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Rating Action:

Moody's downgrades EUR 244.653m Notes of Bruckner CDO I

11 Nov 2010

London, 11 November 2010 -- Moody's Investors Service announced today the following downgrade rating actions on several classes of Notes issued by Bruckner CDO I BV.

....EUR177.5M Class A-1 Secured Floating Rate Notes, Downgraded to A3 (sf); previously on Mar 11, 2009 Confirmed at Aa2 (sf)

....EUR28.75M Class A2-1 Secured Floating Rate Notes, Downgraded to Ba1 (sf); previously on Nov 24, 2009 Downgraded to A3 (sf)

....EUR8.5M Class A2-2 Secured Fixed Rate Notes Notes, Downgraded to Ba1 (sf); previously on Nov 24, 2009 Downgraded to A3 (sf)

....EUR10.25M Class B Secured Floating Rate Notes, Downgraded to B3 (sf); previously on Nov 24, 2009 Downgraded to Ba2 (sf)

....EUR4.6M Class C-1 Deferrable Interest Secured Floating Rate Notes, Downgraded to Caa3 (sf); previously on Nov 24, 2009 Downgraded to Caa1 (sf)

....EUR1.15M Class C-2 Deferrable Interest Secured Fixed Rate Notes, Downgraded to Caa3 (sf); previously on Nov 24, 2009 Downgraded to Caa1 (sf)

....EUR 2.6M Class D-1 Deferrable Interest Secured Floating Rate Notes, Downgraded to Ca (sf); previously on Nov 24, 2009 Downgraded to Caa3 (sf)

....EUR 8.4M Class D-2 Deferrable Interest Secured Fixed Rate Notes, Downgraded to Ca (sf); previously on Nov 24, 2009 Downgraded to Caa3 (sf)

....EUR6.3M Class Q Combination Notes Notes, Downgraded to Ca (sf); previously on Nov 24, 2009 Downgraded to Caa3 (sf)

....EUR10.1M Class S Combination Notes Notes, Downgraded to Ca (sf); previously on Nov 24, 2009 Downgraded to Caa3 (sf)

RATINGS RATIONALE

Moody's said the rating actions on the notes result primarily from deterioration in the credit quality of the portfolio leading to a heightened risk to the transaction of experiencing an event of default. An event of default may occur due to the failure, on any measurement date, of the Class A/B Par Value Ratio Test to be equal or greater than 100%. The Class A/B Par Value Ratio Test was 103.5% as reported in the Trustee report dated 30 September 2010. During the occurrence and continuance of an event of default, the Class A1 Note holders, the controlling creditors of the transaction, are entitled to direct the Trustee to take particular actions with respect to the collateral and the notes, including liquidation of the portfolio assets. If liquidation is selected as the post-event-of-default remedy, the likelihood of all classes beside the Class A1 incurring a loss is high, though the severity of loss of each class may be different depending on the timing and outcome of a liquidation.

The likelihood of an event of default is becoming material due to the increased level of portfolio assets rated Ca or Caa representing 5.4% and 9.4% of the portfolio, respectively. Moody's also performed additional sensitivity analysis by estimating an additional 4% of the portfolio, roughly the 55% of the current B rated assets, to be downgraded to Caa or below and found that an event of default is likely to be triggered.

This transaction is a managed cash CDO of European Structured Finance ("SF") assets, with exposure to RMBS (33%), ABS credit card and auto loans (28%), CLO (15%), SME (11%) and CMBS (12%). The current size of the portfolio is EUR 229.749 mil. The Class A1 notes have been repaid by 11.5% of their initial principal balance after the reinvestment period ended on the 29th December 2010. Since Class A/B Par Value Ratio test is failing, the Class C, the Class D, the subordinated notes and consequently the Combo notes are currently deferring the payment of interest to meet the required level of 107%. The deferral of interest payment will last until the Class A/B coverage test is restored to the minimum required level.

The 10 year WARF has deteriorated to 1542 as reported by the Trustee in September 2010, (corresponding to an average portfolio rating of Ba2 ) compared to a WARF of 939 (Ba1) as reported by the Trustee in October 2009. Since the last rating action in November 2009 the CLO, the SME and the CMBS portion of assets in the pool has materially deteriorated with more than 10% of the current portfolio downgraded more than 5 notches.

The principal Methodology used in this rating was "Moody's Approach to Rating SF CDOs" published in August 2009.

Moody's Investors Service applied the Monte Carlo simulation framework within CDOROM to generate default and recovery scenarios for each asset in the portfolio and then a cash-flow model in order to compute the associated loss to each tranche in the structure. The cash flow model used for this transaction, whose description can be found in the methodology listed above, is Moody's EMEA Cash-Flow model.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

REGULATORY DISCLOSURES

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Please see ratings tab on the issuer/entity page on Moodys.com for the last rating action and the rating history.

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London
Gabriele Gramazio
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Neelam S. Desai
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
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Moody's downgrades EUR 244.653m Notes of Bruckner CDO I
No Related Data.
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