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Rating Action:

Moody's downgrades CSO notes of Corsair Finance (Ireland) No. 2 Limited

01 Mar 2011

EUR 200 million of debt securities affected

London, 01 March 2011 -- Moody's Investors Service announced today the following rating action on notes issued by Corsair Finance (Ireland) No. 2 Limited, a collateralized debt obligation transaction referencing a static portfolio of corporate entities (the "Corporate Synthetic Obligation" or "CSO"):

Issuer: Corsair Finance (Ireland) No. 2 Limited

....EUR200M Series 13 Floating Rate Secured Portfolio Credit -Linked Notes, Downgraded to Ba2 (sf); previously on Jul 22, 2010 Downgraded to Baa1 (sf)

RATINGS RATIONALE

Moody's explained that the rating action taken today is the result of the deterioration of the credit quality of the reference portfolio. The transaction is exposed to Anglo Irish Bank Corporation Plc which has suffered a credit event since the last rating action in July 2010. The 10 year weighted average rating factor of the portfolio, adjusted with forward looking measures and based on senior unsecured debt ratings, has deteriorated from 114 to 234, equivalent to an average rating of the current portfolio of Baa1. In downgrading the rating of the tranche, Moody's has taken into account that the reference portfolio is 100% exposed to the Banking and Finance industry sectors. Furthermore 95% of the reference portfolio is exposed to subordinated debt including Bank of Ireland and Allied Irish Banks p.l.c., of which subordinated debt of both are currently rated Ca. Approximately 28% of the reference portfolio is exposed to entities in Greece, Ireland, Portugal and Spain, countries of which some have experienced multi notch downgrades since the last rating action. The transaction has 4.83 years to maturity.

Because of the high concentration of subordinated debt in the reference portfolio, in its base case Moody's used subordinated debt ratings as inputs in the CDOROM.

Moody's also performed sensitivity analysis consisting in modeling Moody's market implied rating in place of the corporate fundamental rating to derive the default probability of each corporate name in the reference portfolio. Moody's market implied ratings are derived from observable CDS spread on each corporate name and mapped to Moody's rating scale. The gap between a Market implied rating and a Moody's corporate fundamental rating is an indicator of the extent of the divergence of credit view between Moody's and the market on each referenced name in the CSO portfolio. This run generated a result that was 7 notches lower than the one modeled under the base case run.

In addition to the quantitative factors that are explicitly modeled, qualitative factors are part of rating committee considerations. These qualitative factors include the structural protections in each transaction, the recent deal performance in the current market environment, the legal environment, and specific documentation features. All information available to rating committees, including macroeconomic forecasts, input from other Moody's analytical groups, market factors, and judgments regarding the nature and severity of credit stress on the transactions, may influence the final rating decision.

The principal methodology used in this rating was "Moody's Approach to Rating Corporate Synthetic Obligations" rating methodology published in September 2009.

Moody's analysis for this transaction is based on the CDOROMTM. This model is available on moodys.com under Products and Solutions -- Analytical models, upon return of a signed free license agreement.

Moody's Investors Service did not receive or take into account a third party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past 6 months.

Due to the impact of revised and updated key assumptions referenced in "Moody's Approach to Rating Corporate Synthetic Obligations", key model inputs used by Moody's in its analysis may be different from the manager/arranger's reported numbers. In particular, rating assumptions for all publicly rated corporate credits in the underlying portfolio have been adjusted for "Review for Possible Downgrade", "Review for Possible Upgrade", or "Negative Outlook".

Moodys did not run a separate loss and cash flow analysis other than the one already done using the CDOROM model. For a description of the analysis, refer to the methodology and the CDOROM user guide on Moodys website.

Moody's analysis of corporate CSOs is subject to uncertainties, the primary sources of which includes complexity, governance and leverage. Although the CDOROM model capture many of the dynamics of the Corporate CSO structure, it remains a simplification of the complex reality. Of greatest concern are (a) variations over time in default rates for instruments with a given rating, (b) variations in recovery rates for instruments with particular seniority/security characteristics and (c) uncertainty about the default and recovery correlations characteristics of the reference pool. Similarly on the legal/structural side, the legal analysis although typically based in part on opinions (and sometimes interpretations) of legal experts at the time of issuance, is still subject to potential changes in law, case law and the interpretations of courts and (in some cases) regulatory authorities. Although the impact of these decisions is mitigated by structural constraints, anticipating the quality of these decisions necessarily introduces some level of uncertainty in our assumptions. Given the tranched nature of Corporate CSO liabilities, rating transitions in the reference pool may have leveraged rating implications for the ratings of the Corporate CSO liabilities, thus leading to a high degree of volatility. All else being equal, the volatility is likely to be higher for more junior or thinner liabilities. The base case scenario modeled fits into the central macroeconomic scenario predicted by Moody's of a sluggish recovery scenario of the corporate universe. Should macroeconomics conditions evolves towards a more severe scenario such as a double dip recession, the CSO rating will likely be downgraded to an extent depending on the expected severity of the worsening conditions.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

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The rating has been disclosed to the rated entity or its designated agents and issued with no amendment resulting from that disclosure.

Information sources used to prepare the credit rating are the following: parties involved in the ratings and public information.

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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.

Please see ratings tab on the issuer/entity page on Moodys.com 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 Investors Service's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's Investors Service 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 our website www.moodys.com for further information.

Please see the Credit Policy page on Moodys.com for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

New York
Jian Hu
MD - Structured Finance
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653

London
Branimir Jovanovic
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades CSO notes of Corsair Finance (Ireland) No. 2 Limited
No Related Data.
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