Moody's upgrades EUR 146.25m CLO notes of Jubilee CDO I-R B.V.

London, 08 November 2012 -- Moody's Investors Service announced today that it has taken rating actions on the following notes issued by Jubilee CDO I-R B.V.:

....EUR594M Class A Senior Secured Floating Rate Notes due 2024, Confirmed at Aa1 (sf); previously on Jul 10, 2012 Aa1 (sf) Placed Under Review for Possible Upgrade

....EUR74.25M Class B Senior Secured Floating Rate Notes due 2024, Upgraded to A2 (sf); previously on Jul 10, 2012 A3 (sf) Placed Under Review for Possible Upgrade

....EUR72M Class C Senior Secured Deferrable Floating Rate Notes due 2024, Upgraded to Baa3 (sf); previously on Jul 10, 2012 Ba1 (sf) Placed Under Review for Possible Upgrade

....EUR43.2M Class D Senior Secured Deferrable Floating Rate Notes due 2024, Confirmed at Ba3 (sf); previously on Jul 10, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade

....EUR33.75M Class E Senior Secured Deferrable Floating Rate Notes due 2024, Confirmed at B3 (sf); previously on Jul 10, 2012 B3 (sf) Placed Under Review for Possible Upgrade

....EUR8M Class Q Combination Notes due 2024, Upgraded to Baa2 (sf); previously on Aug 9, 2011 Upgraded to Baa3 (sf)

The ratings of the Combination Notes address the repayment of the Rated Balance on or before the legal final maturity. For Class Q which does not accrue interest, the 'Rated Balance' is equal at any time to the principal amount of the Combination Note on the Issue Date minus the aggregate of all payments made from the Issue Date to such date, either through interest or principal payments. The Rated Balance may not necessarily correspond to the outstanding notional amount reported by the trustee.

Jubilee CDO I-R B.V., issued in May 2007, is a Collateralised Loan Obligation ("CLO") backed by a portfolio composed of a majority of senior secured European loans and approximately 20% of non senior secured loans. The portfolio is managed by Alcentra Limited. This transaction will be in reinvestment period until 30 July 2014.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are a result of resilienet performance since the last rating action in August 2011 in conjunction with a correction to the rating model Moody's used for this transaction. Moody's corrected the rating model and put the ratings of above tranches on review for upgrade on 10 July 2012.

The weighted average spread increased from 3.42% to 4.11%, and the reported WARF has deteriorated from 2954 to 3111 between August 2011 and September 2012. In addition, securities rated Caa or lower increased slightly from approximately 9.22% of the underlying portfolio versus 10.82% between August 2011 and September 2012 .

Moody's notes that the reported overcollateralization ("OC") ratios of the rated notes have slightly decreased since the rating action in August 2011. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 126.22%, 113.94%, 107.66% and 103.21% respectively, versus August 2011 levels of 128.38%, 115.89%, 109.50% and 104.98% respectively. All coverage tests are currently in compliance. Moody's computed OC levels have also decreased due to the increased in Moody's defaulted par from no defaults in Aug 2011 to EUR 33.09M currently.

Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011, key model inputs used by Moody's in its analysis, such as the portfolio par amount, WARF, diversity score, and weighted average recovery rate, may be different from the trustee's reported numbers. In its base case, Moody's analyzed the underlying collateral pool to have a performing par and principal proceeds balance of EUR 844 million, defaulted par of EUR 33.09 million, a weighted average default probability of 25.08% (consistent with a WARF of 3187), a weighted average recovery rate upon default of 42% for a Aaa liability target rating, a diversity score of 31 and a weighted average spread of 3.36%. The default probability is derived from the credit quality of the collateral pool and Moody's expectation of the remaining life of the collateral pool. The average recovery rate to be realized on future defaults is based primarily on the seniority of the assets in the collateral pool. For a Aaa liability target rating, Moody's assumed that 80% of the portfolio exposed to senior secured corporate assets would recover 50% upon default, while the remainder non first-lien loan corporate assets would recover 10%. In each case, historical and market performance trends and collateral manager latitude for trading the collateral are also relevant factors. These default and recovery properties of the collateral pool are incorporated in cash flow model analysis where they are subject to stresses as a function of the target rating of each CLO liability being reviewed.

In the process of determining the final ratings, Moody's took into account the results of a number of sensitivity analyses:

(1) Deterioration of assets credit quality to address the loan refinancing and sovereign risks specific to some assets in the portfolio-- 24% of the obligors in the portfolio have a credit quality consistent with B3 rating or below with their loan maturing between 2014 and 2016, which may create challenges for those obligors to refinance. 8% of the portfolio is also exposed to obligors located in Greece, Portugal, Ireland, Spain and Italy. Moody's considered a scenario where the WARF was increased to 3683 by forcing the credit quality on 25% of such exposures to Ca. This scenario generated model outputs that were one to two notches lower than the base case results.

