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Rating Action:

Moody's assigns provisional ratings to four credit default swaps and ten credit-linked notes in relation to the Goodwood Gold Limited transaction

23 Nov 2007
Moody's assigns provisional ratings to four credit default swaps and ten credit-linked notes in relation to the Goodwood Gold Limited transaction

GBP 76.5 million of credit default swaps, GBP 197.5 million of debt securities and Euro 133.0 million of debt securities rated.

Frankfurt, November 23, 2007 -- Moody's Investors Service has assigned the following provisional ratings to four credit default swaps to be entered into by Lloyd's TSB ("LTSB") and the protection sellers and to ten Credit-linked Notes (denominated in GBP or Euro) issued by Goodwood Gold Limited:

- (P) Aaa to the GBP 76,000,000 CLASS A 1 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Aaa to the Euro 28,000,000 CLASS A 2 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Aa2 to the GBP 25,000,000 Class B Credit Default Swap;

- (P) Aa2 to the GBP 55,000,000 CLASS B 1 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Aa2 to the Euro 16,100,000 CLASS B 2 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) A2 to the GBP 25,000,000 Class C Credit Default Swap;

- (P) A2 to the GBP 33,000,000 CLASS C 1 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) A2 to the Euro 42,700,000 CLASS C 2 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Baa2 to the GBP 11,000,000 Class D Credit Default Swap;

- (P) Baa2 to the GBP 14,000,000 CLASS D 1 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Baa2 to the Euro 19,600,000 CLASS D 2 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Ba1 to the GBP 15,500,000 Class E Credit Default Swap;

- (P) Ba1 to the GBP 19,500,000 CLASS E 1 SME Portfolio Credit Linked Notes Due 5 January 2025;

- (P) Ba1 to the Euro 26,600,000 CLASS E 2 SME Portfolio Credit Linked Notes Due 5 January 2025:

Moody's has not assigned a rating to the senior exposure and the threshold amount.

In this synthetic transaction, LTSB buys credit protection on a reference portfolio consisting of loans granted to small and medium sized businesses across the United Kingdom. The reference portfolio with a maximum size of GBP 3,000 million is very granular with more than 20,000 reference obligations diversified across regions and different industry categories.

The transaction structure includes four mezzanine credit default swaps that are directly contracted between LTSB and a third party as well as ten CDSs that are contracted with Goodwood Gold Limited and are related to five Credit-linked Notes denominated in GBP and five Credit-linked Notes denominated in Euro issued by that entity.

The reference portfolio can be replenished for three years, subject to certain portfolio criteria and certain stop replenishment triggers not being breached. After the replenishment period, the notional amount reduction on the credit default swaps and the Credit-linked Notes is done on a pro rata basis for each Class A to E (e.g. Class B comprises of Class B Credit Default Swap, Class B1 Credit-linked Note, Class B2 Credit-linked Note) as long as the stop pro rata trigger is not breached -- thereafter the notional amount reduction of the credit default swaps and the Credit-linked Notes is done in full sequential order. Credit default swaps and notes within one class are always pro rata and pari passu.

Loss allocation is done in reverse sequential order starting with the threshold amount, which is replenished on the annual excess spread payment dates by synthetic excess spread after the loss allocation has taken place.

According to Moody's the ratings take account of, among other factors: The Class A to Class E swaps and the related Credit-linked Notes benefit from the subordination of the respective lower tranches and the initial threshold amount of Class E; the synthetic excess spread, equal to the initial threshold amount of class E (1.5%), that provides additional credit enhancement. The synthetic excess spread will be available after each yearly loss allocation to replenish the first loss piece. The analysis is based on 3.5 years of historical default data representing the current portfolio composition. The uncertainty related to the longer maturity of the transaction is covered by a conservative extrapolation of the historical default data.

Moody's issues provisional ratings in advance of the final sale of securities, but these ratings only represent Moody's preliminary credit opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the credit default swaps and the Notes. A definitive rating may differ from a provisional rating. Moody's will disseminate the assignment of any definitive ratings through its Client Service Desk.

The ratings address the expected loss posed to investors by the legal final maturity of the notes and the credit default swaps. In Moody's opinion, the structure allows for timely payment of interest and ultimate payment of principal with respect to the notes by the legal final maturity. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors.

Moody's will monitor this transaction on an ongoing basis. For updated monitoring information, please contact monitor.abs@moodys.com. To obtain a copy of Moody's Pre-Sale Report on this transaction, please visit Moody's website at www.moodys.com or contact our Client Service Desk in London (+44-20-7772 5454).

London
Benedicte Pfister
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Frankfurt
Armin Krapf
Analyst
Structured Finance Group
Moody's Deutschland GmbH
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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