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Rating Action:

Moody's downgrades EUR58.5M SF CDO of Claris Series Limited (Millesime)

29 Jun 2010

London, 29 June 2010 -- Moody's Investors Service announced today the following rating actions on notes issued by Claris Series Limited (Millesime):

Issuer: Claris Limited Series 20,21,22 and 23/2004 (Millesime)

....EUR25M Series 20 Notes, Downgraded to A1 and Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Confirmed at Aa3

....JpnY500M Series 21 Notes, Downgraded to Baa1 and Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Confirmed at A2

....EUR15M Series 22 Notes, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Confirmed at Baa2

....EUR10M Series 23 Notes, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; previously on Mar 11, 2009 Confirmed at Baa2

Issuer: Claris Limited Series 25/2004 (Millesime)

....US$5M Series 25 Notes, Downgraded to Ba1 and Placed Under Review for Possible Downgrade; previously on Apr 23, 2009 Confirmed at Baa3

This transaction is a managed synthetic CDO of 100% European ABS assets, initially rated Aaa. At present, the portfolio is composed of 92% RMBS, 2.9% ABS Autos and 2.5% Consumer ABS Credit Cards amongst others.

The rating downgrade actions reflect a deterioration in the credit quality of the underlying portfolio. Since 4Q09, 7 underlying assets representing 13.5% of the reference pool have suffered multiple notch downgrades. In particular, two Greek RMBS senior tranches, representing 4.3% of the pool in aggregate, were downgraded last month by 6 and 7 notches to A1 and A2 respectively and remain under review for further possible downgrade. These two assets are currently the most lowly rated assets in the pool. Moody's notes that there is limited or no subordination (namely 0% to 2.8% of the portfolio on the different series) to support any losses for these rated tranches issued by Claris. The high degree of leverage, combined with the limited thickness of the tranches (1.5% to 3% of the portfolio) makes the expected losses of all tranches very sensitive to any negative rating actions on the underlying pool. The portfolio has not suffered any credit events to date.

All tranches remain on review for further possible downgrade given the uncertainty surrounding the developments on the aforementioned Greek assets and other underlying assets that are currently on review for downgrade, which represent 11% of the portfolio. The recent downgrade of the Greek government's sovereign debt rating and consequently, the spate of downgrades on nine Greek banks indicated an increase in the operational risk associated with Greek structured finance transactions. We will continue to monitor the situation closely pending the outcome of the review. For more information please see recent press release: "Moody's updates review parameters for Greek structured finance transactions", dated 23 June 2010.

In deriving its ratings, Moody's uses the collateral instrument's current rating-based expected loss, Moody's recovery rate table, and the original rating of the instrument along with its average life to infer an unadjusted default probability. 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.

Moody's monitors this transaction using primarily the methodology and its supplements for SF CDOs as described in Moody's Rating Methodology papers:

--Moody's Approach to Rating SF CDOs (August 2009)

This report can be found at www.moodys.com in the Research and Ratings directory, in the Ratings Methodologies subdirectory. Other methodologies and factors that may have been considered in the process of rating these issuances can also be found in the Ratings Methodologies subdirectory. 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.

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

Paris
Florence Tadjeddine
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's downgrades EUR58.5M SF CDO of Claris Series Limited (Millesime)
No Related Data.
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