billion in assets under management and had 569 employees, including 156 investment professionals covering structured products, corporate bonds, private placements, municipal obligations, and international and emerging markets. Established in 1969 as a wholly owned subsidiary of UK-based Hill Samuel Bank Limited, MBL is part of Macquarie Group Limited. MBL's long- and short-term Issuer Default Ratings are currently rated 'A+' and 'F1', respectively, with a Stable Outlook by Fitch.
Fitch emphasizes that the scope of its review was solely to determine whether Delaware, under new ownership, meets Fitch's minimum guidelines to manage Delphinus within the context of Fitch's stated review procedure for replacement managers. Furthermore, this review was in the context of the current management responsibilities associated with Delphinus and the current ratings assigned to the CDO by Fitch. Fitch is not a party to the transaction and therefore does not provide consent or approval, as that remains the sole preserve of the transaction parties. Fitch expects to be notified by the trustee when or if the proposed transfer of asset management responsibilities is completed.
Delphinus is a hybrid structured finance CDO which closed on July 19, 2007. The liability structure consists of partially funded super senior liquidity facility (super senior notes) above the funded notes. The portfolio is comprised of primarily 2006 and 2007 vintage subprime residential mortgage backed securities (RMBS), Alternative-A RMBS, and CDOs. As a result of the class A Par Value Coverage Ratio falling below 100%, the CDO entered an Event of Default on Jan. 2, 2008. The super senior notes and classes A-1A, A-1B, A-1C, S, A-2, A-3, B are currently rated 'CC'. The classes C, D-1, D-2, D-3, E are rated 'C'.
Additional information is available at 'www.fitchratings.com'.
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Fitch Ratings
Russ Thomas, +1-312-368-3189, Chicago
Nathan Flanders, +1-212-908-0827, New York (Fund and Asset Manager Ratings)
Alina Pak, +1-312-368-3184 (Structured Credit), Chicago
or
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