Structured Finance. Orion , Ltd. Credit Products Presale Report
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1 Credit Products Presale Report $1,300,000,000 Synthetic/Cash CDO Credit Expected Enhancement Class Amount ($) Rating (%)* SS 936,000,000 NR A 98,500,000 AAA B 81,000,000 AA C 77,000,000 A 8.27 D 36,000,000 BBB 5.50 PS 71,500,000 NR Total 1,300,000,000 *Based on the fully ramped portfolio balance of $1.3 billion. SS Super senior. PS Preference shares. NR Not rated. Analysts Jeffrey Berkes Jeffrey.Berkes@fitchratings.com Nathan Flanders nathan.flanders@fitchratings.com Related Research Global Rating Criteria for Collateralised Debt Obligations, Sept. 13, 2004 Considerations for Funded Portfolio Credit Derivatives (Synthetic CDOs), June 8, 2005 Fitch Examines Effect of Pay-As-You- Go (CDO and Single Name), Nov. 11, 2005 Hybrid Synthetic and Cash CDOs: A Primer, Nov. 11, 2005 Fusion of Synthetic and Cash CDOs, March 13, 2006 The preliminary ratings do not reflect final ratings and are based on information provided by the issuer as of April 18, These preliminary ratings are contingent on final documents conforming to information already received. Collateral may be added or dropped from the portfolio. Ratings are not a recommendation to buy, sell, or hold any security. The prospectus and other material from the issuer should be reviewed prior to any purchase. Summary Fitch Ratings expects to rate the notes of, a Cayman Islands limited liability company (LLC), and Orion , LLC a Delaware LLC (Orion , or the co-issuers), as indicated in the table at left. Orion represents a hybrid collateralized debt obligation (CDO) transaction that combines the use of synthetic and cash assets, as well as unfunded and funded liabilities, to provide flexibility and favorable economic opportunities to the asset manager. It is expected that the Orion structure will have an approximately $936 million initially unfunded super-senior liquidity facility and issue approximately $364 million of funded notes and funded preference shares and invest in a $1.3 billion portfolio of combined synthetic and cash securities (see diagram, page 5). The initial targeted portfolio will consist of 72% credit default swaps (CDS), primarily referencing residential mortgage-backed securities (RMBS), and 28% RMBS, commercial real estate (CRE) CDO cash securities, and asset-backed securities (ABS) CDO cash securities. There is a 4.5-year reinvestment period, during which the collateral manager, NIBC Credit Management, Inc. (NIBC CMI), may trade the collateral portfolio subject to certain limitations. Deal Summary (As of April 18, 2006) Deal Type: Hybrid Synthetic/Cash Collateralized Debt Obligation Assets: Approximately 93.5% RMBS, 3.5% CRE CDO, and 3.0% ABS CDO (Cash and Synthetic) Expected Closing Date: May 2006 Stated Maturity Date: May 2046 Ramp-Up Period: 90 days Interest Payments: Monthly First Payment Date: September 2006 Synthetic Portfolio Amount: $936 million Cash Assets Portfolio Amount: $364 million Initial Number of Portfolio Assets: 138 Weighted Average Life (WAL, Initial Portfolio): 4.32 years Maximum WAL at Close/End of Reinvestment: 6.00/3.00 years Weighted Average Rating Factor (Initial Portfolio): 5.61 Maximum Weighted Average Rating Factor: 6.00 Reinvestment Period: 4.5 years CRE Commercial real estate. CDO Collateralized debt obligation. RMBS Commercial mortgage-backed securities. ABS Asset-backed securities. May 2,
2 Parties to Transaction Co-Issuers: and Orion , LLC Lead Manager: CALYON Collateral Manager: NIBC Credit Management, Inc. Trustee: Wells Fargo Bank, NA Senior Counterparty: CALYON Orion s assets will serve as collateral for all classes of notes and the unfunded super senior class. The expected ratings will be based on the quality of the initial portfolio assets, as well as the credit enhancement provided by support from the preference shares, the excess spread, the reserve account, and the protection incorporated within the structure. The collateral will be selected and managed by NIBC CMI. The expected ratings of the class A and class B notes address the likelihood that investors will receive full and timely payments of interest as well as the stated balance of principal by the stated maturity date pursuant to the governing documents. The expected ratings of the class C and class D notes address the likelihood that investors will receive ultimate interest payments as well as the stated balance of principal by the stated maturity date in accordance with the governing documents. Strengths NIBC CMI has extensive experience managing structured finance CDOs. It currently has