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Announcement:

Moody's Downgrades Ratings for Nomura Enhanced Cash Funds to A/MR3 from Aaa/MR3

Global Credit Research - 21 Mar 2011

New York, March 21, 2011 -- Moody's today downgraded the bond fund ratings to A from Aaa of Nomura's enhanced cash funds, NGA Institutional Libor Fund Limited and NGA Institutional Libor Feeder Fund Limited reflecting deterioration in fund credit quality and Nomura's aggressive and complex investment strategy. The fund's maturity-adjusted credit quality looking forward given its select exposure to counterparty risks is also an area of concern. Moody's affirmed the fund's market risk rating of MR3 reflecting the portfolio's modest return sensitivity and low duration profile, constrained consistently between 0.25 and 0.5 years since the inception of the funds in 2005. This concludes Moody's review for possible downgrade initiated in October 2008.

While the funds continue to invest in a spectrum of high quality, benchmark government securities, the rating downgrade is reflective of the opportunistic nature of the fund's investment strategies, which have become more aggressive and seek to benefit from relative value trading anomalies. Continuing exposure to counterparties, which led to losses associated with the resolution of the Lehman bankruptcy highlight some of the idiosyncratic risks of the funds' strategy.

While assets are predominantly invested in Aaa- rated US government securities, the funds also generates above-market returns to a limited extent by investing typically in A-rated corporate and mortgage-backed securities that the manager deems to be under-rated or undervalued. An active hedging strategy, reliant on high volume usage of options and other derivatives serves to moderate market risk, but exposes the funds to counterparty risk. The funds seeks to mitigate this risk through diversification and collateral management practices, however, incremental risk is still prevalent relative to more traditional bond funds with "long-only" orientations. The fund also actively employs leverage that it limits to 25% of gross managed assets for above-market return generation, which is generally above leverage levels for enhanced cash funds in its rated universe.

Prior to the review for possible downgrade commenced in October 2008, Moody's downgraded the market risk rating of the fund (formerly known as Proxima Alpha Institutional Libor Feeder Fund and Master Portfolio) to MR3 from MR1 in February 2008.

NGA Institutional LIBOR Feeder Fund Limited is a feeder fund in a Master -- Feeder structure. Both Funds are exempted open-ended investment companies incorporated with limited liability in the Cayman Islands. The feeder fund invests its assets in a master fund that has the same investment strategy.

The Funds are advised by Nomura Global Alpha LLC, a wholly owned subsidiary of Nomura Asset Management U.S.A. Inc. As of December 30, 2010, Nomura Asset Management Co., Ltd. and its investment advisory subsidiaries managed approximately $250 billion in assets under management.

New York
Martin Duffy
VP - Senior Credit Officer
Managed Investments Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

New York
Daniel Serrao
Senior Vice President
Managed Investments Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Investors Service
250 Greenwich Street
New York, NY 10007
U.S.A.
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

Moody's Downgrades Ratings for Nomura Enhanced Cash Funds to A/MR3 from Aaa/MR3
No Related Data.
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