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Rating Action:

MOODY'S ASSIGNS RATINGS TO BIFROST CREDIT DEFAULT SWAPS SERIES 11 TO 20

07 Aug 2003
MOODY'S ASSIGNS RATINGS TO BIFROST CREDIT DEFAULT SWAPS SERIES 11 TO 20

Approximately EUR13 Billion of Credit Default Swaps Affected

Paris, August 07, 2003 -- Moody's Investors Service has assigned the following ratings to the credit default swaps entered into between Bifrost Investments Limited (as protection provider) and BNP Paribas, London Branch (as protection buyer):

-(P)Aaa to the Bifrost Series 11 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 11 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 11 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 11 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 11 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 11 EUR130,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 11 EUR75,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 11 EUR55,000,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 11 EUR185,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 11 EUR150,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 11 EUR91,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 11 EUR67,500,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 12 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 12 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 12 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 12 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 12 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 12 EUR125,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 12 EUR82,500,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 12 EUR50,000,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 12 EUR185,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 12 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 12 EUR100,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 12 EUR65,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 13 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 13 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 13 EUR75,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 13 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 13 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 13 EUR130,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 13 EUR75,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 13 EUR62,500,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 13 EUR195,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 13 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 13 EUR100,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 13 EUR75,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 14 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 14 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 14 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 14 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 14 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 14 EUR130,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 14 EUR80,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 14 EUR50,000,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 14 EUR185,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 14 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 14 EUR105,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 14 EUR60,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 15 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 15 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 15 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 15 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 15 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 15 EUR125,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 15 EUR80,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 15 EUR57,500,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 15 EUR195,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 15 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 15 EUR80,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 15 EUR65,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 16 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 16 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 16 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 16 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 16 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 16 EUR125,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 16 EUR67,500,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 16 EUR55,000,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 16 EUR195,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 16 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 16 EUR80,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 16 EUR65,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 17 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 17 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 17 EUR63,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 17 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 17 EUR160,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 17 EUR125,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 17 EUR67,500,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 17 EUR50,000,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 17 EUR190,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 17 EUR150,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 17 EUR80,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 17 EUR65,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 18 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 18 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 18 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 18 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 18 EUR175,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 18 EUR115,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 18 EUR70,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 18 EUR65,000,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 18 EUR190,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 18 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 18 EUR80,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 18 EUR65,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 19 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 19 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 19 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 19 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 19 EUR175,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 19 EUR125,000,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 19 EUR75,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 19 EUR62,500,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 19 EUR190,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 19 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 19 EUR80,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 19 EUR65,000,000 Class 10D Credit Default Swap

-(P)Aaa to the Bifrost Series 20 EUR160,000,000 Class 5A Credit Default Swap

-(P)Aa2 to the Bifrost Series 20 EUR115,000,000 Class 5B Credit Default Swap

-(P)A2 to the Bifrost Series 20 EUR60,000,000 Class 5C Credit Default Swap

-(P)Baa2 to the Bifrost Series 20 EUR50,000,000 Class 5D Credit Default Swap

-(P)Aaa to the Bifrost Series 20 EUR175,000,000 Class 7A Credit Default Swap

-(P)Aa2 to the Bifrost Series 20 EUR117,500,000 Class 7B Credit Default Swap

-(P)A2 to the Bifrost Series 20 EUR75,000,000 Class 7C Credit Default Swap

-(P)Baa2 to the Bifrost Series 20 EUR62,500,000 Class 7D Credit Default Swap

-(P)Aaa to the Bifrost Series 20 EUR190,000,000 Class 10A Credit Default Swap

-(P)Aa2 to the Bifrost Series 20 EUR135,000,000 Class 10B Credit Default Swap

-(P)A2 to the Bifrost Series 20 EUR80,000,000 Class 10C Credit Default Swap

-(P)Baa2 to the Bifrost Series 20 EUR65,000,000 Class 10D Credit Default Swap

The ratings primarily reflect our analysis of the likelihood, and extent, of any reduction of the credit default swap outstanding notional amount due to the credit risk of the reference portfolios and the protection provided by the threshold amount of each class under each series. The ratings do not reflect potential losses with respect to the payment of premium by BNP Paribas or resulting from early termination of the transaction, nor any market risk associated with the transaction.

In these transactions, Bifrost Investments Limited entered into one hundred and twenty credit default swaps with BNP Paribas, London Branch, related to ten different EUR5,000,000,000 reference portfolios (one for each series) comprised of 100 reference obligations each. Within each new series Class 5A, 5B, 5C and 5D, Class 7A, 7B, 7C and 7D and Class 10A, 10B, 10C and 10D refer to the same portfolio but with a change in the maturity of the CDS from 5 to 7 and to 10 years respectively. The structure is similar to a standard credit default swap except that there is no protection payment. The pursued aim is to calculate whether the aggregate net loss is above the loss threshold of each credit default swap (please see the definition of the first loss thresholds below) resulting in a notional write down of the credit default swaps in reversed order of seniority. This notional write down may be used as a credit event in other transactions.

