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Rating Action:

Moody's assigns Aa3 to Corsair (Jersey) No.3 Series 32 credit-linked notes

 The document has been translated in other languages

03 Mar 2011

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 32

....US$20M Corsair (Jersey) No.3 Limited Series 32 Notes, Assigned Aa3

Notes Rated: Corsair (Jersey) No.3 Limited Series 32 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.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Moody's assigns Aa3 to Corsair (Jersey) No.3 Series 32 credit-linked notes
No Related Data.
© 2018 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE 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 AND MOODY’S 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. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S 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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