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Rating Action:

Moody's reviews for upgrade 78 tranches from 15 European CLO transactions

10 Jul 2012

Upgrade announced of EUR371 million CLO notes of Wood Street CLO 1 B.V. and EUR52 million CLO Notes of Vallauris II CLO PLC

London, 10 July 2012 -- Moody's Investors Service announced today that it has placed 78 tranches from among 15 European collateralised loan obligation (CLO) transactions on review for upgrade. The affected 78 tranches are currently rated Aa1(sf) and below. This rating announcement is driven by a correction to the rating model Moody's used for these transactions, as well as by the generally stable performance of the affected tranches since the last rating action in 2011.

As a result of the aforementioned correction and slight collateral performance improvements, Moody's has today also upgraded the ratings on the notes issued by Vallauris II CLO plc. and Wood Street CLO I B.V.

A full list of affected ratings is provided at the end of the ratings rationale section.

RATINGS RATIONALE

Today's actions reflect the correction Moody's has made to the rating model for these transactions. Prior to the correction, the rating model had not been grossing up the lagged recoveries on defaulting loans in the pool when modelling counterparty risk associated with loan participations. Had the recoveries been grossed up correctly, the model would have indicated a lower expected loss for each of the classes of notes at the time of the last rating action in 2011. A lower expected loss could have positively influenced the ratings of the affected notes. Moody's has now corrected the rating model, and only 17 European CLO transactions will be affected.

15 EUROPEAN CLO TRANSACTIONS ON REVIEW FOR UPGRADE

Moody's decision to place the ratings of 15 European CLO transactions on review for upgrade reflects the rating model correction and the fact that the performance of the transactions has generally been stable since the last rating action in 2011. Moody's has not updated key modelling assumptions, sensitivities, cash flow analysis and stress scenarios for these 15 European CLO transactions as today's rating announcement has been primarily driven by the model correction. Moody's will immediately begin reassessing all of its outstanding ratings on these transactions on an individual basis.

UPGRADE OF VALLAURIS II CLO NOTES

Further to the above-mentioned correction to the rating model, as well as a slight improvement in collateral performance, Moody's has today upgraded the notes issued by Vallauris II CLO.

Improvements in the credit quality of the transaction are reflected in the better-than-average credit rating of the portfolio, as measured by the weighted average rating factor (WARF). As of the latest trustee report dated 31 May 2012, the WARF for the transaction is currently 2889 compared to 3126 in the June 2011 report.

However, although not outweighing the positive impact from WARF improvement, the over-collateralisation ratios of the rated notes have deteriorated since the rating action in August 2011. Current over-collateralisation ratios for the Class II, Class III and Class IV notes stand at 118.27%, 104.67% and 100.50%, respectively, compared with 124.52%, 110.35% and 105.77% in June 2011. Over-collateralisation ratios for both the Class III and Class IV notes are failing the trigger levels. Moody's also notes that the Class IV notes are still deferring interest. In addition, securities rated Caa or lower currently make up approximately 9.8% of the underlying portfolio versus 6.36% in June 2011. Additionally, defaulted securities total about EUR32 million of the underlying portfolio, compared with EUR19 million in June 2011.

Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations", published in June 2011, key model inputs used by Moody's in its analysis, such as the portfolio par amount, WARF, diversity score and weighted average recovery rate, may be different from the trustee's reported numbers. Under its base case scenario, Moody's assessed the underlying collateral pool as having a performing par and principal proceeds balance of EUR223 million, defaulted par of EUR39 million, a weighted average default probability of 22.92% (consistent with a WARF of 3196), a weighted average recovery rate upon default of 48.31% for a Aaa liability target rating, a diversity score of 26 and a weighted average spread of 3.47%.

In the process of determining the final rating, Moody's took into account the results of a number of sensitivity analyses:

(1) Lower Weighted Average Spread - To test the deal sensitivity to key parameters, Moody's modelled a lower weighted average spread of 3.01%, which is the midpoint between reported and covenanted values. This model-run generated outputs that were within one notch of the base case scenario results.

