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Rating Action:

Moody's downgrades ratings of notes and swaps referencing TSAR_05

20 Aug 2008
Moody's downgrades ratings of notes and swaps referencing TSAR_05

Approximately USD 555 million of debt securities and a max exposure of USD 6.3 billion of credit default swaps affected

London, 20 August 2008 -- Moody's Investors Service today downgraded and left on review for further downgrade the ratings of ten classes of notes issued by Eirles Two Limited, nine classes of notes issued by Eirles Four Limited and twentyone 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 affected notes and swaps reference a portfolio of ABS (RMBS and CDO of ABS primarily) that can be substituted/removed subject to the assets' eligibility criteria and portfolio guidelines.

The portfolio contains approximately 30% RMBS and 7.5% ABS CDOs, primarily of the 2004, 2005, and 2006 vintages. Approximately 3.30% of the pool is currently rated Caa1 or below with the junior most rated tranche attaching at 0.95%. In June 2008, approximately 2.04% of the pool was rated Caa1 or below.

All of these notes and credit default swaps reference the same TSAR 05 portfolio.

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: Caa1, on review for downgrade

Prior Rating: Ba1, on review for downgrade

2) The JPY 2,000,000,000 Series 68 Floating and Variable Rate Secured Notes

Current Rating: Baa3, on review for downgrade

Prior Rating: A1, on review for downgrade

3) The JPY 3,000,000,000 Series 69 Floating and Variable Rate Secured Notes

Current Rating: Baa3, on review for downgrade

Prior Rating: A1, on review for downgrade

4) The JPY 6,000,000,000 Series 71 Floating and Variable Rate Secured Notes

Current Rating: Aa2, on review for downgrade

Prior Rating: Aaa

5) The JPY 1,000,000,000 Series 75 Floating and Variable Rate Secured Notes

Current Rating: Baa3, on review for downgrade

Prior Rating: A1, on review for downgrade

6) The JPY 1,000,000,000 Series 81 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Caa3, on review for downgrade

7) The JPY 500,000,000 Series 82 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Ca

8) The USD 15,000,000 Series 85 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Ca

9) The EUR 10,000,000 Series 110 Floating and Variable Rate Secured Notes

Current Rating: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

10) The EUR 50,000,000 Series 118 Floating and Variable Rate Secured Notes

Current Rating: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

EIRLES FOUR LIMITED:

1) The USD 126,000,000 Series 9 Floating Rate Secured Notes

Current Rating: Caa3, on review for downgrade

Prior Rating: Caa1, on review for downgrade

2) The USD 15,000,000 Series 11 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Ca

3) The USD 5,000,000 Series 15 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Ca

4) The USD 5,000,000 Series 16 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Ca

5) The DKK 350,000,000 Series 32 Floating and Variable Rate Secured Notes

Current Rating: Aa3, on review for downgrade

Prior Rating: Aa3

6) The USD 5,000,000 Series 54 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Ca

7) The EUR 50,000,000 Series 60 Floating and Variable Rate Secured Notes

Current Rating: Aa2, on review for downgrade

Prior Rating: Aaa

8) The EUR 10,000,000 Series 82 Floating and Variable Rate Secured Notes

Current Rating: C

Prior Rating: Caa3, on review for downgrade

9) The EUR 5,000,000 Series 86 Floating and Variable Rate Secured Notes

Current Rating: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

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: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

2) The USD 7,160,000 TSAR_05 (DB) Class C Portfolio Credit Default Swap

Current Rating: Caa3, on review for downgrade

Prior Rating: B2, on review for downgrade

3) The USD 7,160,000 TSAR_05 (DB) Class D Portfolio Credit Default Swap

Current Rating: C

Prior Rating: Caa3, on review for downgrade

4) The USD 4,770,000 TSAR_05 (DB) Class E Portfolio Credit Default Swap

Current Rating: C

Prior Rating: Ca

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: Aaa, on review for downgrade

Prior Rating: Aaa

2) The Class A (3) Swap with a maximum exposure of USD 31,533,999

Current Rating: Aaa, on review for downgrade

Prior Rating: Aaa

3) The Class A- (1) Swap with a maximum exposure of USD 57,334,544.46

Current Rating: Aa2, on review for downgrade

Prior Rating: Aaa

4) The Class A (2) Swap with a maximum exposure of USD 77,401,635.02

Current Rating: Aa3, on review for downgrade

Prior Rating: Aaa

5) The Class A- (2) Swap with a maximum exposure of USD 86,001,816.69

Current Rating: Baa3, on review for downgrade

Prior Rating: A1, on review for downgrade

6) The Class B Swap with a maximum exposure of USD 114,669,088.92

Current Rating: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

7) The Class B (1) Swap with a maximum exposure of USD 114,669,088.92

Current Rating: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

8) The Class B (2) Swap with a maximum exposure of USD 71,668,180.58

Current Rating: Caa1, on review for downgrade

Prior Rating: Ba1, on review for downgrade

9) The Class C Swap with a maximum exposure of USD 51,601,090.01

Current Rating: Caa3, on review for downgrade

Prior Rating: B2, on review for downgrade

10) The Class D Swap with a maximum exposure of USD 51,601,090.01

Current Rating: C

Prior Rating: Caa3, on review for downgrade

11) The Class E Swap with a maximum exposure of USD 34,400,726.68

Current Rating: C

Prior Rating: Ca

12) The Class F Swap with a maximum exposure of USD 17,200,363.34

Current Rating: C

Prior Rating: Ca

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: Ba3, on review for downgrade

Prior Rating: Baa1, on review for downgrade

2) The USD Class D(2) Swap with a maximum exposure of USD 51,601,090.01

Current Rating: C

Prior Rating: Caa3, on review for downgrade

3) The Class D(3) Swap with a maximum exposure of USD 51,601,090.01

Current Rating: C

Prior Rating: Caa3, on review for downgrade

4) The Class E(2) Swap with a maximum exposure of USD 34,400,726.68

Current Rating: C

Prior Rating: Ca

5) The Class F(2) Swap with a maximum exposure of USD 17,200,363.34

Current Rating: C

Prior Rating: Ca

London
Hemal Shah
Senior Associate
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

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

No Related Data.
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