three ABS CDOs under management (excluding Orion , but including Belle Haven ABS CDO , which is expected to close in May 2006). Orion will be the fourth ABS CDO under management. The portfolio for Orion consists primarily of investment-grade securities. There is reduced ramp-up and reinvestment risk in the transaction due to the flexibility of NIBC CMI to invest in either synthetic or cash collateral within the collateral eligibility criteria. Excess interest proceeds exceeding a 12% per annum equity threshold will be used to redeem the class D notes up to a predetermined level, thus reducing the highest interest liabilities. Concerns The portfolio has a high concentration in RMBS (both cash and synthetic), leading to a remote Target Portfolio Characteristics (%) Maximum Single Issue Maximum ABS CDO 5.00 Maximum CDO Manager Concentration 2.50 Maximum NIBC CMI Managed Concentration 0.00 Maximum REIT 5.00 Maximum Fitch Weighted Average Rating Factor 6.00 Minimum Rating BBB Minimum Obligors Minimum CDS Spread 1.85 Minimum Weighted Average Floating Spread 1.85 Maximum RMBS Maximum CMBS Maximum Other Than RMBS and CMBS Maximum Credits by Non-U.S. Issuers 5.00 Maximum PIK Bonds Maximum Single Servicer Maximum Average Life (Years) 6.00 Reinvestment Period (Years) 4.50 ABS Asset-backed securities. CDO Collateralized debt obligation. NIBC CMI NIBC Credit Management, Inc. REIT Real estate investment trust. CDS Credit default swaps. RMBS Residential mortgage-backed securities. CMBS Commercial mortgage-backed securities. PIK Payment in kind. possibility of the underlying collateral hitting its available funds cap (AFC). There is CDS counterparty risk due to the large amount of synthetic collateral (72% of the target collateral pool). Mitigants Fitch s VECTOR model and default and recovery rate assumptions account for sector and obligor concentrations in the portfolio s assets. The CDS have been executed using fixed cap applicable, so the CDO can only lose the premium it expects to earn due to interest shortfall and is not at the risk of making a payment back to the buyer of the protection. CDS that trade under fixed cap applicable have less AFC risk than do cash bonds. Fitch s criteria includes downgrade language whereby if the swap counterparty rating is downgraded below F1/A, certain measures must be taken to collateralize or replace the swap counterparty. Initial Portfolio The asset portfolio for Orion currently consists of 138 obligations. Initial weighted average life of 4.32 years. Initial weighted average rating factor (WARF) of RMBS cash securities representing approximately 21.5% of the initial portfolio. 2
3 Expected Portfolio Breakdown by Collateral Type (As of April 18, 2006) Expected Portfolio Breakdown by Rating (As of April 18, 2006) Sy nthetic RMBS 72.0% Cash RMBS 21.5% Cash ABS CDO 3.0% Cash CRE CDO 3.5% 'BBB ' 60.5% 'BBB+' 10.3% 'A' 7.7% 'A ' 3.1% 'A+' 1.5% 'BBB' 16.9% RMBS Residential mortgage-backed securities. CDO Collateralized debt obligation. ABS Asset-backed securities. CRE Commercial real estate. RMBS CDS representing approximately 72.0% of the initial portfolio. CRE CDO cash securities representing approximately 3.5% of the initial portfolio. ABS CDO cash securities representing approximately 3.0% of the initial portfolio. Credit Default s Orion (as protection seller) is targeting 72% of its portfolio to be invested in synthetic assets referencing primarily RMBS assets via CDS subject to eligibility criteria. The CDS contracts are structured under the recently released 2006 International s and Derivatives Association Pay As You Go (PAUG) template for RMBS and CMBS asset types, and the credit events include: Failure to pay principal. Writedown. Distressed ratings downgrade. Maturity Extension The CDS may be settled on a PAUG or physical basis at the protection buyer s option. Fitch will perform a detailed document review of all synthetic confirmations. Collateral Fitch s evaluation of the collateral focuses on the quality of the underlying assets expected as of the closing date and on the collateral eligibility criteria. The expected portfolio breakdown by collateral type and rating as of April 18, 2006 is shown in the charts above. The collateral manager has the ability to sell 5% of the collateral per annum on a discretionary basis during the 4.5-year revolving period. NIBC CMI anticipates that the collateral pool will be 85% ramped as of the closing date. The table on page 2 summarizes the criteria with which the pool must comply throughout the life of the deal. It should be noted that NIBC CMI may sell creditrisk securities and reinvest the proceeds at