Expected closing date: April 10, 2003. Collateral: A pool of 'AAA' rated securities. Arranger: Royal Bank of Canada Europe Ltd. Reference portfolio: €1 billion portfolio of investment-grade ABS. Underlying credit default swap: Caribou 2002-D. Credit default swap counterparty: Herald Ltd. Asset swap agreement counterparty: Royal Bank of Canada, London branch (AA-/Stable/A-1+). Custodian: Royal Bank of Canada, London branch. Trustee: The Law Debenture Trust Corp. PLC. Supporting rating: Royal Bank of Canada, London branch (AA-/Stable/A-1+). The preliminary credit rating assigned to the floating-rate notes series 2 to be issued by Herald Ltd. reflect: The credit support in the form of subordination provided by the swap, which is junior to the respective classes; The sound mechanics of the credit default swap and...
Companies mentioned in this report are:
- Royal Bank of Canada
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