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Rating Action:

Moody's downgrades five repack notes guaranteed by Assured Guaranty (Europe) Ltd

22 Jan 2013

GBP 768 million of debt securities affected

London, 22 January 2013 -- Moody's Investors Service announced today that it has downgraded the ratings of the following notes issued by Dali Capital PLC and Lunar Funding I Limited:

Issuer: Dali Capital PLC Series 29

....GBP 225,000,000 Guaranteed Asset Backed Fixed Rate Notes due 2037, Downgraded to A2; previously on Mar 22, 2012 Aa3 Placed Under Review for Possible Downgrade

Issuer: Lunar Funding I Limited GBP [75-100,000,000] Series 3 Fixed Rate Notes due 2020

....GBP 100,000,000 Series 3 Fixed Rate Notes due 2020, Downgraded to A2; previously on Mar 22, 2012 Aa3 Placed Under Review for Possible Downgrade

Issuer: Lunar Funding I Limited GBP 325,000,000 Series 4 Fixed Rate Notes due 2033

....GBP 325,000,000 Series 4 Fixed Rate Notes due 2033, Downgraded to A2; previously on Mar 22, 2012 Aa3 Placed Under Review for Possible Downgrade

....GBP 53,000,000 Series 4 Fixed Rate Notes due 2033, Downgraded to A2; previously on Mar 22, 2012 Aa3 Placed Under Review for Possible Downgrade

Issuer: Lunar Funding I Limited GBP 40,000,000 Series 8 Fixed Rate Notes due 2028

....GBP 40,000,000 Series 8 Fixed Rate Notes due 2028, Downgraded to A2; previously on Mar 22, 2012 Aa3 Placed Under Review for Possible Downgrade

Issuer: Lunar Funding I Limited Series 17

....Series 17 GBP 25,000,000 Guaranteed Variable Coupon Amount Notes due 2056, Downgraded to A2; previously on Mar 22, 2012 Aa3 Placed Under Review for Possible Downgrade

These transactions represent the repackaging of bonds, which are ultimately guaranteed by Assured Guaranty (Europe) Ltd. All these transactions, besides Lunar Funding I Series 17 and Dali Capital PLC Series 29, have a swap embedded in the structure, where the issuer passes the interest received on the bonds to the swap counterparty and the swap counterparty will pay what is due under the notes. Assured Guaranty (Europe) Ltd guarantees the interest and principal under the notes and also guarantees the issuers' obligations under the swap.

RATINGS RATIONALE

Moody's explained that the rating action taken today is the result of a rating action on Assured Guaranty (Europe) Ltd, which was downgraded to A2 from Aa3 under review for downgrade on 17th January 2013. For further information on the underlying action see the press release titled "Moody's downgrades Assured Guaranty; lead insurer to A2" on www.moodys.com.

Moody's ratings on structured finance securities that are guaranteed or "wrapped" by a financial guarantor are generally maintained at a level equal to the higher of the following: a) the rating of the guarantor; or b) the published or unpublished underlying rating. Moody's approach to rating wrapped transactions is outlined in Moody's November 10, 2008 announcement entitled "Moody's Modifies Approach to Rating Structured Finance Securities Wrapped by Financial Guarantors". The principal methodology used in determining the underlying rating is the same methodology for rating securities that do not have a financial guaranty and is listed below.

This action is driven solely by the rating action on Assured Guaranty and is not a result of change in key assumptions, expected losses, cash flows or stress scenarios on the underlying assets.

Moody's notes that these transactions are subject to a high level of macroeconomic uncertainty, which could negatively impact the ratings of the notes, as evidenced by 1) uncertainties of credit conditions in the general economy and 2) more specifically, any uncertainty associated with the credit quality of the guarantor in the transactions could have a direct impact on the repackaged transactions.

The principal methodology used in these ratings was "Moody's Approach to Rating Repackaged Securities" published in April 2010. Please see the Credit Policy page on www.moodys.com for a copy of this methodology.

Further information on Moody's analysis of these transactions is available on www.moodys.com

REGULATORY DISCLOSURES

Moody's did not receive or take into account a third-party assessment on the due diligence performed regarding the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.

For ratings issued on a program, series or category/class of debt, this announcement provides certain regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides certain regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides certain regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.

For any affected securities or rated entities receiving direct credit support from the primary entity(ies) of this rating action, and whose ratings may change as a result of this rating action, the associated regulatory disclosures will be those of the guarantor entity. Exceptions to this approach exist for the following disclosures, if applicable to jurisdiction: Ancillary Services, Disclosure to rated entity, Disclosure from rated entity.

The below contact information is provided for information purposes only. Please see the ratings tab of the issuer page at www.moodys.com, for each of the ratings covered, Moody's disclosures on the lead analyst and the Moody's legal entity that has issued the ratings.

Please see www.moodys.com for any updates on changes to the lead rating analyst and to the Moody's legal entity that has issued the rating.

Please see the ratings tab on the issuer/entity page on www.moodys.com for additional regulatory disclosures for each credit rating.

Mariona Serrat
Associate Analyst
Structured Finance Group
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

Gabriele Gramazio
Associate Analyst 1
Structured Finance Group
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

Guillaume Jolivet
Vice President - Senior Analyst
Structured Finance Group
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Releasing Office:
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 five repack notes guaranteed by Assured Guaranty (Europe) Ltd
No Related Data.
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