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TEXT-S&P affirms all ratings in Gable Funding cash flow CDO deal

(The following statement was released by the rating agency)

Oct 12 - OVERVIEW -- We have reviewed Gable Funding's performance since closing.

-- Following our review, we have affirmed our ratings on the class A1a, A1b, A2a, A2b, A3a, A3b, and B notes.

-- Gable Funding is a cash flow CDO of senior loans to infrastructure projects, originated directly or acquired by Lloyds TSB Bank and Bank of Scotland .

Standard & Poor's Ratings Services today affirmed its credit ratings on Gable Funding PLC's class A1a, A1b, A2a, A2b, A3a, A3b, and B notes (see list below).

Today's rating actions follow our review of the transaction's performance using data from the trustee report dated June 27, 2012.

CAPITAL STRUCTURE Current Initial notional notional Current Initial Deferrable Class Rating OC (%) OC (%) interest A1a AAA (sf) 160.29 200.00 22.12 20.91 No A1b AAA (sf) 160.29 200.00 22.12 20.91 No A2a AAA (sf) 225.00 225.00 22.12 20.91 No A2b AAA (sf) 225.00 225.00 22.12 20.91 No A3a AAA (sf) 150.00 150.00 22.12 20.91 No A3b AAA (sf) 150.00 150.00 22.12 20.91 No B A (sf) 170.00 170.00 9.75 9.22 Yes S NR 274.00 274.00 0.00 0.00 N/A Mil. GBP.

OC--Overcollateralization = (aggregate performing assets balance + principal cash balance - tranche balance [including tranche balance of all senior tranches]) / (aggregate performing assets balance + principal cash balance).

NR--Not rated. N/A--Not applicable.

Since closing, we note that the issuer has used GBP79.42 million of principal proceeds to amortize the class A1a and A1b notes. As a result, the overcollateralization levels have increased for all the notes.

The weighted-average rating of the portfolio of loans has remained stable at 'BBB'. The static portfolio has not experienced any defaults since closing.

We subjected the notes to various cash flow scenarios incorporating different default patterns, and exchange rate and interest rate curves, to determine each tranche's break-even default rate at each rating level.