(2) Deterioration of Credit Quality - Moody's considered a model-run where the base case WARF was increased by 10%. This case yielded model outputs that are within one notch of the base case scenario results.

UPGRADE OF WOOD STREET CLO I NOTES

Similarly to the Vallauris notes, Moody's has today also upgraded the notes issued by Wood Street CLO I as a result of the correction to the rating model as well as a slight improvement in collateral performance.

Since the September 2011 rating action, the Class A notes have been paid down by approximately EUR32.5 million, which has increased over-collateralisation ratios. As of the latest noteholder valuation report dated 22 May 2012, the Class A/B, Class C, Class D and Class E over-collateralisation ratios have increased by 7.23%, 5.58%, 4.36% and 3.59%, respectively, to 134.71%, 122.69%, 112.85% and 109.67%, since the last rating action in September 2011. All coverage tests are compliant.

Under its base case scenario, Moody's assesses the underlying collateral pool as having a performing par and principal proceeds balance of EUR410.4 million, defaulted par of EUR7.78 million, a weighted average default probability of 20.38% (consistent with a WARF of 3042), a weighted average recovery rate upon default of 46.22% for a Aaa liability target rating, a diversity score of 30 and a weighted average spread of 3.60%.

In the process of determining the final rating, Moody's took into account the results of a number of sensitivity analyses:

(1) Lower Weighted Average Spread - To test the deal sensitivity to key parameters, Moody's modelled a lower weighted average spread of 3.03%. This model-run generated outputs that were within one notch off the base case scenario results.

(2) Deterioration of Credit Quality - Moody's considered a model-run where the base case WARF was increased by 10%. This case yielded model outputs that are within two notches off the base case scenario results and are consistent with today's rating actions.

For both the Vallauris II CLO and Wood Street CLO I deals, Moody's derive the default probability from the credit quality of the collateral pool and its expectation of the remaining life of the collateral pool. The average recovery rate to be realised on future defaults is based primarily on the seniority of the assets in the collateral pool. For an Aaa liability target rating, Moody's assumed that more than 90% of the portfolio that is exposed to senior secured corporate assets would recover 50% upon default, while the remaining non first-lien loan corporate assets would recover 10%. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also relevant factors. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis in which they are subject to stresses as a function of the target rating of each CLO liability being reviewed.

Both transactions are subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by (1) uncertain credit conditions in the general economy; and (2) the large concentration of speculative-grade debt maturing between 2014-16, which may be challenging for issuers to refinance. The performance of CLO notes may also be affected either positively or negatively by (1) the manager's investment strategy and behaviour; and (2) a divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities.

Sources of additional performance uncertainties are described below:

(1) Moody's also notes that a significant percentage of the collateral pool consists of debt obligations whose credit quality has been assessed using the rating agency's credit estimates. Large single exposures to obligors bearing a credit estimate have been subject to a stress applicable to concentrated pools, as per the report titled "Updated Approach to the Usage of Credit Estimates in Rated Transactions", published in October 2009.

(2) Recovery of defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be "defaulted" by Moody's may create volatility in the deal's over-collateralisation levels. Furthermore, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional uncertainties. In analysing defaulted recoveries, Moody's has assumed the lower of the market price and the recovery rate in order to account for potential volatility in market prices. Realisation of higher-than-expected recoveries would positively affect the ratings of the notes.

Vallauris II CLO, issued in July 2006, is a single-currency CLO backed by a portfolio of mostly high-yield European loans. The portfolio is managed by Natixis Banques Populaires and Natixis Asset Management. This transaction is predominantly composed of senior secured loans and will be in reinvestment mode until 26 July 2012.

Wood Street CLO 1, issued in September 2005, is a single-currency CLO backed by a portfolio of mostly high-yield European loans. The portfolio is managed by Alcentra Limited and is predominantly composed of senior secured loans. This transaction exited its reinvestment period in November 2011.

