LONDON, Feb. 14 /PRNewswire/ -- Standard & Poor's today raised its ratings
on the class B second priority secured fixed-rate notes issued by Duchess I
CDO S.A. At the same time, the ratings on the class A-1 notes, class A-2
notes, and the revolving loan facility were affirmed (see list below).
The rating actions on the notes follow the improvement in the credit
quality of the portfolio as a result of a EUR250 million tap issuance in
respect of the transaction, scheduled to close today. The enlarged portfolio
under the tap issuance was subjected to the same cash flow stress scenarios
utilized in the original analysis. Under the stress scenarios, the class B
notes' cash flow results passed a 'BB+' level of tolerance.
Duchess I CDO S.A.'s ratings continue to reflect the credit quality of the
portfolio, the level of credit enhancement provided by subordination and
excess spread, and the 'AAA' rating of Financial Security Assurance (U.K.)
Ltd. (FSA), which has issued an insurance policy to the trustee, for the
benefit of the class A notes only.
The transaction is a cash flow, fully funded arbitrage collateralized debt
obligation (CDO) in which the portfolio comprises bank loans, private
placements, bank subordinated notes, high-yield securities, and structured
finance securities.
RATINGS RAISED
Duchess I CDO S.A.
EUR1 Billion Fixed- and Floating-Rate Notes and Income Notes
Class Rating
To From
B BB+ BB
OUTSTANDING RATINGS AFFIRMED
Duchess I CDO S.A.
EUR1 Billion Fixed- and Floating-Rate Notes and Income Notes
Class Rating
A Rev AAA
A-1 AAA
A-2 AAA
C N.R.
N.R.--not rated.
SOURCE Standard & Poor's
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Related links:
http://www.standardandpoors.com/ratings
CONTACT:
Mario Jadotte, London, +44-20-7826-3751, or
Miriam Salvador, London, +44-20-7826-3712, both for Standard &
Poor's
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