MOODY'S AFFIRMS THE RATINGS ASSIGNED TO THE NOTES ISSUED BY AROSA FUNDING LIMITED UNDER SERIES 2003-2 AND 2003-3
Moody's Investors Service has affirmed the ratings of the following classes of notes issued by Arosa Funding Limited, a bankruptcy-remote SPV incorporated in Jersey.
Aaa to the EUR100,000,000 Secured Credit-Linked Floating Class A Notes issued under the Series 2003-2;
Aa1 to the EUR35,000,000 Secured Credit-Linked Floating Class B1 Notes issued under the Series 2003-2;
Aa1 to the EUR15,000,000 Secured Credit-Linked Fixed Rate Class B2 Notes issued under the Series 2003-2;
A2 to the EUR10,000,000 Secured Credit-Linked Floating Rate Class C1 Notes issued under the Series 2003-2;
A2 to the EUR15,000,000 Secured Credit-Linked Fixed Rate Class C2 Notes issued under the Series 2003-2.
Aaa to the EUR75,000,000 Secured Credit-Linked Floating Rate Class A1 Notes issued under the Series 2003-3; and
Aaa to the EUR25,000,000 Secured Credit-Linked Fixed Rate Class A2 Notes issued under the Series 2003-3.
These affirmations are the result of the review of the transaction following (1) the downgrade of several instruments issued by Elva Funding plc that are included in the reference portfolios of Arosa Funding Limited Series 2003-2, and 2003-3 and (2) the change in the composition of the reference portfolios. For the quantitative analysis of this review, Moody's used a look-through monte carlo simulation based, inter alia, on the underlying corporate exposures of the Elva Funding plc notes.
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