The ratings of the 'combination notes' address the repayment of the 'rated balance' on or before the legal final maturity. For the Class Y notes, the rated balance is equal at any time to the principal amount of the combination note on the 'issue date,' increased by the 'rated coupon' of 0.25% per annum accrued on the rated balance on the preceding payment date minus the aggregate of all payments made from the 'issue date' to such date, either through interest or principal payments. For the Class W and Z notes, the rated balance is equal at any time to the principal amount of the combination note on the issue date minus the aggregate of all payments made from the issue date to such date, either through interest or principal payments. The rated balance may not necessarily correspond to the outstanding notional amount reported by the trustee.

The principal methodology used in these ratings was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Moody's modelled these transactions using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology, published in June 2011.

The cash flow model used for these transactions, whose description can be found in the methodology listed above, is Moody's CDOEdge model.

This model was used to represent the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios which are then weighted considering the probabilities of the binomial distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche.

As such, Moody's analysis encompasses the assessment of stressed scenarios.

In addition to the quantitative factors that are explicitly modelled, qualitative factors form part of the rating committee's considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision.

RATING LIST

Issuer: Vallauris II CLO PLC

....EUR52.3M Class II Senior Floating Rate Notes due 2022, Upgraded to A1 (sf); previously on Aug 23, 2011 Upgraded to A3 (sf)

Issuer: Wood Street CLO I B.V.

....EUR310.5M Class A Senior Secured Floating Rate Notes, Upgraded to Aaa (sf); previously on Sep 28, 2011 Confirmed at Aa1 (sf)

....EUR36M Class B Senior Secured Floating Rate Notes, Upgraded to Aa3 (sf); previously on Sep 28, 2011 Upgraded to A1 (sf)

....EUR29.925M Class C Senior Secured Deferrable Floating Rate Notes, Upgraded to A3 (sf); previously on Sep 28, 2011 Upgraded to Baa2 (sf)

....EUR27.75M Class D1 Senior Secured Deferrable Floating Rate Notes, Upgraded to Ba1 (sf); previously on Sep 28, 2011 Upgraded to Ba2 (sf)

....EUR1.5M Class D2 Senior Secured Deferrable Floating Rate Notes, Upgraded to Ba1 (sf); previously on Sep 28, 2011 Upgraded to Ba2 (sf)

....EUR4M Class Y Combination Notes (outstanding rated balance is EUR 3m), Upgraded to A3 (sf); previously on Sep 28, 2011 Upgraded to Baa2 (sf)

....EUR5M Class Z Combination Notes (outstanding rated balance is EUR 2.8m), Upgraded to Ba3 (sf); previously on Sep 28, 2011 Upgraded to B1 (sf)

Issuer: Boyne Valley B.V.

....EUR33.2M Class B Senior Floating Rate Notes due 2022, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Upgraded to Aa1 (sf)

....EUR38.8M Class C-1 Deferrable Interest Floating Rate Notes due 2022, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Upgraded to Baa1 (sf)

....EUR6.8M Class C-2 Deferrable Interest Fixed Rate Notes due 2022, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Upgraded to Baa1 (sf)

....EUR15.6M Class D Deferrable Interest Floating Rate Notes due 2022, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Upgraded to Ba1 (sf)

....EUR13.5M Class E Deferrable Interest Floating Rate Notes due 2022, B1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 13, 2011 Upgraded to B1 (sf)

Issuer: CELF Loan Partners II plc

....EUR50M Euro 50,000,000 Class B-1 Senior Secured Floating Rate Notes due 2021, A2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 5, 2011 Upgraded to A2 (sf)

....EUR7M Euro 7,000,000 Class B-2 Senior Secured Fixed Rate Notes due 2021, A2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 5, 2011 Upgraded to A2 (sf)

....EUR42.5M Euro 42,500,000 Class C Senior Secured Deferrable Floating Rate Notes due 2021, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 5, 2011 Upgraded to Ba1 (sf)

....EUR19.5M Euro 19,500,000 Class D Senior Secured Deferrable Floating Rate Notes due 2021, B1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 5, 2011 Upgraded to B1 (sf)

Issuer: COUGAR CLO II B.V.

....EUR124.3M Class A Senior Secured Floating Rate Notes due 2025, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 12, 2011 Confirmed at Aa3 (sf)

....EUR45M Class B Subordinated Floating Rate Notes due 2025, B1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 12, 2011 Upgraded to B1 (sf)

Issuer: Harvest CLO II S.A.