any time during the reinvestment period subject to collateral eligibility criteria. This feature allows the collateral manager the flexibility to mitigate losses in a high default rate environment and avoid potential defaults on assets that the manager determines to be significant credit risks. In addition, NIBC CMI may sell credit-improved securities at any time, thus enabling the manager to capture capital gains in the portfolio collateral. In accordance with Fitch s approach for structured finance collateral review, Fitch does not rely on a minimum percentage of Fitch-rated collateral in order to rate a structured finance CDO. In addition, Fitch does not impose a formulaic, generalized treatment of other agencies ratings. Alternatively, Fitch accepts the lowest explicit rating from one of the other agencies, unless it identifies a clear difference of opinion on a particular security. If it is determined that Fitch has a significant difference of opinion on a particular security, a Fitch rating estimate will be provided to the investment adviser for purposes of calculating the WARF of the CDO. This approach is 3
4 intended to increase the collateral manager s ability to purchase securities based on risk/return profiles rather than CDO rating restrictions. Prime RMBS Fitch expects the 2006 outlook for prime loan collateral and the performance of transactions to be positive. Prime loan performance has remained strong despite a significant increase in hybrid adjustable-rate mortgages (ARMs) and affordability products. A favorable interest rate and housing environment are contributing factors. Prepayment rates slowed dramatically for prime loans during the first nine months of 2005, which prevented the credit enhancement of the bonds from growing at the rate seen in earlier years. The combination of rising rates, slower home price appreciation, and slower credit enhancement growth are expected to result in fewer upgrades of prime RMBS bonds in ARM concentrations have continued to increase and now account for approximately 75% of new issuance, up from about 33% in 2001, while interest-only (IO) and option ARM loans together account for more than 50% of prime issuance, up from less than 10%. Fitch believes that higher short-term interest rates will impede the volume of affordability products originated in Borrowers will find that they no longer offer the very low initial rates and mortgage payments they did in the past, diminishing their attractiveness relative to fixed-rate mortgages (FRM). With long-term rates still at relatively low levels, 15- and 30-year FRMs will become increasingly attractive compared with an option ARM or IO loan, and borrowers are likely to lock in to a fixed rate before the yield curve becomes steeper. To that end, Fitch expects FRM market share in the prime sector to increase as the option ARMs and IOs approach their rate resets in 2006 and In anticipation of this, borrowers who would otherwise refinance into another IO may find an FRM more cost effective and less risky. The 2006 outlook for Alt-A transactions is positive. As with the prime sector, the recent vintage collateral performance has been solid, despite a significant increase in hybrid ARM, hybrid ARM IO, and option ARM production. Given that the vast majority of these products outstanding do not face a rate adjustment or amortization start date in 2006, Fitch does not expect to see much credit risk pressure from these products in the coming year. Subprime RMBS As evidenced in the chart at the top left of page 3, RMBS collateral constitutes nearly 100% of the target portfolio, the majority of which is subprime collateral. Therefore, examining Fitch s 2006 outlook for this asset class is beneficial as well. The 2006 rating volatility outlook for U.S. subprime transactions is stable to negative, while the asset performance outlook is declining. The collateral performance of recent vintages has been strong despite the significant increase in affordability products and nonfull documentation loans. A record number of subprime U.S. RMBS collateralized by hybrid IO ARMs were completed during the first nine months of Fitch expects subprime hybrid ARM and hybrid IO ARM volumes to also subside in 2006 due to the rising interest rate environment and consequent slowdown in home price appreciation. This will be partially offset by an increase in FRM volumes. Unlike the prime sector, many subprime hybrid IO ARMs have rate resets during the IO period and the payment shock could be substantial from the rate adjustment. Some portion of the 2003 and 2004 subprime borrowers approaching a rate reset in 2006 