Fitch Downgrades Dekania Europe CDO I plc

NEW YORK--(Business Wire)--
Fitch Ratings has downgraded the ratings of Dekania Europe CDO I plc (Dekania
I), which is a collateralized debt obligation (CDO) backed primarily by
subordinate debt and perpetual preferred securities issued by insurance
companies and, to a lesser extent, banks. Fitch has also assigned Rating
Outlooks and Loss Severity ratings to the notes rated 'B' and better. The rating
actions are as follows:

--EUR134,749,651 class A1, downgraded to 'AA' from 'AAA', placed on Rating Watch
Evolving;

--EUR11,500,000 class A2, downgraded to 'A' from 'AAA', assigned Stable Outlook
and 'LS3';

--EUR13,000,000 class A3, downgraded to 'A' from 'AAA', assigned Stable Outlook
and 'LS3';

--EUR35,000,000 class B1, downgraded to 'BBB' from 'AA', assigned Negative
Outlook and 'LS3';

--EUR15,000,000 class B2, downgraded to 'BBB' from 'AA', assigned Negative
Outlook and 'LS3';

--EUR29,500,000 class C, downgraded to 'B' from 'A-', assigned Negative Outlook
and 'LS3';

--EUR15,461,821 class D, downgraded to 'B' from 'BBB', assigned Negative Outlook
and 'LS4'.

Fitch's rating actions reflect the rating review methodology described in the
press release 'Fitch Revises Criteria for Reviewing U.S. CDOs Backed by Bank &
Insurance TruPS' dated March 25, 2009. More specifically, the rating actions
incorporate the impact of the first-time application of Fitch's Portfolio Credit
Model (PCM) to evaluate the pool of bank and insurance corporate assets
supporting the CDO notes. PCM is Fitch's main analytical tool used to determine
default, recovery and loss rates for portfolios of corporate debt. The PCM
correlation framework captures the risk of industry and sector concentrations, a
prevalent characteristic of bank and insurance TruPS CDOs, as well as regional
and country concentrations. The application of PCM resulted in increased rating
loss rates for the highly concentrated bank and insurance portfolios. The
elevated rating loss rates translated into insufficient credit enhancement to
support existing ratings, hence the downgrades.

As part of these rating actions, Fitch has also assigned Rating Outlooks to the
bonds rated 'B' and better to reflect the likely direction of any rating change
over a one- to two-year period. The Negative Rating Outlook reflects the limited
ability of the notes to absorb additional defaults, as well as Fitch's overall
negative outlook for the European insurance and banking sectors.

Future rating actions will be largely driven by performance in terms of
deferrals and defaults of the bank and insurance companies underlying these
transactions.

Assured Guaranty provides a primary wrap for the class A1 notes of Dekania
Europe I. On May 4, 2009, Fitch downgraded the Insurer Financial Strength (IFS)
rating of Assured Guaranty Corp. (Assured Guaranty) to 'AA', Rating Watch
Evolving from 'AAA'. The ratings on the Dekania Europe I class A1 notes have an
unenhanced rating in the 'AA' category. The unenhanced rating categories are
based on the quality of the underlying collateral as well as available credit
enhancement to the tranches. Pending final resolution of the Evolving Rating
Watch on Assured Guaranty's IFS rating, Fitch may shift its rating of the class
A1 tranches to the higher of the unenhanced rating or the financial guarantor
IFS rating.

Loss Severity (LS) ratings were also assigned with these rating actions. LS
ratings were introduced in February 2009 to complement the existing Long-Term
Credit (LTC) ratings for structured finance securities. LTC ratings exclusively
address the probability of default of a security. The LS ratings provide an
indication of the relative degree of loss that a security might incur in the
event that the security defaults; as such it is necessary to consider loss
severity (as indicated by the LS rating) in conjunction with probability of
default (as indicated by the LTC rating.) The LS rating scale consists of five
rating categories from 'LS1' to 'LS5'. LS ratings are assigned to securities
that have corresponding LTC ratings in rating categories 'AAA' through 'B'.
Additional information is available in Fitch's Feb. 17 global report, 'Criteria
for Structured Finance Loss Severity Ratings', available on the Fitch Ratings
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.

Fitch Ratings, New York
Elizabeth Nugent, +1-212-908-9157
Kevin Kendra, +1-212-908-0760
Media Relations:
Sandro Scenga, +1-212-908-0278
sandro.scenga@fitchratings.com

Copyright Business Wire 2009