....EUR66.15M Class B Senior Floating Rate Notes, A1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to A1 (sf)

....EUR32.1M Class C-1 Senior Subordinated Deferrable Floating Rate Notes, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Baa3 (sf)

....EUR3M Class C-2 Senior Subordinated Deferrable Fixed Rate Notes, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Baa3 (sf)

....EUR17.25M Class D-1 Senior Subordinated Deferrable Floating Rate Notes, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Ba2 (sf)

....EUR3M Class D-2 Senior Subordinated Deferrable Fixed Rate Notes, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Ba2 (sf)

....EUR11.5M Class E-1 Senior Subordinated Deferrable Floating Rate Notes, B1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to B1 (sf)

....EUR2M Class E-2 Senior Subordinated Deferrable Fixed Rate Notes, B1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to B1 (sf)

Issuer: Jubilee CDO I-R B.V.

....EUR594M Class A Senior Secured Floating Rate Notes due 2024, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Aug 9, 2011 Confirmed at Aa1 (sf)

....EUR74.25M Class B Senior Secured Floating Rate Notes due 2024, A3 (sf) Placed Under Review for Possible Upgrade; previously on Aug 9, 2011 Upgraded to A3 (sf)

....EUR72M Class C Senior Secured Deferrable Floating Rate Notes due 2024, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Aug 9, 2011 Upgraded to Ba1 (sf)

....EUR43.2M Class D Senior Secured Deferrable Floating Rate Notes due 2024, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on Aug 9, 2011 Upgraded to Ba3 (sf)

....EUR33.75M Class E Senior Secured Deferrable Floating Rate Notes due 2024, B3 (sf) Placed Under Review for Possible Upgrade; previously on Aug 9, 2011 Upgraded to B3 (sf)

Issuer: Jubilee CDO V B.V.

....EUR28.9M Class A-1B Senior Secured Floating Rate Notes, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Confirmed at Aa2 (sf)

....EUR155.55M Class A-2 Senior Secured Floating Rate Notes, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Confirmed at Aa1 (sf)

....EUR45.8M Class B Senior Secured Floating Rate Notes, A3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Confirmed at A3 (sf)

....EUR46.8M Class C Senior Secured Deferrable Floating Rate Notes, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Confirmed at Ba2 (sf)

....EUR8.475M Class D-1 Senior Secured Deferrable Floating Rate Notes, B2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Upgraded to B2 (sf)

....EUR12.725M Class D-2 Senior Secured Deferrable Fixed Rate Notes, B2 (sf) Placed Under Review for Possible Upgrade; previously on Sep 21, 2011 Upgraded to B2 (sf)

Issuer: Jubilee CDO VI

....EUR25M Class A1-b Senior Secured Floating Rate Notes due 2022, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Confirmed at Aa3 (sf)

....EUR12.5M Class A2-b Senior Secured Floating Rate Notes due 2022, Aa3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Confirmed at Aa3 (sf)

....EUR13M Class A3 Senior Secured Floating Rate Notes due 2022, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Confirmed at Aa1 (sf)

....EUR32M Class B Senior Secured Floating Rate Notes due 2022, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Confirmed at Baa1 (sf)

....EUR27M Class C Senior Secured Deferrable Floating Rate Notes due 2022, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Confirmed at Ba1 (sf)

....EUR21M Class D Senior Secured Deferrable Floating Rate Notes due 2022, B1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Upgraded to B1 (sf)

....EUR17M Class E Senior Secured Deferrable Floating Rate Notes due 2022, Caa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 23, 2011 Upgraded to Caa1 (sf)

Issuer: Kintyre CLO I P.L.C.

