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Fitch: Proposed Extension of Reinvestment Period Will Not Impact Ratings of Hamlet II, Ltd/LLC

NEW YORK--(BUSINESS WIRE)-- Fitch Ratings has been notified of a proposed extension to the reinvestment period for Hamlet II, Ltd/LLC (Hamlet II), which if enacted will extend the reinvestment period by one year to November 2014 from the initially scheduled November 2013 end date.

Fitch has assessed the potential impact of the extension of the reinvestment period by analyzing a portfolio with an extended weighted average life and reduced weighted average spread and coupon characteristics to reflect the manager's ability to manage the portfolio toward the covenanted levels during the reinvestment period. Fitch does not expect a one-year extension of the reinvestment period to have a negative impact on the ratings of the outstanding notes of Hamlet II.

Fitch affirmed the ratings of Hamlet II and revised the Outlook on the class B notes to Positive from Stable in March 2012 based on the stable performance of the underlying portfolio and the continued accumulation of additional credit enhancement to the notes since the transaction closed in 2006. A structural feature in the transaction diverts excess interest proceeds for the purchase of additional collateral during the reinvestment period. Fitch calculates that almost $73 million of such proceeds have been reinvested since the deal closed, including $10.7 million over the last two payment dates since Fitch's review in March.

Fitch is not a party to the transaction and therefore does not provide consent or approval to changes in its terms, as that remains the sole preserve of the transaction parties. Fitch expects to be notified by the trustee when or if the proposed extension of the reinvestment period becomes effective.

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

Applicable Criteria and Related Research:

--'Global Structured Finance Rating Criteria' (June 6, 2012);

--'Global Rating Criteria for Corporate CDOs' (Aug. 8, 2012);

--'Global Criteria for Cash Flow Analysis in CDOs' (Sept. 13, 2012);

--'Criteria for Interest Rate Stresses in Structured Finance Transactions' (March 20, 2012);

--'Counterparty Criteria for Structured Finance Transactions' (May 30, 2012).

Applicable Criteria and Related Research:

Counterparty Criteria for Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=678938

Criteria for Interest Rate Stresses in Structured Finance Transactions

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=673560

Global Criteria for Cash Flow Analysis in CDOs

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=688518

Global Structured Finance Rating Criteria

http://www.fitchratings.com/creditdesk/reports/report_frame.cfm?rpt_id=679923

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Fitch Ratings
Primary Analyst
Robert Rhein, +1-312-606-2314
Director
Fitch, Inc.
70 West Madison Street
Chicago, IL 60602
or
Committee Chairperson:
Derek Miller, +1-312-368-2076
Senior Director
or
Media Relations:
Brian Bertsch, New York, +1 212-908-0549
Email: brian.bertsch@fitchratings.com

Source: Fitch Ratings