London, 20 November 2012 -- Moody's Investors Service announced today that it has confirmed the ratings on the following notes issued by Wood Street CLO III B.V.:

....EUR49.5M Class B Senior Secured Floating Rate Notes due 2022, Upgraded to Aa3 (sf); previously on Jul 10, 2012 A1 (sf) Placed Under Review for Possible Upgrade

....EUR44M Class C Senior Secured Deferrable Floating Rate Notes due 2022, Upgraded to Baa2 (sf); previously on Jul 10, 2012 Baa3 (sf) Placed Under Review for Possible Upgrade

....EUR24.75M Class D Senior Secured Deferrable Floating Rate Notes due 2022, Confirmed at Ba3 (sf); previously on Jul 10, 2012 Ba3 (sf) Placed Under Review for Possible Upgrade

....EUR16.5M Class E Senior Secured Deferrable Floating Rate Notes due 2022, Confirmed at B1 (sf); previously on Jul 10, 2012 B1 (sf) Placed Under Review for Possible Upgrade

....EUR6M Class W Combination Notes due 2022, Upgraded to Baa1 (sf); previously on Oct 5, 2011 Upgraded to Baa2 (sf)

The ratings of the Combination Notes address the repayment of the Rated Balance on or before the legal final maturity. For Class W, the 'Rated Balance' is equal at any time to the principal amount of the Combination Note on the Issue Date increased by the Rated Coupon of 0.25% per annum respectively, accrued on the Rated Balance on the preceding payment 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.

Wood Street CLO III B.V., issued in June 2006, is a Collateralised Loan Obligation ("CLO") backed by a portfolio of mostly high yield European loans. The portfolio is managed by Alcentra Ltd. This transaction exited its reinvestment period on August 27, 2012. It is predominantly composed of senior secured loans.

RATINGS RATIONALE

According to Moody's, the rating actions taken on the notes are a result of resilient deal performance and the benefit of Moody's modelling assumptions for transactions in the amortization period.

In consideration of the reinvestment restrictions applicable during the amortization period, and therefore the limited ability to effect significant changes to the current collateral pool, Moody's analyzed the deal assuming a higher likelihood that the collateral pool characteristics will continue to maintain a positive buffer relative to certain covenant requirements. In particular, the deal is assumed to benefit from higher spread and diversity levels compared to the last rating action in October 2011. Moody's notes that between October 2011 and October 2012 the weighted average spread increased from 3.27% to 3.75%. In addition, the reported WARF has only increased from 2852 to 3064 despite a substantial rise in the number of securities in the underlying portfolio rated Caa or lower, from 7.88% in October 2011 to approximately 14.62%.

The reported overcollateralization ("OC") ratios of the rated notes have decreased since the rating action in October 2011. The Class A/B, Class C, Class D and Class E overcollateralization ratios are reported at 126.13%, 113.71%, 107.74% and 104.65%, respectively, versus October 2011 levels of 127.30%, 114.70%, 108.70% and 105.60%, respectively. All coverage tests are currently in compliance. However, Moody's computed OC levels have remain stable since last action.

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 523.7 million, defaulted par of EUR 1.1 million, a weighted average default probability of 21.63% (consistent with a WARF of 3051), a weighted average recovery rate upon default of 44.64% for a Aaa liability target rating, a diversity score of 32 and a weighted average spread of 3.73%. 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 86% 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.

This deal was reviewed 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 the above tranches on review for upgrade on 10 July 2012. In addition, the WARF calculation used in the previous rating action was derived as a weighted average of the default probability of each asset's rating and remaining life, rather than the weighted average of the default probability of each asset's rating at 10 years as called for in methodology. Today's rating action reflects both the correction in the rating model and the adjustment in the WARF calculation.

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-34% 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. 10% of the portfolio is also exposed to obligors located in Ireland, Spain and Italy. Moody's considered a scenario where the WARF was increased to 3512 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) Lower Weighted Average Recovery Rate and Diversity Score Levels - Moody's also tested the sensitivity of the rated tranches to lower diversity score and recovery rate upon default scenarios. Moody's modelled a lower weighted average recovery rate upon default of 40% for a Aaa liability target rating as well as a lower diversity score of 29. This scenario generated model outputs that were within one or 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) Portfolio Amortisation: Pace of amortisation could vary significantly subject to market conditions and this may have a significant impact on the notes' ratings. In particular, amortisation could accelerate as a consequence of high levels of prepayments in the loan market or collateral sales by the Collateral Manager or be delayed by rising loan amend-and-extent restructurings. Fast amortisation would usually benefit the ratings of the senior notes.

2) Moody's also notes that around 52% of the collateral pool consists of debt obligations whose credit quality has been assessed through Moody's credit estimates. Large single exposures to obligors bearing a credit estimate have been subject to a stress applicable to concentrated pools as per the report titled "Updated Approach to the Usage of Credit Estimates in Rated Transactions" published in October 2009.

3) Recovery of 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 uncertainties. Moody's analyzed defaulted recoveries assuming the lower of the market price and the recovery rate in order to account for potential volatility in market prices.

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.

Moody's adopts all necessary measures so that the information it uses in assigning a rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

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.

For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

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Dimitri Kaltsas 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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