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Moody's Assigns Provisional Ratings to 4 Classes of Coriolanus Limited - Sputnik CDO 1

March 26, 2007
USD 220 Million of debt securities and credit default swap affected.

Moody's Investors Service has assigned the following provisional ratings to the notes to be issued by Coriolanus Limited and to the related senior swap:

- (P)A2 to the USD 36,000,000 Class A Floating Rate Notes due 2012

- (P)Baa3 to the USD 36,000,000 Class B Floating Rate Notes due 2012

- (P)Ba2 to the USD 28,000,000 Class C Floating Rate Notes due 2012

- (P)A2 to the USD 120,000,000 Senior Credit Default Swap related to the Sputnik CDO 1 issuance

The ratings on the notes address the expected loss posed to investors versus amounts due by the final maturity date in April 2012. The rating on the swap addresses the probability and extent to which the protection provider would have to make a protection payment.

The provisional ratings of the notes are based upon:

1. The credit quality and diversification of the reference portfolio;

2. The structure of the transaction including the conditions to replenishment of the reference portfolio.

3. The credit enhancement available to each class of notes;

4. The governing ISDA documentation;

5. The swap counterparty and arrangements regarding the issuance proceeds; and

Sputnik CDO 1 is hedging the 25% of losses on the portfolio and 30% on top of that will be hedged with an unfunded super senior credit default swap. This portfolio is composed of credit default swap referring to corporate entities, banks and supranationals. VTB Bank AG Austria, acting as portfolio manager, will have the possibility to add and/or remove reference entities from the portfolio, subject to a number of portfolio constraints.

The proceeds of the notes are to be invested in collateral and held on trust by the trustee of the issuing SPV for the benefit of the noteholders. The Aaa rated bond collateral will back the vehicle's obligations firstly under the credit default swaps, and secondly towards the note holders.

Moody's issues provisional ratings in advance of the final sale of securities, and these ratings only represent Moody's preliminary opinion. Upon a conclusive review of the transaction and associated documentation, Moody's will endeavour to assign definitive ratings to the Notes. A final rating may differ from a provisional rating.

To obtain a copy of Moody's pre sale report on Sputnik CDO 1 please visit our website www.moodys.com or contact Moody's client services desk in London on +44 207 772 5454.

  • Status
  • Country of risk
  • Redemption (put/call option)
    *** (***)
  • Amount
    36,000,000 USD
  • М/S&P/F
    — / — / —