Fitch: Change in Swap Counterparty to Barclays from AIG Would Not Affect Ratings of Six CDOs

NEW YORK--(BUSINESS WIRE)--Fitch Ratings has been notified of the intention to change the interest-rate swap counterparty of six structured finance CDO transactions to Barclays Bank PLC (Barclays; rated 'AA-/F1+' with a Stable Outlook by Fitch) from AIG Financial Products Corp. (AIG; rated 'BBB/F1' with an Evolving Outlook by Fitch).

Barclays will replace AIG as interest-rate swap counterparty for the following six transactions:

--Bernoulli High Grade CDO, Ltd./Inc.;

--Dunhill ABS CDO, Ltd./Corp.;

--Fort Sheridan ABS CDO, Ltd./Inc.;

--Kleros Preferred Funding II, Ltd./LLC;

--Libertas Preferred Funding I, Ltd./LLC;

--Neptune CDO II, Ltd./LLC.

The novation of the interest-rate swap counterparty will not impair the ratings of the notes because Barclay's rating meets Fitch's current minimum counterparty rating threshold of 'A/F1' as set forth in Fitch's current published criteria entitled 'Counterparty Risk in Structured Finance Transactions: Hedge Criteria' published Aug. 1, 2007, and available on Fitch's web site at 'www.fitchratings.com'.

This commentary does not address whether or not the novation of the interest-rate swap counterparty with respect to the four transactions is permitted by the terms of their respective documents. Nor does it address whether the swap counterparty change is in the best interests of, or prejudicial to, some or all of the holders of each of the six CDOs.

Fitch emphasizes that while the criteria is satisfied today, it may not necessarily be satisfied in the future if Fitch's criteria change. In the event that a counterparty no longer satisfies the eligibility criteria specified in Fitch's then current criteria, the agency would expect the issuer to inform Fitch of its intended course of action as a result of its non-compliance, regardless of the provisions in the transaction documentation.

Fitch further emphasizes that the criteria referenced above is currently under review. Fitch published 'Exposure Draft: Counterparty Risk in Structured Finance Transactions' on March 30, 2009. The comment period for market participants' feedback has been extended to May 29, 2009. Fitch does not notify individual transaction parties of changes in its criteria. Changes to criteria are published on Fitch's web site at 'www.fitchratings.com'.

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.