may refinance into FRMs with 40-year amortization schedules or longer term ARMs. In addition, new products such as the 2/38-hybrid ARM product, which provides a fixed rate for two years and an adjustable rate for 38 years, are surfacing and should help keep mortgage payments at manageable levels. As a result, term refinancing volume is likely to increase even though overall refinancing levels within the subprime sector are expected to fall. The subprime mortgage industry is positioned for consolidation in Smaller mortgage originators will continue to feel squeezed due to high origination costs and prohibitive whole loan execution. As a result, mergers and acquisition activity in this sector may increase. Reduced competitive pressures can be expected to improve loan quality, since fewer lenders will be vying for the same business. For more information on prime and subprime RMBS see, 2006 Global Structured Finance Outlook: Economic and Sector-by-Sector Analysis, dated Dec. 06, 2005, available on Fitch s web site at 4
5 Surveillance information on Fitch-rated prime and subprime RMBS transactions is located on Fitch s web site at Collateral Manager NIBC CMI, a Securities and Exchange Commission registered investment advisor, is the collateral manager for Orion NIBC CMI operates under the fund management arm of NIBC Bank N.V. (NIBC Bank, rated A/F1 by Fitch), the fifth largest Dutch commercial bank and among the largest issuers of Dutch RMBS. NIBC CMI s principals have an average of 20 years of experience in portfolio management and deal structuring. The group, based in Greenwich, CT, comprises 17 professionals managing approximately $5.4 billion of assets, including three CDO portfolios: Belle Haven ABS CDO ($1.0 billion), Belle Haven ABS CDO ($750 million), and Belle Haven ABS CDO , which is expected to close in May 2006 ($2.0 billion). In addition, the group manages U.S. structured credit portfolios for an affiliate of NIBC Bank and for third-party investors with a focus on acquiring, managing and trading structured finance products such as RMBS, CMBS, CDO, and ABS in both funded and synthetic form. Although an affiliate of NIBC CMI has the ability to provide warehouse and balance sheet capacity to NIBC CMI, in the case of Orion , CALYON will warehouse the cash funded and synthetic collateral. An affiliate of NIBC CMI will co-invest in some portion of the rated notes, although this will not include the preference shares. Following an on-site review of NIBC CMI and its management team, Fitch believes that NIBC CMI has the necessary experience, infrastructure, and controls to meet its responsibilities as collateral manager for Orion NIBC CMI is supported by NIBC Bank s compliance/legal, operations, and auditing teams and will benefit from the systems currently being used to support NIBC CMI s existing CDO businesses. As the scope of NIBC CMI s business expands, Fitch expects to see a commensurate increase in the resources and staffing dedicated to supporting their activities. Structure Structural protection is derived primarily from the subordination of lower rated classes of notes to higher rated classes and the subsequent prioritization of cash flows. Interest payments will be made to all classes of notes on a sequential basis, beginning with any funded portion of the super senior liquidity facility (and any commitment fees on any undrawn portion), followed Transaction Structure Default s $936 Million Counterparty A Counterparty B Counterparty C Counterparty D Premium Protection Credit Default Counterparty (Calyon) Premium Protection Deal Size $1.3 Billion Managed by NIBC Credit Management, Inc. Reserve Account Cash Bonds $364 Million Premium Protection Interest and Principal Proceeds Super Senior Class $936 Million Funded Notes Class A $98.5 Million Class B $81.0 Million Class C $77.0 Million Class D $36.0 Million PS $71.5 Million PS Preferred shares. 5
6 by classes A through D. Any unpaid interest on classes C and D will be deferred and paid in accordance with the priority of payments (see chart preceding page). In the case of any credit events with respect to the CDS contracts, the reserve account will initially be drawn upon to make credit protection payments. After the reserve account has been depleted, the super senior class will be drawn upon to make credit protection payments (or for payment in the case of the physical settlement option). The outstanding super senior drawn amount receives interest of one-month London Interbank Offered Rate plus a spread, while the undrawn portion will receive an ongoing commitment fee. During the 4.5-year reinvestment period, the