TEXT-S&P ups rtgs in European Cash CLO deal Cordatus Loan Fund I

(The following statement was released by the rating agency)

Jan 17 -

OVERVIEW

-- We have assessed the current performance of Cordatus Loan Fund I by applying our 2010 counterparty criteria and conducting credit and cash flow analyses.

-- Following our review, we have affirmed our rating on the class D notes, and raised our ratings on all other tranches in the transaction.

-- Cordatus Loan Fund I is a cash flow CLO transaction that securitizes loans to primarily speculative-grade corporate firms.

Standard & Poor's Ratings Services today raised its credit ratings on Cordatus Loan Fund I PLC's class VFN, A-1, A-2, B, C, and E notes. At the same time, we affirmed our rating on the class D notes (see list below).

Cordatus Loan Fund I is a cash flow collateralized loan obligation (CLO) transaction that securitizes loans to primarily speculative-grade corporate firms. The transaction closed in January 2007 and its reinvestment period ends in January 2014. The transaction is managed by CVC Cordatus Group Ltd.

Today's rating actions follow our assessment of the transaction's performance using data from the latest available trustee report, in addition to our cash flow analysis. We have taken into account recent developments in the transaction and reviewed it under our 2010 counterparty criteria (see "Counterparty And Supporting Obligations Methodology And Assumptions," published on Dec. 6, 2010).

We note from the October 2011 trustee report that the overcollateralization test results for all classes of notes have improved significantly since our last rating review in April 2010, and are currently passing at their required levels (see "Transaction Update: Cordatus CLO I PLC," published on April 16, 2010). At the same time, the weighted-average spread earned on the collateral pool has also increased.

In addition, our analysis indicates that the weighted-average maturity of the portfolio since our April 2010 review has decreased, which has led to a reduction in our scenario default rates (SDRs) for all rating categories. We have also observed a general improvement in the credit quality of the portfolio, such as a decrease in assets rated 'CCC'. From our analysis, 'CCC' rated assets currently account for 4.12% of the portfolio's performing asset balance, versus 9.86% at our previous review.

We subjected the capital structure to a cash flow analysis to determine the break-even default rate for each rated class, which we then compared against its respective SDR to determine the rating level for each class of notes. In our analysis, we used the reported portfolio balance that we consider to be performing, the weighted-average spread, and the weighted-average recovery rates that we considered appropriate. We incorporated various cash flow stress scenarios using our standard default patterns, levels, and timings for each rating category assumed for all classes of notes, in conjunction with different interest stress scenarios.

In our view, the reduction in our SDRs, together with our cash flow analysis, indicates that the credit enhancement available to the class VFN, A-1, A-2, B, C, and E notes is commensurate with higher rating levels than previously assigned. The higher rating levels on the class VFN, A-1, A-2, and B notes are also consistent with the application of our 2010 counterparty criteria. (As the C, D, and E notes are not rated any higher than the counterparties in this transaction, the counterparty criteria are not applicable in these cases.)

Although several positive indicators show an improvement in the overall performance of the transaction since our last rating review, our analysis indicates that the level of credit enhancement available for the class D notes is currently unable to withstand our stress scenarios and probabilities of default at the 'BBB' category rating level. We have therefore affirmed our 'BB+ (sf)' rating on the class D notes.

None of these classes of notes were constrained by the application of the largest obligor default test, a supplemental stress test we introduced in our 2009 criteria update for corporate collateralized debt obligations (CDOs) (see "Update To Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs," published on Sept. 17, 2009).

STANDARD & POOR'S 17G-7 DISCLOSURE REPORT

SEC Rule 17g-7 requires an NRSRO, for any report accompanying a credit rating relating to an asset-backed security as defined in the Rule, to include a description of the representations, warranties and enforcement mechanisms available to investors and a description of how they differ from the representations, warranties and enforcement mechanisms in issuances of similar securities. The Rule applies to in-scope securities initially rated (including preliminary ratings) on or after Sept. 26, 2011.

If applicable, the Standard & Poor's 17g-7 Disclosure Report included in this credit rating report is available at

here.