(The following statement was released by the rating agency)
Oct 04 - OVERVIEW
-- We have reviewed the DERBY BLUE 2009 CDO transaction and have raised our ratings on the class B and C notes.
-- At the same time, we have affirmed our 'AAA (sf)' rating on the class A notes.
-- The transaction comprises a portfolio of loans to large U.K. corporations and closed in December 2009.
Standard & Poor's Ratings Services today took various credit rating actions in DERBY BLUE 2009 PLC. Specifically,
we have: -- Raised to 'AA+ (sf)' from 'AA (sf)' our rating on the class B notes, -- Raised to 'A (sf)' from 'BBB (sf)' our rating on the class C notes, and
-- Affirmed at 'AAA (sf)' our rating on the class A notes (see list below).
Today's rating actions follow our full review of the transaction. Our review indicates that the current levels of credit support available for the class B and C notes are sufficient to achieve higher ratings when compared against their respective scenario loss rates (SLRs). We have therefore raised our ratings on these classes of notes.
We have affirmed our 'AAA (sf)' rating on the class A notes as we consider the available credit support to be commensurate with our rating on these notes.
We currently rate 67.26% of the portfolio's performing asset balance below investment-grade, with 32.34% of the total balance in the 'B' rating category. In our previous analysis in October 2010, we rated 52% of the performing asset balance below investment-grade, with 16.55% rated in the 'B' rating category (see "Ratings Affirmed On U.K. Corporate CDO Deal DERBY BLUE 2009's Class A To C Notes," published Oct. 7, 2010).
None of our ratings in the transaction are constrained by the largest obligor default test, which is 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 Sept. 17, 2009).
DERBY BLUE 2009 is a U.K. cash flow corporate CDO transaction that comprises a portfolio of loans to large U.K. corporations. The transaction closed in December 2009.
RELATED CRITERIA AND RESEARCH
-- European Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, March 14, 2012
-- Counterparty Risk Framework And Assumptions, May 31, 2012
-- Global Structured Finance Scenario And Sensitivity Analysis: The Effects Of The Top Five Macroeconomic Factors, Nov. 4, 2011
-- Ratings Affirmed On U.K. Corporate CDO Deal DERBY BLUE 2009's Class A To C Notes, Oct. 7, 2010
-- Revised Methodologies And Assumptions For Global Synthetic CDO Surveillance, Sept. 30, 2010
-- New Issue: DERBY BLUE 2009 PLC, Dec. 23, 2009
-- Update to Global Methodologies And Assumptions For Corporate Cash Flow And Synthetic CDOs, Sept. 17, 2009
RATINGS LIST Class Rating To From DERBY BLUE 2009 PLC GBP3.25 Billion Secured Asset-Backed Long First Coupon And Deferrable Notes Ratings Raised B AA+ (sf) AA (sf) C A (sf) BBB (sf) Rating Affirmed A AAA (sf)