S&P Takes Various Rating Actions on European Monoline Securitizations

February 27, 2008

Standard & Poor’s Ratings Services has issued another bulletin, following yesterday’s rating announcements (See IJ web site – https://www.insurancejournal.com/news/international/2008/02/26/87635.htm), on the securitization ratings of a number of European monoline bond insurers.

S&P said it has “lowered to ‘A’ from ‘AA’ its ratings on five classes in three European securitizations where Financial Guaranty Insurance Co. (FGIC) entities provide financial guarantees for payments of underlying debt obligations. These ratings remain on CreditWatch with developing implications, where they were placed Jan. 31, 2008. The individual actions are detailed below.

S&P also lowered its ratings on two classes in two securitizations where XL Capital Assurance Inc. (XLCA) entities provide similar guarantees. These ratings were removed from CreditWatch negative, as the guaranteed ratings are now equal with the underlying ratings.

In addition S&P said it has “removed from CreditWatch negative 22 classes in 10 transactions where MBIA Insurance Corp. (MBIA) entities provide similar financial guarantees, and separately affirmed six classes in five transactions where MBIA entities provide guarantees and where the underlying credit profile is considered commensurate with a standalone ‘AAA’ rating.

“These actions follow the lowering of FGIC’s financial strength rating to ‘A’ from ‘AA’ and the lowering of XLCA’s financial strength rating to ‘A-‘ from ‘AAA’. They also follow the removal from CreditWatch negative of the financial strength rating on MBIA.
The rating actions on the bond insurance companies follow additional stress tests with respect to their domestic nonprime mortgage exposure.”

The CreditWatch placements on the affected securitizations guaranteed by FGIC will be resolved when the FGIC CreditWatch placement is resolved. The ratings on the securitizations will be equalized with the higher of the FGIC rating and the underlying rating on the respective transactions.

A complete lists of the classes affected globally by today’s bond insurance company rating actions and CreditWatch placements will be available at www.spviews.com, S&P’s special Web site for subprime and related mortgage matters.
S&P also issued the following “Ratings List:”

Ratings Lowered and Removed from Creditwatch Negative
Vega ContainerVessel 2006-1 PLC – $253.75 Million Fixed-Rate Corporate Asset- backed Secured Notes – A A- AAA/Watch Neg
Skylark Ltd. – £100 Million Variable Index-Linked Notes Series 2007-1 A- AAA/Watch Neg

Ratings Lowered and Remaining On CreditWatch Negative:
Kimono Finance S.r.l. – €1,792.14 Million Asset-Backed Floating-Rate Notes And Asset-Backed Partly Paid Floating-Rate Notes – A1 A/Watch Dev AA/Watch Dev – B1 A/Watch Dev AA/Watch Dev
Channel Link Enterprises Finance PLC – £1,675 Million And €2,125 Million Secured Index-Linked, Floating-Rate And Fixed-Rate Notes G2 A/Watch Dev AA/Watch Dev; G5 A/Watch Dev AA/Watch Dev
Stade Finance a.r.l. – €121.852 Million 5.25 percent Secured Notes A/Watch Dev AA/Watch Dev

Ratings Removed from CreditWatch Negative and Affirmed:
FCC 130 – €750 Million Fixed and Floating-Rate Notes – A AAA AAA/Watch Neg;B AAA AAA/Watch Neg; C AAA AAA/Watch Neg; D AAA AAA/Watch Neg; E AAA AAA/Watch Neg; FAAA AAA/Watch Neg; G AAA AAA/Watch Neg: H AAA AAA/Watch Neg; I AAA AAA/Watch Neg
FCC Surf – Up To €750 Million Floating-Rate Partly-Paid Notes: B1 AAA AAA/Watch Neg; B2 AAA AAA/Watch Neg
Global Commercial Two – €382.25 Million Floating-Rate Credit-Linked Notes A1+ AAA AAA/Watch Neg; A2 AAA AAA/Watch Neg
Juturna (European Loan Conduit No. 16) PLC – £813.32 Million Commercial Mortgage-Backed Fixed-Rate Guaranteed Notes A AAA AAA/Watch Neg
Kimono Finance S.r.l. – €1,792.14 Million Asset-Backed Floating-Rate Notes And Asset-Backed Partly Paid Floating-Rate Notes: A3 AAA AAA/Watch Neg; B3 AAA AAA/Watch Neg
Punch Taverns Finance B Ltd. – £1.574 Billion Fixed- And Floating-Rate Asset-Backed Notes: A7 AAA AAA/Watch Neg; A8 AAA AAA/Watch Neg
The Unique Pub Finance Co. PLC – £2.371 Billion Fixed- And Floating-Rate Asset-backed Notes: A2N AAA AAA/Watch Neg
Ursa Major Rated Ltd.- $196 Million Guaranteed Floating Rate Notes Series 5 A-2 AAA AAA/Watch Neg
Vita Capital III Ltd.- $100 Million Class A Guaranteed Floating-Rate Notes Series 4 A AAA AAA/Watch Neg
White City Property Finance PLC – £364.85 Million Commercial Mortgage-Backed Fixed-Rate Guaranteed Notes AAA AAA/Watch Neg

Ratings Affirmed:
Ashwell Rated S.A – $30 Million Floating-Rate Credit-Linked Notes Series 14 (Constellations Synthetic CDO 2007-2)AAA
Corsair (Jersey) No. 4 Ltd. $200 Million Floating-Rate Secured Portfolio Credit-Linked Notes Series 12 AAA
Ponte Vecchio Finance N.2 S.r.l. €451 Million Asset-Backed Floating-Rate Notes Series 1 A2 AAA
Southern Pacific Securities 04-1 PLC £215.2 Million, €325.7 Million, And $310 Million Mortgage-Backed Floating-Rate NotesA2 AAA
Southern Pacific Securities H PLC €220.1 Million, £115.35 Million, And $99 Million Mortgage-Backed Floating-Rate Notes – A2 AAA A2 DAC AAA

Source: Standard& Poor’s: www.standardandpoors.com

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