....EUR239.75M EUR 239,750,000 Class A Senior Secured Floating Rate Notes due 2023, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 2, 2011 Upgraded to Aa1 (sf)

....EUR20.3M EUR 20,300,000 Class B Senior Secured Deferrable Floating Rate Notes due 2023, A3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 2, 2011 Upgraded to A3 (sf)

....EUR21.7M EUR 21,700,000 Class C Senior Secured Deferrable Floating Rate Notes due 2023, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 2, 2011 Upgraded to Ba1 (sf)

....EUR19.95M EUR 19,950,000 Class D Senior Secured Deferrable Floating Rate Notes due 2023, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on Sep 2, 2011 Upgraded to Ba3 (sf)

....EUR11.55M EUR 11,550,000 Class E Senior Secured Deferrable Floating Rate Notes due 2023, Caa1 (sf) Placed Under Review for Possible Upgrade; previously on Sep 2, 2011 Upgraded to Caa1 (sf)

Issuer: Leopard CLO IV B.V.

....EUR26.25M Euro 26,250,000 Class B Senior Secured Floating Rate Notes due 2022, A1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 4, 2011 Upgraded to A1 (sf)

....EUR15.5M Euro 15,500,000 Class C1 Senior Secured Deferrable Floating Rate Notes due 2022, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 4, 2011 Upgraded to Baa2 (sf)

....EUR7M Euro 7,000,000 Class C2 Senior Secured Deferrable Fixed Rate Notes due 2022, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 4, 2011 Upgraded to Baa2 (sf)

....EUR20.65M Euro 20,650,000 Class D Senior Secured Deferrable Floating Rate Notes due 2022, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 4, 2011 Upgraded to Ba2 (sf)

....EUR11.25M Euro 11,250,000 Class E Senior Secured Deferrable Floating Rate Notes due 2022, B2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 4, 2011 Upgraded to B2 (sf)

Issuer: LEVERAGED FINANCE EUROPE CAPITAL IV B.V.

....EUR30M Revolving Facility Notes, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Confirmed at Aa2 (sf)

....EUR26.3M Class II Senior Floating Rate Notes due 2022, Baa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Upgraded to Baa1 (sf)

....EUR11.7M Class III Deferrable Mezzanine Floating Rate Notes due 2022, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Upgraded to Ba1 (sf)

....EUR19.9M Class IV Deferrable Mezzanine Floating Rate Notes due 2022, B2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Upgraded to B2 (sf)

....EUR7.4M Class V Deferrable Mezzanine Floating Rate Notes due 2022, Caa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Confirmed at Caa2 (sf)

....EUR26M Class I-D Senior Floating Rate Delayed Funding Notes due 2022, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Confirmed at Aa2 (sf)

....EUR158.3M Class I-N Senior Floating Rate Notes due 2022, Aa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 26, 2011 Confirmed at Aa2 (sf)

Issuer: RMF Euro CDO IV PLC

....EUR310.2M Class I Senior Secured Floating Rate Notes, due 2022, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 19, 2011 Confirmed at Aa1 (sf)

....EUR39.3M Class II Senior Secured Floating Rate Notes, due 2022, A1 (sf) Placed Under Review for Possible Upgrade; previously on Jul 19, 2011 Upgraded to A1 (sf)

....EUR15.3M Class III Deferrable Mezzanine Floating Rate Notes, due 2022, A3 (sf) Placed Under Review for Possible Upgrade; previously on Jul 19, 2011 Upgraded to A3 (sf)

....EUR21.6M Class IV-A Deferrable Mezzanine Floating Rate Notes, due 2022, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Jul 19, 2011 Upgraded to Baa3 (sf)

....EUR3.5M Class IV-B Deferrable Mezzanine Fixed Rate Notes, due 2022, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Jul 19, 2011 Upgraded to Baa3 (sf)

....EUR12.6M Class V Deferrable Mezzanine Floating Rate Notes, due 2022, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Jul 19, 2011 Upgraded to Ba2 (sf)

Issuer: Skellig Rock B.V.

....EUR38M Class B Senior Floating Rate Notes due 2022, A1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 20, 2011 Upgraded to A1 (sf)

....EUR34M Class C Deferrable Interest Floating Rate Notes due 2022, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 20, 2011 Upgraded to Baa2 (sf)

....EUR27M Class D Deferrable Interest Floating Rate Notes due 2022, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 20, 2011 Upgraded to Ba2 (sf)

....EUR13.5M Class E Deferrable Interest Floating Rate Notes due 2022, B2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 20, 2011 Upgraded to B2 (sf)

Issuer: Versailles CLO M.E. I p.l.c.