(2) Higher weighted average life -- Because there is more than 1.5 years remaining until the end of the reinvestment period, Moody's modelled an extension by 1 year to the amortisation profile modelled in its base case. This run generated model outputs that were within one notch off the base case results.

Moody's notes that this transaction is subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) the large concentration of speculative-grade debt maturing between 2014 and 2016 which may create challenges for issuers to refinance. CLO notes' performance may also be impacted either positively or negatively by 1) the manager's investment strategy and behaviour and 2) divergence in legal interpretation of CDO documentation by different transactional parties due to embedded ambiguities.

Sources of additional performance uncertainties are described below:

1) Recovery on defaulted assets: Market value fluctuations in defaulted assets reported by the trustee and those assumed to be defaulted by Moody's may create volatility in the deal's overcollateralization levels. Further, the timing of recoveries and the manager's decision to work out versus sell defaulted assets create additional volatilities. Moody's analyzed recoveries on defaulted assets assuming the lower of the market price and the Moody's recovery rate assumptions in order to account for potential volatility in recoveries on defaulted assets.

2) Weighted average life: The notes' ratings are sensitive to the weighted average life assumption of the portfolio, which may be extended due to the manager's decision to reinvest into new issue loans or other loans with longer maturities and/or participate in amend-to-extend offerings. Moody's tested for a possible extension of the actual weighted average life in its analysis.

3) Other collateral quality metrics: The deal is allowed to reinvest and the manager has the ability to deteriorate the collateral quality metrics' existing cushions against the covenant levels. Moody's analyzed the impact of assuming lower of reported and covenanted values for weighted average rating factor, weighted average spread, and diversity score. However, as part of the base case, Moody's considered spread and coupon levels higher than the covenant levels due to the large difference between the reported and covenant levels.

The principal methodology used in this rating was "Moody's Approach to Rating Collateralized Loan Obligations" published in June 2011. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Moody's modeled the transaction using the Binomial Expansion Technique, as described in Section 2.3.2.1 of the "Moody's Approach to Rating Collateralized Loan Obligations" rating methodology published in June 2011.

The cash flow model used for this transaction, whose description can be found in the methodology listed above, is Moody's CDOEdge model.

This model was used to represent the cash flows and determine the loss for each tranche. The cash flow model evaluates all default scenarios that are then weighted considering the probabilities of the binomial distribution assumed for the portfolio default rate. In each default scenario, the corresponding loss for each class of notes is calculated given the incoming cash flows from the assets and the outgoing payments to third parties and noteholders. Therefore, the expected loss or EL for each tranche is the sum product of (i) the probability of occurrence of each default scenario; and (ii) the loss derived from the cash flow model in each default scenario for each tranche. As such, Moody's analysis encompasses the assessment of stressed scenarios.

In addition to the quantitative factors that are explicitly modelled, qualitative factors are part of the rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, specific documentation features, the collateral manager's track record, and the potential for selection bias in the portfolio. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision.

On 21 August 2012, Moody's released a Request for Comment seeking market feedback on proposed adjustments to its modelling assumptions. These adjustments are designed to account for the impact of rapid and significant country credit deterioration on structured finance transactions. If the adjusted approach is implemented as proposed, the rating of the notes affected by today rating action may be negatively affected. See "Approach to Assessing the Impact of a Rapid Country Credit Deterioration on Structured Finance Transactions", (http://www.moodys.com/research/Approach-to-Assessing-the-Impact-of-a-Rapid-Country-Credit--PBS_SF294880) for further details regarding the implications of the proposed methodology changes on Moody's ratings.

REGULATORY DISCLOSURES

The rating has been disclosed to the rated entity or its designated agent(s) and issued with no amendment resulting from that disclosure.

Information sources used to prepare the rating are the following: parties involved in the ratings, parties not involved in the ratings, public information, and confidential and proprietary Moody's Investors Service information.

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

Moody's considers the quality of information available on the rated entity, obligation or credit satisfactory for the purposes of issuing a rating.

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Moody's Investors Service may have provided Ancillary or Other Permissible Service(s) to the rated entity or its related third parties within the two years preceding the credit rating action. Please see the special report "Ancillary or other permissible services provided to entities rated by MIS's EU credit rating agencies" on the ratings disclosure page on our website www.moodys.com for further information.

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Lydia Ho Associate Analyst Structured Finance Group Moody'sInvestors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Neelam S. Desai Senior Vice President Structured Finance Group JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 Releasing Office: Moody's Investors Service Ltd. One Canada SquareCanary WharfLondon E14 5FA United Kingdom JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454 (C) 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.

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