Moody's downgrades eight classes of notes issued by Curzon Funding
USD 60 million and EUR 45 million of debt securities affected
London, 19 November 2008 -- Moody's Investors Service today downgraded and left under review for further
downgrade eight classes of credit-linked notes issued by Curzon
Funding Limited.
These rating actions are a response to credit deterioration in the underlying
portfolio. The transactions are synthetic CDOs referencing,
among other assets, US RMBS and ABS CDOs of the 2005 -- 2007
vintages. The classes of notes issued under Series 2005-1
and Series 2005-2 have the same structure, attachment points
in percentage terms, and reference the same portfolio. However,
the notes and reference portfolio under Series 2005-1 are denominated
in USD whereas they are denominated in Euro under Series 2005-2.
Moody's announced on September 18, 2008 that it is revising its
expected loss assumptions which are used for the surveillance of ratings
of ABS CDOs holding subprime RMBS, specifically of the second half
2005 -- first half 2007 vintages. Moody's stated
that for purposes of monitoring its ratings of ABS CDOs with exposure
to second half 2005 -- first half 2007 subprime RMBS,
it will rely on certain projections of the lifetime average cumulative
losses for vintages of RMBS set forth in a recent Moody's Special Report,
"Subprime RMBS Loss Projection Update: September 2008." Moody's
explained that it will utilise the range of loss projections set forth
in the report based on deal performance and quarterly vintage to modify
its prior assumptions of the expected loss inputs when monitoring ABS
CDO ratings.
Today's rating actions are as follows:
Curzon Funding Limited Series 2005-1 (HORIZON CDO Series):
1) USD 20,000,000 Series 2005-1 Horizon Class A Variable
Coupon Notes Due 2095
Current Rating: Aa2, on review for downgrade
Prior Rating: Aaa, on review for downgrade
Prior Rating Action Date: 29 September 2008
2) The USD 20,000,000 Series 2005-1 Horizon Class B
Variable Coupon Notes Due 2095
Current Rating: Ba1, on review for downgrade
Prior Rating: Aa3, on review for downgrade
Prior Rating Action Date: 13 June 2008
3) The USD 10,000,000 Series 2005-1 Horizon Class C
Variable Coupon Notes Due 2095
Current Rating: Caa1, on review for downgrade
Prior Rating: Baa2, on review for downgrade
Prior Rating Action Date: 13 June 2008
4) The USD 10,000,000 Series 2005-1 Horizon Class D
Variable Coupon Notes Due 2095
Current Rating: Caa3, on review for downgrade
Prior Rating: Ba2, on review for downgrade
Prior Rating Action Date: 13 June 2008
Curzon Funding Limited Series 2005-2 (Horizon IIIE):
1) EUR 15,000,000 Series 2005-2 Horizon IIIE Class
A Variable Coupon Notes Due 2095
Current Rating: Aa2, on review for downgrade
Prior Rating: Aaa, on review for downgrade
Prior Rating Action Date: 29 September 2008
2) The EUR 15,000,000 Series 2005-2 Horizon IIIE Class
B Variable Coupon Notes Due 2095
Current Rating: Ba1, on review for downgrade
Prior Rating: Aa3, on review for downgrade
Prior Rating Action Date: 13 June 2008
3) The EUR 7,500,000 Series 2005-2 Horizon IIIE Class
C Variable Coupon Notes Due 2095
Current Rating: Caa1, on review for downgrade
Prior Rating: Baa2, on review for downgrade
Prior Rating Action Date: 13 June 2008
4) The EUR 7,500,000 Series 2005-2 Horizon IIIE Class
D Variable Coupon Notes Due 2095
Current Rating: Caa3, on review for downgrade
Prior Rating: Ba2, on review for downgrade
Prior Rating Action Date: 13 June 2008
London
Paul Jamieson
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
New York
Stephen Lioce
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653