Moody's downgrades ratings of notes and swaps referencing TSAR 05
Approximately USD 465 million of debt securities and a max exposure of USD 6.05 billion of credit default swaps affected
London, 18 November 2008 -- Moody's Investors Service today downgraded and left on review for further
downgrade its ratings of seven classes of notes issued by Eirles Two Limited,
four classes of notes issued by Eirles Four Limited and twelve credit
default swaps entered into by Deutsche Bank AG referencing the TSAR_05
portfolio. These credit-linked notes issued by Eirles Two
Limited and Eirles Four Limited are repacks of various credit default
swaps entered into by Deutsche Bank AG, London Branch.
The portfolio contains approximately 30% RMBS and 8% ABS
CDOs, primarily of the 2004, 2005, and 2006 vintages.
Approximately 5% of the pool is currently rated Caa1 or below with
the junior most rated tranche attaching at 0.95%.
In August 2008, approximately 3% of the pool was rated Caa1
or below.
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:
EIRLES TWO LIMITED:
1) The JPY 1,000,000,000 Series 66 Floating and Variable
Rate Secured Notes
Current Rating: C
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 20 August 2008
2) The JPY 2,000,000,000 Series 68 Floating and Variable
Rate Secured Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
3) The JPY 3,000,000,000 Series 69 Floating and Variable
Rate Secured Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
4) The JPY 6,000,000,000 Series 71 Floating and Variable
Rate Secured Notes
Current Rating: B1, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 20 August 2008
5) The JPY 1,000,000,000 Series 75 Floating and Variable
Rate Secured Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
6) The EUR 10,000,000 Series 110 Floating and Variable Rate
Secured Notes
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
7) The EUR 50,000,000 Series 118 Floating and Variable Rate
Secured Notes
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
EIRLES FOUR LIMITED:
1) The USD 126,000,000 Series 9 Floating Rate Secured Notes
Current Rating: C
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
2) The DKK 350,000,000 Series 32 Floating and Variable Rate
Secured Notes
Current Rating: B1, on review for possible downgrade
Prior Rating: Aa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
3) The EUR 50,000,000 Series 60 Floating and Variable Rate
Secured Notes
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 20 August 2008
4) The EUR 5,000,000 Series 86 Floating and Variable Rate
Secured Notes
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
Deutsche Bank AG, London Branch - TSAR_05 Swaps 2005 (Class
B to E):
1) The USD 15,910,000 TSAR_05 (DB) Class B Portfolio Credit
Default Swap
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
2) The USD 7,160,000 TSAR_05 (DB) Class C Portfolio Credit
Default Swap
Current Rating: C
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
DEUTSCHE BANK AG, LONDON BRANCH - TSAR_05
1) The Class A Swap with a maximum exposure of USD 5,409,514,269.8
Current Rating: Baa3, on review for possible downgrade
Prior Rating: Aaa, on review for possible downgrade
Prior Rating Date: 20 August 2008
2) The Class A (3) Swap with a maximum exposure of USD 31,533,999
Current Rating: Ba1, on review for possible downgrade
Prior Rating: Aaa, on review for possible downgrade
Prior Rating Date: 20 August 2008
3) The Class A- (1) Swap with a maximum exposure of USD 57,334,544.46
Current Rating: B1, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 20 August 2008
4) The Class A (2) Swap with a maximum exposure of USD 77,401,635.02
Current Rating: Caa1, on review for possible downgrade
Prior Rating: Aa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
5) The Class A- (2) Swap with a maximum exposure of USD 86,001,816.69
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
6) The Class B Swap with a maximum exposure of USD 114,669,088.92
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
7) The Class B (1) Swap with a maximum exposure of USD 114,669,088.92
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
8) The Class B (2) Swap with a maximum exposure of USD 71,668,180.58
Current Rating: C
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 20 August 2008
9) The Class C Swap with a maximum exposure of USD 51,601,090.01
Current Rating: C
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: 20 August 2008
Deutsche Bank AG, London Branch - Tsar_05 Credit Default
Swap:
1) The Class B(3) Swap with a maximum exposure of USD 12,180,000
Current Rating: Ca
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 20 August 2008
London
Hemal Shah
Senior Associate
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
London
Neelam S. Desai
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454