....EUR102.75M Class A-1-D Senior Delayed Draw Floating Rate Notes due 2023, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Confirmed at Aa1 (sf)

....EUR95.3M Class A-1-T Senior Secured Floating Rate Notes due 2023, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Confirmed at Aa1 (sf)

....EUR33M Class A-2 Senior Variable Funding Floating Rate Notes due 2023, Aa1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Confirmed at Aa1 (sf)

....EUR22.5M Class B Senior Secured Floating Rate Notes due 2023, A2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to A2 (sf)

....EUR18M Class C Deferrable Secured Floating Rate Notes due 2023, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Baa2 (sf)

....EUR12.2M Class D Deferrable Secured Floating Rate Notes due 2023, Ba1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Ba1 (sf)

....EUR14M Class E Deferrable Secured Floating Rate Notes due 2023, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on Oct 7, 2011 Upgraded to Ba3 (sf)

Issuer: Windmill CLO I Limited

....EUR55M €55,000,000 Class B Senior Secured Deferrable Floating Rate Notes due 2029, A1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 6, 2011 Upgraded to A1 (sf)

....EUR32M €32,000,000 Class C Senior Secured Deferrable Floating Rate Notes due 2029, Baa2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 6, 2011 Upgraded to Baa2 (sf)

....EUR21M €21,000,000 Class D Senior Secured Deferrable Floating Rate Notes due 2029, Ba2 (sf) Placed Under Review for Possible Upgrade; previously on Oct 6, 2011 Upgraded to Ba2 (sf)

....EUR15M €15,000,000 Class E Senior Secured Deferrable Floating Rate Notes due 2029, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on Oct 6, 2011 Upgraded to Ba3 (sf)

Issuer: Wood Street CLO III B.V.

....EUR49.5M Class B Senior Secured Floating Rate Notes due 2022, A1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 5, 2011 Upgraded to A1 (sf)

....EUR44M Class C Senior Secured Deferrable Floating Rate Notes due 2022, Baa3 (sf) Placed Under Review for Possible Upgrade; previously on Oct 5, 2011 Upgraded to Baa3 (sf)

....EUR24.75M Class D Senior Secured Deferrable Floating Rate Notes due 2022, Ba3 (sf) Placed Under Review for Possible Upgrade; previously on Oct 5, 2011 Upgraded to Ba3 (sf)

....EUR16.5M Class E Senior Secured Deferrable Floating Rate Notes due 2022, B1 (sf) Placed Under Review for Possible Upgrade; previously on Oct 5, 2011 Upgraded to B1 (sf)

REGULATORY DISCLOSURES

The ratings have been disclosed to the rated entities or their designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare each of the ratings are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of these transactions in the past six months.

Moody's considers the quality of information available on the rated entities, obligations or credits satisfactory for the purposes of issuing these ratings.

Moody's adopts all necessary measures so that the information it uses in assigning the ratings is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entities or their related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

In addition to the information provided below please find on the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead analyst and the Moody's legal entity that has issued each of the ratings.

Please see the ratings disclosure page on www.moodys.com for general disclosure on potential conflicts of interests.

Please see the ratings disclosure page on www.moodys.com for information on (A) MCO's major shareholders (above 5%) and for (B) further information regarding certain affiliations that may exist between directors of MCO and rated entities as well as (C) the names of entities that hold ratings from MIS that have also publicly reported to the SEC an ownership interest in MCO of more than 5%. A member of the board of directors of this rated entity may also be a member of the board of directors of a shareholder of Moody's Corporation; however, Moody's has not independently verified this matter.

Please see Moody's Rating Symbols and Definitions on the Rating Process page on www.moodys.com for further information on the meaning of each rating category and the definition of default and recovery.

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

The date on which some ratings were first released goes back to a time before Moody's ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on our website www.moodys.com for further information.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Qian Zhu
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Jian Hu
MD - Structured Finance
Structured Finance Group
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Releasing Office:
Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's reviews for upgrade 78 tranches from 15 European CLO transactions
No Related Data.
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