LONDON (Standard & Poor's) Aug. 24, 2007--Standard & Poor's Ratings Services
said today that it has lowered its ratings on the commercial paper (CP), tier
1 and tier 2 mezzanine notes, and capital notes issued by Mainsail II Ltd. and
Mainsail II LLC (together, Mainsail II). The ratings remain on CreditWatch
negative, where they were placed Aug. 21, 2007 (see list).
The downgrade follows a breach of the mandatory acceleration test. This breach
is an enforcement event; therefore, the vehicle is now in a "frozen" state.
Accordingly, the security trustee now has control over the vehicle, and all
liabilities will become due 30 days after the breach. Mainsail II has up to 30
days to liquidate its current asset portfolio. The liabilities due are $1.306
billion in CP and $333.500 million in junior notes.
The downgrade also reflects the likelihood of further losses and Mainsail II's
ability to pay all its outstanding liabilities.
Standard & Poor's will continue to monitor the realized losses as assets are
liquidated.
Mainsail II is a SIV-lite structure managed by Solent Capital (Jersey) Ltd.
Solent is responsible for asset purchases, portfolio management, and the
issuance of CP and longer-term notes.
RATINGS LOWERED AND REMAINING ON CREDITWATCH
Mainsail II Ltd. and Mainsail II LLC
$4.519 billion European and U.S. CP, mezzanine, and capital notes
Rating
Class To From
CP B/Watch Neg A-3/Watch Neg
Tier 1 mezzanine notes CC/Watch Neg CCC+/Watch Neg
Tier 2 mezzanine notes CC/Watch Neg CCC/Watch Neg
Capital notes CC/Watch Neg CCC-/Watch Neg
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