For the ten series the respective first loss thresholds are the following:

EUR 177,500,000 for Bifrost Series 11 Class 5A, 5B, 5C and 5D

EUR 195,000,000 for Bifrost Series 11 Class 7A, 7B, 7C and 7D

EUR 220,000,000 for Bifrost Series 11 Class 10A, 10B, 10C and 10D

EUR 180,000,000 for Bifrost Series 12 Class 5A, 5B, 5C and 5D

EUR 200,000,000 for Bifrost Series 12 Class 7A, 7B, 7C and 7D

EUR 212,500,000 for Bifrost Series 12 Class 10A, 10B, 10C and 10D

EUR 180,000,000 for Bifrost Series 13 Class 5A, 5B, 5C and 5D

EUR 207,500,000 for Bifrost Series 13 Class 7A, 7B, 7C and 7D

EUR 230,000,000 for Bifrost Series 13 Class 10A, 10B, 10C and 10D

EUR 185,000,000 for Bifrost Series 14 Class 5A, 5B, 5C and 5D

EUR 205,000,000 for Bifrost Series 14 Class 7A, 7B, 7C and 7D

EUR 227,500,000 for Bifrost Series 14 Class 10A, 10B, 10C and 10D

EUR 174,500,000 for Bifrost Series 15 Class 5A, 5B, 5C and 5D

EUR 193,500,000 for Bifrost Series 15 Class 7A, 7B, 7C and 7D

EUR 219,500,000 for Bifrost Series 15 Class 10A, 10B, 10C and 10D

EUR 175,000,000 for Bifrost Series 16 Class 5A, 5B, 5C and 5D

EUR 201,000,000 for Bifrost Series 16 Class 7A, 7B, 7C and 7D

EUR 227,500,000 for Bifrost Series 16 Class 10A, 10B, 10C and 10D

EUR 167,500,000 for Bifrost Series 17 Class 5A, 5B, 5C and 5D

EUR 199,000,000 for Bifrost Series 17 Class 7A, 7B, 7C and 7D

EUR 220,000,000 for Bifrost Series 17 Class 10A, 10B, 10C and 10D

EUR 181,000,000 for Bifrost Series 18 Class 5A, 5B, 5C and 5D

EUR 200,000,000 for Bifrost Series 18 Class 7A, 7B, 7C and 7D

EUR 242,500,000 for Bifrost Series 18 Class 10A, 10B, 10C and 10D

EUR 175,000,000 for Bifrost Series 19 Class 5A, 5B, 5C and 5D

EUR 190,500,000 for Bifrost Series 19 Class 7A, 7B, 7C and 7D

EUR 228,500,000 for Bifrost Series 19 Class 10A, 10B, 10C and 10D

EUR 180,000,000 for Bifrost Series 20 Class 5A, 5B, 5C and 5D

EUR 195,000,000 for Bifrost Series 20 Class 7A, 7B, 7C and 7D

EUR 232,500,000 for Bifrost Series 20 Class 10A, 10B, 10C and 10D

To order a copy of Moody's pre-sale report for this transaction, please contact Moody's Client Service Desk in London at +44 20 7772 5454; or visit our website at www.moodys.com.

Paris
Paul Mazataud
Managing Director
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 33 1 53 43 93 78 SUBSCRIBERS: 44 20 7772 5454

Paris
Guillaume Jolivet
Senior Associate
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 33 1 53 43 93 78 SUBSCRIBERS: 44 20 7772 5454

No Related Data.
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CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND/OR ITS CREDIT RATINGS AFFILIATES ARE MOODY'S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MATERIALS, PRODUCTS, SERVICES AND INFORMATION PUBLISHED BY MOODY'S (COLLECTIVELY, "PUBLICATIONS") MAY INCLUDE SUCH  CURRENT OPINIONS. MOODY'S INVESTORS SERVICE DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY'S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY'S INVESTORS SERVICE CREDIT RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS, NON-CREDIT ASSESSMENTS ("ASSESSMENTS"), AND  OTHER OPINIONS INCLUDED IN MOODY'S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY'S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY'S ANALYTICS, INC. AND/OR ITS AFFILIATES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. MOODY'S CREDIT RATINGS, ASSESSMENTS, OTHER OPINIONS AND  PUBLICATIONS DO NOT COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY'S ISSUES ITS CREDIT RATINGS, ASSESSMENTS AND OTHER OPINIONS AND PUBLISHES  ITS PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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