NEW YORK - (Business Wire) Fitch Ratings has resolved the Rating Watch Negative status and subsequently downgraded the Insurer Financial Strength (IFS) rating of Assured Guaranty Corp. (Assured Guaranty) to 'AA-' Rating Outlook Negative from 'AA' Rating Watch Negative, on Oct. 12, 2009. As a result of this action, Fitch has downgraded and removed from Rating Watch four notes, issued by trust preferred (TruPS) collateralized debt obligations (CDOs), whose ratings rely on an insurance policy issued by Assured Guaranty. Fitch has also affirmed one note whose unenhanced credit quality exceeded the IFS rating of Assured Guaranty. Fitch assigns its ratings of the affected tranches to the higher of the unenhanced rating or the financial guarantor IFS rating. A full list of affected ratings is provided at the end of this release.
In Alesco VII, Attentus II, Attentus III, and Dekania Europe II, the affected tranches benefit from the additional credit enhancement provided by Assured Guaranty as their respective notes' unenhanced ratings are at or below the 'AA-' IFS rating of Assured Guaranty. The credit profiles of these transactions would not merit a rating above 'AA-' without the additional credit enhancement provided by Assured Guaranty. As a result, Fitch downgraded these affected notes to 'AA-', removed the Watch status and assigned a Negative Outlook.
Fitch affirmed the class A1 notes of Dekania Europe I because they have an unenhanced rating of 'AA', which remains higher than Assured Guaranty's IFS rating. Fitch has also removed the notes from Watch Negative and assigned a Stable Outlook, reflecting the ability of the notes to maintain their ratings while absorbing additional defaults over the next one- to two-year period. For more information on Dekania Europe I please see Fitch's release 'Fitch Downgrades Dekania Europe CDO I plc' issued on July 6, 2009.
Fitch is aware that other TruPS CDO tranches exist where Assured Guaranty provides credit enhancement via either a partial or secondary market wrap. In these instances, Fitch's analysis and ratings are based solely on the transaction's key characteristics, including underlying portfolio asset performance, credit enhancement, and meaningful cash flow redirection and structural mechanisms available to the transaction, without any benefit to the partial or secondary market enhancement.
Fitch will continue to monitor credit developments with respect to the transactions' underlying portfolios as well as those for Assured Guaranty.
Fitch has taken the following rating actions:
Alesco Preferred Funding VII, Ltd./Inc.
-- US$167,750,149 class A-1-A first priority senior secured notes due 2035 to 'AA-' from 'AA'; Outlook Negative.
Attentus CDO II, Ltd./LLC
-- US$197,941,401 class A-1 first priority senior secured floating-rate notes due 2041 to 'AA-' from 'AA'; Outlook Negative.
Attentus CDO III, Ltd./LLC
-- US$100,000,000 class A-1B second priority senior secured floating-rate notes due 2042 to 'AA-' from 'AA'; Outlook Negative.
Dekania Europe CDO II Plc.
-- EUR 163,538,808 class A1 senior floating-rate notes due 2037 to 'AA-' from 'AA'; Outlook Negative.
Dekania Europe CDO I Plc.
-- EUR 134,714,262 class A1 senior floating-rate notes due 2035, affirmed at 'AA'; Outlook Stable.
All of the ratings have been removed from Rating Watch Negative.
These rating actions reflect the application of Fitch's current criteria which is available at 'www.fitchratings.com' and specifically include the following reports:
-- 'Fitch Revises Criteria for Reviewing U.S. CDOs Backed by Bank & Insurance TruPS' (March 25, 2009);
-- 'Rating Criteria for U.S. Bank and Insurance Trust Preferred CDOs' (Feb. 2, 2005);
-- 'Global Rating Criteria for Structured Finance CDOs' (Dec. 16, 2008);
-- 'Criteria for Rating U.S. Equity REITs' (Aug. 9, 2007);
-- 'Updated Criteria Mortgage REITs and Similar Finance Companies' (May 9, 2007).
Additional information is available at www.fitchratings.com.
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Fitch Ratings
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Kevin Kendra, 212-908-0670 (New York)
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