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Rating Action:

Moody's upgrades notes issued by Asgard CDO plc

30 Dec 2010

London, 30 December 2010 -- Moody's Investors Service announced today the following rating actions on the notes issued by Asgard CDO plc.

Issuer: Asgard CDO plc

....EUR327M EUR 327,000,000 Series A Euro Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to Ba3 (sf); previously on Jun 25, 2009 Downgraded to Caa1 (sf)

....GBP2M GBP 2,000,000 Series A Sterling Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to Ba3 (sf); previously on Jun 25, 2009 Downgraded to Caa1 (sf)

....EUR125M EUR 125,000,000 Series B Euro Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B1 (sf); previously on Jun 25, 2009 Downgraded to Caa1 (sf)

....GBP2M GBP 2,000,000 Series B Sterling Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B1 (sf); previously on Jun 25, 2009 Downgraded to Caa1 (sf)

....NZ$10M NZD 10,000,000 Series B New Zealand Dollar Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B1 (sf); previously on Jun 25, 2009 Downgraded to Caa1 (sf)

....US$20M USD 20,000,000 Series B Dollar Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B1 (sf); previously on Jun 25, 2009 Downgraded to Caa1 (sf)

....US$10M USD 10,000,000 Series C Dollar Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B2 (sf); previously on Jun 25, 2009 Downgraded to Caa2 (sf)

....SwFr5M CHF 5,000,000 Series C Swiss Franc Floating Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B2 (sf); previously on Jun 25, 2009 Downgraded to Caa2 (sf)

....EUR7.5M EUR 7,500,000 Series D Euro Fixed Rate Credit Linked Secured Notes due 2011 Bond, Upgraded to B3 (sf); previously on Jun 25, 2009 Downgraded to Caa3 (sf)

RATINGS RATIONALE

Asgard CDO plc is a synthetic CDO-squared referencing six managed bespoke corporate CDOs and a static ABS portfolio comprised of RMBS assets. Today's rating upgrade actions is the result of the overall credit improvement of the bespoke corporate inner CDOs and the reduction of the time to maturity of the transaction.

There are several reference entities which have been upgraded by more than 4 notches since the last rating action of this transaction in June 2009. Most significant upgrade was Ford Motor Company, which is referenced in five out of six bespoke inner CDOs, rated Ca in June 2009 and is currently rated Ba3, resulting in a change of seven notches. Overall credit quality of each inner CDO has improved by 1-3 notches since the last action.

The ABS portfolio has also decreased its size almost by half since the last review due to amortisation, leaving only five RMBS assets in the portfolio. Currently all assets are rated Aaa although one asset is currently on review for possible downgrade. Credit quality of the ABS portfolio has also improved by 1 notch since the last action.

The notes are scheduled to be redeemed in August 2011, leaving less than 1 year for maturity. The short maturity is another significant factor which gives uplifting pressure to the ratings of the notes.

Moody's performed a number of sensitivity analyses in addition to the standard notching assumption applied to assets under review for possible downgrade. In particular, Moody's considered a model run where all Caa rated reference entities are treated as defaulted in order to test the deal sensitivity to the lowest rated entities in the portfolio. This run generated a result that were lower by 4-5 notches than the one modelled under the base case.

Taking into considerations the result of sensitivity analyses and other factors such as the impact of short time to maturity on the model, the rating committee vote resulted in upgrades of all classes of notes to a level three notches lower than the base case result.

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

Moody's applied Monte Carlo simulation framework within CDOROM v2.7 to model the loss distribution for SF CDOs. The model is available on moodys.com under Products & Solutions -- Analytical Models, upon return of a signed free license agreement.

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.

Moody's did not run a separate loss and cash flow analysis other than the one already done using the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user guide on Moody's website.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck.

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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
Mizuho Tanaka
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.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's upgrades notes issued by Asgard CDO plc
No Related Data.
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