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Announcement:

Moody's places the ratings of 225 tranches in 103 CLOs under review for possible upgrade

23 Nov 2010

$5.1 billion of debt securities affected

New York, November 23, 2010 -- Moody's Investors Service announced today that it has placed the ratings of 225 tranches in 103 U.S. CLOs under review for possible upgrade. Today's rating actions are summarized in an Excel spreadsheet, which is posted as a link at the bottom of this announcement.

Moody's explained that today's rating actions consider the positive implications of improvement in certain deal collateral quality metrics since the time of the previous rating actions, including WARF (weighted average rating factor), OC (overcollateralization) levels, and/or exposure to defaulted and Caa-rated assets. In identifying this list of transactions, Moody's examined the OC and WARF levels in conjunction with the current tranche rating levels as well as the significance of changes in the key performance metrics.

Moody's also took into account the improving fundamental corporate credit outlook, structural features and other deal characteristics in the consideration of today's actions. Moody's recognizes that improved credit performance of the underlying collateral and favorable market conditions have had and will continue to have positive impact on CLOs. In many transactions Moody's observed successful reinvestment of principal repayments and sale proceeds into substitute assets with below-par purchase price and/or higher ratings. The CLOs also typically benefited from a reduction in par value haircuts due to a decrease in exposure to defaulted securities and/or Caa-rated securities. Furthermore, some CLOs that have ended their reinvestment periods improved the subordination of the rated notes due to substantial amortizations of senior notes, driven by accelerated loan prepayments since the last rating actions.

Moody's says that today's rating actions affect a significant number of junior notes because they have one or more of the following attributes:

• Adequate OC coverage for the affected notes, which was considered in relation to the WARF level;

• The affected notes have either never deferred interest or have resumed paying interest;

• Sufficient OC test "cushion" exists for the notes senior to the affected notes, which makes it less likely for the affected notes to defer interest in the near future;

• Some of the affected notes benefit from a "turbo" amortization feature that enables them to delever ahead of more senior notes under certain conditions.

While in many cases not all tranches from the same deal are placed under watch for possible upgrade, Moody's will review the entire capital structure when it conducts full analysis of each deal and take rating action when warranted. Moody's endeavors to complete full analysis of all affected deals within 90 days.

The deals affected today are collateralized loan obligations backed primarily by portfolios of senior secured loans.

The principal methodology used in rating and monitoring the deals affected today was the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in August 2009. Other methodologies and factors that may have been considered in the process of rating these deals can also be found in the Rating Methodologies sub-directory on Moody's website.

Further information on Moody's analysis of this transaction is available on www.moodys.com. In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our web site, at www.moodys.com/SFQuickCheck.

A list of the review actions associated with this announcement may be found at:

http://www.moodys.com/cust/getdocumentByNotesDocId.asp?criteria=PBS_SF226515

New York
Min Xu
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Jian Hu
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.

Moody's places the ratings of 225 tranches in 103 CLOs under review for possible upgrade
No Related Data.
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