OREANDA-NEWS. November 10, 2015. Fitch Ratings has affirmed NC Trust 2005-GATE Re-Packaging Trust class A and EC certificates at 'Asf'. The Rating Outlook remains Stable.

A full list of rating actions follows at the end of this press release.


'Asf' Asset Quality: The rating on the certificates will be linked with the rating on the underlying bond, which is currently rated by Fitch at 'Asf'; Outlook Stable.

Simple Pass-through Structure: The repack trust is structured as a simple pass-through. Amount of interest payable is equal to interest payments received on the underlying bond net of trust expenses, which are capped at interest payments received for any related distribution date. The total parity of repackaging trust will be constant at 100%. All of the class A and EC-1 to EC-4 certificates mature on the same date, which is two business days after the maturity date of the underlying bond. As such, the risk exposure of the repack certificates in terms of timely payment of interest and ultimately payment of principal is not more than that of the underlying bond.

Robust Performance of the Underlying Trust: Total parity of the underlying trust reached its release level of 104% in early 2012 from 97.73% at closing in June 2005. Fitch estimates the remaining defaults for the underlying trust to be 5% to 8% with a recovery rate of 30%.

Legal Structure: The underlying bond is repackaged through a true sale agreement to the repack trust from the seller. The beneficial interest of the repack trust will be owned by the certificate holders.


The ratings on the class A and EC-1 to EC-4 certificates are linked to the ratings on the underlying bond. For the underlying trust, Fitch's base case default proxy is derived primarily from historical collateral performance; actual performance may differ from the expected performance, resulting in higher loss levels or lower excess spreads than the base case. This will result in a decline in available credit enhancement and the remaining loss coverage levels available to the notes and may make certain note ratings susceptible to potential negative rating actions, depending on the extent of the decline in the coverage. Rating sensitivity results should only be considered as potential outcomes, as the transaction is exposed to multiple dynamic risk factors. Rating sensitivity results should not be used as an indicator of future rating performance.


No third party due diligence was provided or reviewed in relation to this rating action.

Fitch has affirmed the following ratings:

NC Trust 2005-GATE Re-Packaging Trust:
--class A1 certificates at 'Asf'; Outlook Stable;
--class A2 certificates at 'Asf'; Outlook Stable;
--class A3 certificates at 'Asf'; Outlook Stable;
--class A4 certificates at 'Asf'; Outlook Stable;
--class A5 certificates at 'Asf'; Outlook Stable;
--class EC-1 certificates at 'Asf'; Outlook Stable;
--class EC-2 certificates at 'Asf'; Outlook Stable;
--class EC-3 certificates at 'Asf'; Outlook Stable;
--class EC-4 certificates at 'Asf'; Outlook Stable.