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To: Mark Adams who wrote (136951)	12/4/2001 3:18:39 PM
From: Mark Adams	Respond to of 436258

DJ Fitch CDOs/Enron -2: Exposure Could Be 1% Of Global Mkt NEW YORK (Dow Jones)--Fitch, the rating agency, said Tuesday that it has identified about 20 U.S. and European structured funds it rates that have exposure to Enron Corp. (ENE), the Houston-based energy and trading firm that filed Sunday for bankruptcy protection. Fitch, which initially said Friday that about 15 of these hybrid funds had credit exposure to Enron, also put four classes of securities from three transactions on "RatingWatch" negative because of their exposure to Enron. Until its troubles began in mid-October, Enron was one of the biggest names traded in the credit derivatives market. These derivatives included credit default swaps that are insurance-like contracts, protecting holders from bankruptcy and other credit events like restructurings. A healthy dose of Enron credit risk was also offloaded in structured vehicles known as synthetic collateralized debt obligations, or CDOs. In these deals, the credit risk of a portfolio of obligors is transferred to a swap counterparty and to investors who buy notes ranging from high credit quality to slightly speculative. Fitch said - by some estimates - Enron represented as much as 1% of the total notional, or face value, outstanding of the estimated $1.2 trillion notional amount of the global credit derivatives market. Fitch said a significant portion of this credit derivative exposure resides in synthetic CDOs. It added that some institutions with significant lending exposures to Enron transferred a portion of this risk to the capital markets in the form of balance sheet, or fully-funded CDOs. Fitch said the portfolios of the 20 U.S. and European CDOs it rates total about $19.5 billion, with $181 million of that related to Enron exposure. The Enron exposures are "particularly noteworthy," Fitch said, in light of expectations for low recoveries on senior unsecured corporate obligations. Fitch has previously estimated these recoveries to be in the 20% to 40% range. Synthetic CDOs with cash settlement mechanisms may be more prone to recoveries at the low end of estimates, while structures that facilitate physical settlement and deferred loss recognition may fare better, Fitch said. In Tuesday's ratings actions, Fitch placed the EUR44 million of triple-B-rated notes from the Helix Investment Grade Hybrid Transactions 2001-1 deal and the $75 million of triple-B-rated notes from the Helix Investment Grade Hybrid Transactions 2001-6 on "RatingWatch" negative. The double-B-minus-rated notes and the triple-C-rated notes of the BAC Synthetic CLO 2000-1 deal were also placed on review with negative implications. In addition, Fitch said its review of the Panther CDO I BV, Marylebone Road CBO 3 BV and Eurostar II CDO - European CDOs with Enron exposure - determined that Enron's bankruptcy doesn't warrant a ratings action. -By Joe Niedzielski, Dow Jones Newswires, 201-938-2039; joe.niedzielski@dowjones.com