Five Series Of Claris CDO Notes Placed On Watch Neg After Credit Rating Migration In Pool
LONDON (Standard & Poor's) May 13, 2005—Standard & Poor's Ratings Services
said today that it placed its credit ratings on five series of notes credit
linked to the Gascogne portfolio and issued by Claris Ltd., an SPE, on
CreditWatch with negative implications (see list below).
The CreditWatch placements follow negative credit rating migration within the
underlying pool of reference entities in the Gascogne portfolio, which has
raised the relevant expected scenario loss rates to levels that are not
commensurate with the current relevant rating levels.
Where SROC is less than 100%, scenarios are run that project the current
portfolio, assuming no asset rating migration, 90 days in the future. Where
this projection indicates that the SROC would return to a level above 100% at
that time, the rating is maintained, but placed on CreditWatch negative. If,
on the other hand, the projection indicates that the SROC
would remain below 100%, the rating is immediately lowered.
Therefore, in accordance with Standard & Poor's policy on synthetic CDOs, the
ratings on the notes have been placed on CreditWatch with negative
implications, where they will remain until either the reduction in the time to
maturity of the transaction allows for a drop in scenario loss rates that
bring them back into compliance with the relevant rating scenarios, or until
the ratings are lowered.
Standard & Poor's will continue to closely monitor the performance of these
transactions in the coming months to resolve the current CreditWatch
placements.
Further information on these transactions are available on RatingsDirect,
Standard & Poor's Web-based credit analysis system, at www.ratingsdirect.com.
Alternatively, call one of the following Standard & Poor's numbers: London
Client Support Desk (44) 20-7176-7400; London Press Office Hotline (44)
20-7176 3605; Paris (33) 1-4420-6708; Frankfurt (49) 69-33-999-225; Stockholm
(46) 8-440-5916; or Moscow (7) 095-783-4017. Members of the media may also
contact the European Press Office via e-mail on:
media_europe@standardandpoors.com.
RATINGS LIST
Class To From
Ratings Placed on CreditWatch With Negative Implications
Claris Ltd.
€31.1 Million Gascogne Floating-Rate Credit-Linked Notes Series 30/2004
AA/Watch Neg AA
€32 Million Gascogne Fixed-Rate Credit-Linked Notes Series 32/2004
AAA/Watch Neg AAA
€5 Million Gascogne Fixed-Rate Credit-Linked Notes Series 35/2004
AAA/Watch Neg AAA
€10 Million Gascogne Floating-Rate Credit-Linked Notes Series 36/2004
AAA/Watch Neg AAA
€23.5 Million Gascogne Floating-Rate Credit-Linked Notes Series 37/2004
AAA/Watch Neg AAA
GROUP E-MAIL ADDRESS
StructuredFinanceEurope@standardandpoors.com
| Primary Credit Analyst: | Priti Thanki, London (44) 20-7176-3762; priti_thanki@standardandpoors.com |
| Surveillance Credit Analyst: | Sebastian Macliver, London (44) 20-7176-3699; sebastian_macliver@standardandpoors.com |
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