collateral manager may use cash principal collections to purchase additional collateral for the portfolio or may rereference securities in the event of CDS contract expiry. All reinvested and re-referenced assets must adhere to the eligibility criteria. The reserve account may also be drawn upon to purchase additional cash bonds during the reinvestment period; however, at any time, the CDS notional amount must be equal to or less than the sum of the unfunded amount of the super senior class and the reserve account. Also, during the reinvestment period and after the preference shares have achieved an annualized coupon of 12%, any remaining interest proceeds will be used to redeem the class D notes up to 0.80% of the original principal note balance. After that, the remaining excess interest will be paid to the preference shares and the collateral manager in accordance with the priority of payments. After the reinvestment period, principal payments on the rated notes will be paid pro rata to both the super senior class and the funded notes until the ramp-up collateral balance has paid down to 50% or until the failure of a coverage test, after which principal proceeds will be paid sequentially for the remainder of the deal. Upon the expiration of the CDS contracts during this period, CDS notional reductions will be used to reduce the unfunded portion of the super senior class. To ensure the soundness of the structure, cash flow must be adequate to support the various classes of notes and the obligations thereof. Structural triggers such as the overcollateralization (OC) and interest coverage (IC) tests are designed to maintain such protection. To the extent that a coverage test is Coverage Test Triggers (%) Class B Class C Class D Overcollateralization Interest Coverage failing, all remaining interest and principal collections are used to redeem the notes sequentially starting with the super senior class (paid to the reserve account if there is no drawn amount). The coverage tests, which can be triggered after the reinvestment period, are calculated and applied after the payments of current interest according to the priority of payments. The OC ratio is calculated by dividing the aggregate value of portfolio assets, reference assets, and the reserve account by the outstanding principal balance of the rated notes and the unfunded super senior tranche. Portfolio asset values are calculated using 100% of the aggregate par amounts of performing assets and the lesser of the market value and applicable recovery rate of the defaulted assets. Another structural mechanism within Orion is the ability to solicit auction bids for the entire portfolio of securities whereby sales proceeds are used to pay down the rated notes. Beginning in 2014, the trustee may solicit auction bids for the purchase of all the remaining collateral securities. The sale proceeds will then be used to redeem the notes on the payment date immediately following the auction date, with any additional amount going to the preference shareholders. Furthermore, if the auction does not occur, all remaining excess proceeds will be used to pay down the notes in reverse sequential order until retired. The notes have a legal final maturity occurring in May Trustee The trustee, Wells Fargo Bank, N.A., will have a perfected security interest in the assets of the issuer for the benefit of the noteholders. Furthermore, the issuer is organized as a special purpose vehicle created solely to acquire and maintain the assets of the CDO and issue the CDO liabilities. Cash Flow Analysis As part of the rating process for Orion , cash flow modeling is performed to stress the strength of the expected collateral portfolio and transaction structure. Fitch stresses the transaction under various default, prepayment, and interest rate scenarios. This includes modeling the cash flows under front-loaded, 6
7 Cumulative Default and Recovery Rate Assumptions for Orion (%) Base 4.32 WAL Fast 2.35 WAL Slow 7.50 WAL Recovery Recovery Recovery Class Stress Default Rate Rate Default Rate Rate Default Rate Rate A AAA B AA C A D BBB WAL Weighted average life. back-loaded, and VECTOR model base case default timing scenarios to test the sensitivity of the structure to the timing of defaults. The cumulative default and recovery rates are also based on the portfolio characteristics (as provided by the underwriter and/or asset manager) modeled according to the worst case covenanted parameters, as well as to the priority of payments as described in the Structure section, page 5. Cumulative default and recovery rate assumptions may be modified as deal parameters