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Rating Action:

Moody's downgrades EMTNs (excluding ECLNs) and USMTNs issued by Curzon Funding: Ratings remain on review for further downgrade

31 Oct 2008
Moody's downgrades EMTNs (excluding ECLNs) and USMTNs issued by Curzon Funding: Ratings remain on review for further downgrade

London, 31 October 2008 -- Moody's has today downgraded the EMTNs (excluding ECLNs) and USMTNs (together, the "Notes") issued by Curzon Funding Ltd and Curzon Funding LLC to Aa3 from Aaa on review for possible downgrade. The rating of the Notes remains on review for possible downgrade.

Curzon Funding Ltd/Curzon Funding LLC (together, "Curzon") is a credit arbitrage ABCP conduit that is able to issue asset backed commercial paper and several different types of medium term notes, including, but not limited to, conventional notes and non-credit linked structured notes. Curzon's rated liabilities are fully supported by total return swaps ("TRSs") provided by Curzon's sponsor, AIG Financial Products Corp. ("AIGFP"). The payment obligations of AIGFP (A3/Prime-1 -- on review for possible downgrade) under the TRSs are guaranteed by American International Group Inc (AIG) (A3/Prime-1 -- on review for possible downgrade).

The ratings of the Notes were placed on review for possible downgrade on September 16, 2008, following the downgrade (the "First Downgrade"), on September 15, 2008, of AIG and AIGFP to A2 on review for possible downgrade from Aa3 and the placement on review for possible downgrade of their Prime-1 issuer ratings. The long term ratings of AIG and AIGFP were further downgraded to A3 on October 3, 2008 and remain on review for possible downgrade (together with the First Downgrade, the "Downgrades"). Moody's also placed the Prime-1 rating in respect of the asset backed commercial paper notes ("ABCP") issued by Curzon on review for possible downgrade on 16 September, 2008. This Prime-1 rating remains on review for possible downgrade as of the date of this release.

Pursuant to the terms of the TRSs, the First Downgrade resulted in a requirement for AIGFP to post collateral (or take other remedial action) within 30 business days. On 14 October, 2008, AIGFP executed a credit support annex ("CSA") for each TRS and posted collateral in an amount equal to the nominal/face amount of the Notes plus, in the case of interest bearing Notes, six months' of interest. The collateral is held solely for the benefit of the holders of the related Notes.

Although Moody's regards the execution of the CSAs as favourable for the purpose of its rating analysis in relation to the Notes, Moody's has downgraded the Notes to Aa3 and maintains the Notes on review for possible downgrade. This downgrade is due to the possibility that, in the event AIG becomes insolvent, the collateral posted under the CSAs will not enable Curzon to pay all amounts owing in respect of the Notes. In particular, Curzon's ability to issue non-credit linked notes may result in a situation whereby the amount owing to noteholders exceeds posted collateral. This is because the principal and interest owing to noteholders in respect of such notes may fluctuate in a manner that is not accounted for by the collateral formulas in the CSAs. In addition, in certain circumstances, the provision of collateral to cover six months' of interest may not be sufficient to ensure full payment of all interest owing to noteholders and, in view of the Downgrades and recent market events, Moody's no longer believes that the likelihood of such circumstances arising is consistent with a Aaa rating.

As part of its ongoing review, Moody's is investigating, among other things, whether, following an insolvency of AIG, Curzon will be legally entitled to access the entire amount of collateral posted under the CSAs in order to repay the Notes as well as the potential impact on loss severity associated to index linked products .

The ratings address the expected loss posed to investors by the legal final maturity of the notes. Moody's ratings address only the credit risks associated with the transaction. Other non-credit risks have not been addressed, but may have a significant effect on yield to investors. With regard to the non-credit linked obligations, Moody's long-term obligation ratings are measures of relative credit worthiness that address the probability that Curzon will honor the contractual terms of an obligation and also incorporate an assessment of the loss for investors in the event of default. Such ratings do not address non-credit related risks that may exist in a structure nor are they statements about the pricing of derivative, third-party assets.

The principal methodology used for rating and surveillance may be found in "Framework for De-linking Hedge Counterparty Risks from Global Structured Finance Cashflow Transactions" published in May 2007 and "Moody's Rating Policy for Non-Credit Linked Obligations" published in December 2004.

As of 24 October 2008, Curzon had US$27.1 million of MTN notes outstanding.

London
Daniel Kolter
Managing Director
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Masako Oshima
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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