USD 20 million of credit-linked notes affected
Tokyo, March 03, 2011 -- Moody's Japan K.K. has assigned a definitive rating of Aa3
to the USD 20 million credit-linked notes issued by Corsair (Jersey)
No.3 Limited.
The rating addresses the expected loss posed to investors by the maturity
date. The structure allows for timely payments of interest,
and ultimate payment of principal by the maturity date.
The complete rating actions follows:
Issuer: Corsair (Jersey) No.3 Limited Series 30
....US$20M Corsair (Jersey) No.3
Limited Series 30 Notes, Assigned Aa3
Notes Rated: Corsair (Jersey) No.3 Limited Series 30 Single
Name Credit-linked Notes
Rating: Aa3
Issuer: Corsair (Jersey) No.3 Limited
Issue Amount: USD 20,000,000
Coupon: Floating
Payment Frequency of Interest: Quarterly
Issue Date: March 3, 2011
Maturity Date: March 22, 2016
Collateral Asset: Japan Government Bonds (Senior Long Term Rating:
Aa2 (Domestic Currency))
Swap Counterparty: JPMorgan Chase Bank, N.A.
(Senior Unsecured Long-Term Rating: Aa1)
Reference Entity: One International Financial Institution (Senior
Unsecured Long-Term Rating: Aaa)
Arranger: JPMorgan Securities Ltd.
RATING RATIONALE
The transaction is comprised of credit-linked notes backed by the
collateral asset, referencing one international financial institution.
A credit default swap agreement and an asset swap agreement are incorporated
into the transaction.
The principal and interest payments on the collateral asset and the proceeds
from the swap counterparty are used for the principal and interest payments
on the Notes.
The principal and interest payments on the collateral asset are denominated
in JPY, and the principal and interest payments on the Notes in
USD. The currency exposure will be hedged via the asset swap agreement
between the issuer and the swap counterparty.
The rating on the Notes is based mainly on the credit quality of the collateral
asset, the credit quality of the reference entity, the credit
quality of the swap counterparty and the strength of transaction structure.
If the rating on the collateral asset, the rating of the reference
entity or the rating of the swap counterparty changes, the rating
on the Notes can also change.
The principal methodology used in this rating was "Moody's Approach
to Rating Repackaged Securities" published on September 30,
2010, and available on www.moodys.co.jp.
REGULATORY DISCLOSURES
The credit rating addresses the expected loss posed to the Notes which
are considered structured finance products in Japanese law. This
transaction is not instruments to which Moody's applies its (sf)
structured finance indicator. For the application of the (sf) indicator
and the explanation of meaning and limitation of the credit rating on
structured finance instruments, please see "Moody's
Structured Finance Rating Scale" on www.moodys.com.
The principal information used to prepare the credit rating comprised
contracts.
Information sources used to prepare the credit rating are the following:
parties involved in the rating (the Arranger); public information;
and confidential and proprietary Moody's information.
Measures taken to ensure the quality of this information include representations
and warranties.
Moody's considers the quality of information available on the issuer
or obligation satisfactory for the purposes of assigning a credit rating.
Moody's encouraged rating-related entities to disclose any
information that may be pertinent to this transaction, including
items described in "Information Considered Important in Evaluating
the Appropriateness of a Credit Rating" on www.moodys.co.jp,
or to take other measures to enable third parties to verify the appropriateness
of the credit rating.
Rating-related entities have responded to us as below;
Rating-related entities have responded to us that they would not
disclose information pertinent to this transaction to third parties except
through Moody's press release. However, they would
disclose related information pertinent to this transaction to candidate
investors who may invest in the transaction.
Moody's adopts all necessary measures so that the information it uses
in assigning a credit rating is of sufficient quality and from sources
Moody's considers to be reliable including, when appropriate,
independent third-party sources. However, Moody's
is not an auditor and cannot in every instance independently verify or
validate information received in the rating process.
Credit ratings are Moody's current opinions of the relative future credit
risk of entities, credit commitments, or debt or debt-like
securities. Moody's 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. Credit
ratings do not address any other risk, including but not limited
to: liquidity risk, market value risk, or price volatility.
Credit ratings do not constitute investment or financial advice,
and credit ratings are not recommendations to purchase, sell,
or hold particular securities. No warranty, express or implied,
as to the accuracy, timeliness, completeness, merchantability
or fitness for any particular purpose of any such rating or other opinion
or information is given or made by Moody's in any form or manner whatsoever.
The credit risk of an issuer or its obligations is assessed based on information
received from the issuer or from public sources. Moody's may change
the rating when it deems necessary. Moody's may also withdraw the
rating due to insufficient information, or for other reasons.
Moody's Japan K.K. is a credit rating agency registered
with the Japan Financial Services Agency and its registration number is
FSA Commissioner (Ratings) No. 2. The Financial Services
Agency has not imposed any supervisory measures on Moody's Japan K.K.
in the past year.
Please see ratings tab on the issuer/entity page on the Moody's website
for the last rating action and the rating history.
The date on which some Credit Ratings were first released goes back to
a time before Moody's Credit Ratings were fully digitized and accurate
data may not be available. Consequently, Moody's provides
a date that it believes is the most reliable and accurate based on the
information that is available to it. Please see the ratings disclosure
page on the Moody's website for further information.
Please see the Credit Policy page on the Moody's website for the methodologies
used in determining ratings, further information on the meaning
of each rating category and the definition of default and recovery.
Tokyo
Ichiro Yamano
Vice President - Senior Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Tokyo
Yusuke Seki
Senior Vice President - Team Leader
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's Japan K.K.
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Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100
Moody's assigns Aa3 to Corsair (Jersey) No.3 Series 30 credit-linked notes