Fitch Ratings downgrades, assigns a Recovery Rating (RR), and withdraws the ratings on the classes of notes issued by Cloverie Plc 2005-78, 2005-79, 2005-80, and 2005-81 (Cloverie 2005-78, 79, 80, and 81).
This rating action is a result of an early termination of each transaction's underlying credit default and interest rate swaps on Sept. 15, 2009. All notes have taken a full loss, as a result of multiple Credit Events with respect to obligations within the reference portfolios of Cloverie 2005-78, 79, 80, and 81.
Accordingly, the notes are downgraded to 'D' with a Recovery Rating of 'RR6', which indicates a recovery in the 0%-10% range. The ratings are being simultaneously withdrawn.
Cloverie 2005-78, 79, 80, and 81 are partially funded, static synthetic collateralized debt obligations (CDO) that closed in November 2005. The transactions represented leveraged exposure to diversified portfolios of asset-backed securities. The note proceeds collateralized credit default swaps with Citigroup Global Markets Limited as the Swap Counterparty. A modified 'Pay-As-You-Go' template was utilized to define the terms of the credit default swap.
Fitch has downgraded and withdrawn the following ratings:
--$15,000,000 class S-2 (2005-78) notes to 'D/RR6' from 'CC';
--$15,000,000 class S-4 (2005-79) notes to 'D/RR6' from 'CC';
--$15,000,000 class A (2005-80) notes to 'D/RR6' from 'CC';
--$15,000,000 class B (2005-81) notes to 'D/RR6' from 'CC'.
Fitch's rating definitions and the terms of use of such ratings are available on the agency's public site, 'www.fitchratings.com'. Published ratings, criteria and methodologies are available from this site, at all times. Fitch's code of conduct, confidentiality, conflicts of interest, affiliate firewall, compliance and other relevant policies and procedures are also available from the 'Code of Conduct' section of this site.
Contacts:
Fitch Ratings
Brian Vorderbrueggen, 212-908-9102
Kevin Kendra,
212-908-0760 (New York)
Alina Pak, CFA, 312-368-3184 (Chicago)
Media
Relations:
Sandro Scenga, 212-908-0278 (New York)
sandro.scenga@fitchratings.com