change prior to pricing and closing. The synthetic collateral, the reserve account, and the unfunded super senior class were accounted for in Fitch s modeling process for Orion The funded portion of the super senior class was separated from the unfunded portion of the super senior class depending on the percentage of defaults applied in each scenario. The reserve account was monitored to ensure that its balance, along with the unfunded super senior amount, was always more than the CDS notional amount. The rated classes of notes passed all the applicable stress scenarios based on the initial collateral pool. The rated notes made interest payments on scheduled interest payment dates and returned the full balance of principal by the legal final maturity date, as provided for within the governing documents of the transaction. In addition, the issuer may hedge the unmatched exposure between fixed-rate assets and floating-rate note obligations with an interest rate swap agreement. For modeling purposes, a swap notional amount of $61 million was used over a period of approximately eight years, beginning in August 2006, with a fixed swap rate of 8.00%. Surveillance It is Fitch s practice to monitor the performance of an issuer as long as the rated debt is outstanding. As part of the ongoing surveillance process, Fitch requests monthly reports that provide detailed information on the total capitalization of the issuer, the individual investments adherence to investment restrictions, and calculations of the OC and IC tests. In addition, Fitch conducts an annual review with the collateral administrator while the rated notes are outstanding. As part of Fitch s approach to analyzing structured product collateral, Fitch will receive offering documents, monthly summary reports, and electronic asset-specific information, including current ratings and market values. This enables Fitch to monitor the performance of all CDO collateral securities. After closing, surveillance information on this transaction will be available on Fitch s web site at Copyright 2006 by Fitch, Inc., Fitch Ratings Ltd. and its subsidiaries. One State Street Plaza, NY, NY Telephone: , (212) Fax: (212) Reproduction or retransmission in whole or in part is prohibited except by permission. All rights reserved. All of the information contained herein is based on information obtained from issuers, other obligors, underwriters, and other sources which Fitch believes to be reliable. Fitch does not audit or verify the truth or accuracy of any such information. As a result, the information in this report is provided as is without any representation or warranty of any kind. A Fitch rating is an opinion as to the creditworthiness of a security. The rating does not address the risk of loss due to risks other than credit risk, unless such risk is specifically mentioned. Fitch is not engaged in the offer or sale of any security. A report providing a Fitch rating is neither a prospectus nor a substitute for the information assembled, verified and presented to investors by the issuer and its agents in connection with the sale of the securities. Ratings may be changed, suspended, or withdrawn at anytime for any reason in the sole discretion of Fitch. Fitch does not provide investment advice of any sort. Ratings are not a recommendation to buy, sell, or hold any security. Ratings do not comment on the adequacy of market price, the suitability of any security for a particular investor, or the taxexempt nature or taxability of payments made in respect to any security. Fitch receives fees from issuers, insurers, guarantors, other obligors, and underwriters for rating securities. Such fees generally vary from USD1,000 to USD750,000 (or the applicable currency equivalent) per issue. In certain cases, Fitch will rate all or a number of issues issued by a particular issuer, or insured or guaranteed by a particular insurer or guarantor, for a single annual fee. Such fees are expected to vary from USD10,000 to USD1,500,000 (or the applicable currency equivalent). The assignment, publication, or dissemination of a rating by Fitch shall not constitute a consent by Fitch to use its name as an expert in connection with any registration statement filed under the United States securities laws, the Financial Services and Markets Act of 2000 of Great Britain, or the securities laws of any particular jurisdiction. Due to the relative efficiency of electronic publishing and distribution, Fitch research may be available to electronic subscribers up to three days earlier than to print subscribers. 7
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