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Rating Action:

MOODY'S ASSIGNS RATINGS TO 20 SERIES OF ELVA FUNDING

17 Nov 2003
MOODY'S ASSIGNS RATINGS TO 20 SERIES OF ELVA FUNDING

Approximately Euro 650.0 Million of Debt Securities Affected.

London, 17 November 2003 -- Moody's has assigned the following ratings to the Notes issued by Elva Funding Plc

Aa2 to the EUR 25,000,000 Series 2003-1 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-2 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-3 Secured Credit Linked Floating Rate Notes due 2013

Aaa to the EUR 50,000,000 Series 2003-4 Secured Credit Linked Floating Rate Notes due 2013

Aa3 to the EUR 31,250,000 Series 2003-5 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-6 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-7 Secured Credit Linked Floating Rate Notes due 2013

Aaa to the EUR 50,000,000 Series 2003-8 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-9 Secured Credit Linked Floating Rate Notes due 2013

Aa3 to the EUR 31,250,000 Series 2003-10 Secured Credit Linked Floating Rate Notes due 2013

Aa3 to the EUR 31,250,000 Series 2003-11 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-12 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-13 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-14 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-15 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-16 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-17 Secured Credit Linked Floating Rate Notes due 2013

Aa3 to the EUR 31,250,000 Series 2003-18 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 31,250,000 Series 2003-19 Secured Credit Linked Floating Rate Notes due 2013

Aa2 to the EUR 25,000,000 Series 2003-20 Secured Credit Linked Floating Rate Notes due 2013

The ratings of the Notes address the expected loss posed to investors. The structure allows for timely payment of interest and ultimate payment of principal by the legal maturity of the Notes in October 2013.

This ratings are based upon:

(1) An assessment of the credit quality of the underlying exposures;

(2) An assessment of the diversity of the underlying reference entities;

(3) The protection against losses through the first loss thresholds amount of:

EUR 92,500,000 for Series 2003-1, which represent 9.25% of the notional amount of the underlying reference portfolio;

EUR 95,361,328 for Series 2003-2, which represent 7.63% of the notional amount of the underlying reference portfolio;

EUR 92,578,125 for Series 2003-3, which represent 7.41% of the notional amount of the underlying reference portfolio;

EUR 137,255,859 for Series 2003-4, which represent 10.98% of the notional amount of the underlying reference portfolio;

EUR 93,603,516 for Series 2003-5, which represent 7.49% of the notional amount of the underlying reference portfolio;

EUR 93,750,000 for Series 2003-6, which represent 7.50% of the notional amount of the underlying reference portfolio;

EUR 95,375,000 for Series 2003-7, which represent 7.63% of the notional amount of the underlying reference portfolio;

EUR 133,750,000 for Series 2003-8, which represent 10.86% of the notional amount of the underlying reference portfolio;

EUR 93,125,000 for Series 2003-9, which represent 7.45% of the notional amount of the underlying reference portfolio;

EUR 93,625,000 for Series 2003-10, which represent 7.49% of the notional amount of the underlying reference portfolio;

EUR 94,375,000 for Series 2003-11, which represent 7.55% of the notional amount of the underlying reference portfolio;

EUR 94,500,000 for Series 2003-12, which represent 7.56% of the notional amount of the underlying reference portfolio;

EUR 100,000,000 for Series 2003-13, which represent 8.00% of the notional amount of the underlying reference portfolio;

EUR 103,125,000 for Series 2003-14, which represent 8.25% of the notional amount of the underlying reference portfolio;

EUR 102,500,000 for Series 2003-15, which represent 8.20% of the notional amount of the underlying reference portfolio;

EUR 102,750,000 for Series 2003-16, which represent 8.22% of the notional amount f the underlying reference portfolio;

EUR 101,125,000 for Series 2003-17, which represent 8.09% of the notional amount of the underlying reference portfolio;

EUR 97,500,000 for Series 2003-18, which represent 7.80% of the notional amount of the underlying reference portfolio;

EUR 101,000,000 for Series 2003-19, which represent 8.08% of the notional amount of the underlying reference portfolio;

EUR 89,100,000 for Series 2003-20, which represent 8.91% of the notional amount of the underlying reference portfolio;

(4) The obligations of Morgan Stanley (Aa3/P-1) as Credit Support Provider, and

(5) The legal and structural integrity of the transaction.

Elva Funding Plc obligations are collateralised at closing by cash deposited into a bank account rated at least Aa3/P-1. The notes will be written down in case of credit protection payments under the credit default swap, that is losses exceding the respective thresholds.

These transactions are issued out of Elva Funding Plc Euro 20,000,000,000 Asset Backed Medium Term Note Programme. Each of these Series is a mezzanine single tranche of a synthetic Collateralised Debt Obligation related each time to a portfolio of 100 corporate entities located mainly in Europe and North America. These portfolios are static and its total notional is EUR 1,000,000,000 for Series 1 and 20, and EUR 1,250,000,000 for Series 2 to 19.

Failure to pay and notional write downs on the Notes may be used as credit events in other transactions which would be synthetically referencing the notional of one or more of these rated Series. In other words, the main objective of these deals is to have rated exposures (i.e. the notional of the rated Notes), to be referenced in other synthetic resecuritisations, on which to calculate whether aggregate net losses for each deal are above the mentioned thresholds.

London
Frederic Drevon
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454

London
Hernan Quipildor
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456 SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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