Fitch Downgrades 2 Classes of Wilbraham CBO Ltd./Corp.

Tools

CHICAGO--(BUSINESS WIRE)-- Fitch Ratings has downgraded the ratings on two classes of Wilbraham CBO Ltd./Corp. (Wilbraham CBO) and revised the Recovery Rating (RR) on one class as follows:

--$8,753,673 class B-1 notes to 'Dsf/RR6' from 'Csf'/RR6';

--$29,705,008 class B-2 notes to 'Dsf/RR6' from 'Csf/RR5'.

The transaction entered an Event of Default in July 2011 due to failure to pay the full periodic interest amount to the senior most class in the capital structure, the class B-1 and B-2(collectively, the class B) notes. The class B notes have been downgraded to 'Dsf' to reflect the default. Currently, the notes are supported by one performing bond ($0.1 mill.) and two defaulted bonds ($2.2 mill.).

Fitch's analysis assigned an expected loss assumption for each asset, and compared the resulting expected return of the portfolio to the outstanding balances of the notes to determine the notes' Recovery Ratings. The class B notes balance of $38.5 million is not sufficiently covered by the expected return of $0.2 million from the performing and defaulted bonds. This review did not utilize Fitch's Portfolio Credit Model (PCM) or Global Cash Flow model, which incorporates interest rate stresses and default timings, given the 12 months remaining until maturity and the high obligor concentration of the portfolio.

Fitch expects the class B notes to recover 0% to 10% of their current principal balances, consistent with an 'RR6' on Fitch's Recovery Rating scale. Recovery Ratings are designed to provide a forward-looking estimate of recoveries on currently distressed or defaulted structured finance securities. Distressed securities are defined as bonds that face a real possibility of default at or prior to maturity and by definition are rated 'CCC' or below. For further detail on Recovery Ratings, please see Fitch's report 'Global Rating Criteria for Corporate CDOs'.

Wilbraham CBO is a cash flow collateralized debt obligation (CDO) that closed on July 13, 2000. The portfolio of Wilbraham CBO was originally selected and monitored by Babson Capital Management LLC. The transactions stated maturity date is July 13, 2012.

Additional information is available at 'www.fitchratings.com'.

The information used to assess these ratings was sourced from the issuer, periodic trustee reports, note valuation reports, and the public domain.

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (Aug. 16, 2010);

--'Global Rating Criteria for Corporate CDOs' (July 5, 2010);

--'Criteria for Structured Finance Recovery Ratings' (Aug. 17, 2009).

Applicable Criteria and Related Research:

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=547326

Global Rating Criteria for Corporate CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=537494

Criteria for Structured Finance Recovery Ratings

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=644902

ALL FITCH CREDIT RATINGS ARE SUBJECT TO CERTAIN LIMITATIONS AND DISCLAIMERS. PLEASE READ THESE LIMITATIONS AND DISCLAIMERS BY FOLLOWING THIS LINK: HTTP://FITCHRATINGS.COM/UNDERSTANDINGCREDITRATINGS. IN ADDITION, RATING DEFINITIONS AND THE TERMS OF USE OF SUCH RATINGS ARE AVAILABLE ON THE AGENCY'S PUBLIC WEBSITE 'WWW.FITCHRATINGS.COM'. PUBLISHED RATINGS, CRITERIA AND METHODOLOGIES ARE AVAILABLE FROM THIS SITE AT ALL TIMES. FITCH'S CODE OF CONDUCT, CONFIDENTIALITY, CONFLICTS OF INTEREST, AFFILIATE FIREWALL, COMPLIANCE AND OTHER RELEVANT POLICIES AND PROCEDURES ARE ALSO AVAILABLE FROM THE 'CODE OF CONDUCT' SECTION OF THIS SITE.

CONTACT:

Fitch Ratings
Primary Surveillance Analyst
Joyce Grabenstein
Director
+1-212-908-0824
Fitch, Inc.
One State Street Plaza
New York, NY 10004
or
Secondary Surveillance Analyst
Cristina Feracota
Analyst
+1-312-606-2300
or
Committee Chairperson
Derek Miller
Senior Director
+1-312-368-2076
or
Media Relations
Sandro Scenga
+1-212-908-0278
sandro.scenga@fitchratings.com