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Rating Action:

Moody's downgrades three East Street SF CDOs

 The document has been translated in other languages

04 Mar 2011

East Street Referenced Linked Notes 2002-1 Series 1, Series 2 and East Street Referenced Linked Notes 2004-1 affected

Tokyo, March 04, 2011 -- Moody's Japan K.K. has today downgraded its ratings on the Series 1 Class A, B, C, D, E, Series 2 Class X2, X1, and A notes issued by East Street Referenced Linked Notes 2002-1 and the Class X1, A, B, and C notes issued by East Street Referenced Linked Notes 2004-1.

Details follow:

Deal Name: East Street Referenced Linked Notes 2002-1 Series 1

(1) JPY10.0 billion Class A Notes, downgraded to Baa2 (sf); previously, A2 (sf) placed under review for possible downgraded on January 11, 2011

(2) JPY6.0 billion Class B Notes, downgraded to Ba3 (sf); previously, Baa3 (sf) placed under review for possible downgraded on January 11, 2011

(3) JPY5.0 billion Class C Notes, downgraded to Caa2 (sf); previously, B1 (sf) placed under review for possible downgraded on January 11, 2011

(4) JPY1.5 billion Class D Notes, downgraded to Caa3 (sf); previously, Caa1 (sf) placed under review for possible downgraded on January 11, 2011

(5) JPY500 million Class E Notes, downgraded to Caa3 (sf); previously, Caa2 (sf) placed under review for possible downgraded on January 11, 2011

Deal Name: East Street Referenced Linked Notes 2002-1 Series 2

(1) JPY15.0 billion Class X2 Notes, downgraded to Aa1 (sf); previously, Aaa (sf) placed under review for possible downgraded on January 18, 2011

(2) JPY9.0 billion Class X1 Notes, downgraded to A2 (sf); previously, A1 (sf) placed under review for possible downgraded on January 18, 2011

(3) JPY4.875 billion Class A Notes, downgraded to Ba1 (sf); previously, Baa2 (sf) placed under review for possible downgraded on January 18, 2011

Deal Name: East Street Referenced Linked Notes 2004-1

(1) JPY18.75 billion Class X1 Notes, downgraded to A2 (sf); previously, Aa2 (sf) placed under review for possible downgraded on January 11, 2011

(2) JPY7.5 billion Class A Notes, downgraded to Ba3 (sf); previously, Baa3 (sf) placed under review for possible downgraded on January 18, 2011

(3) JPY3.75 billion Class B Notes, downgraded to Caa2 (sf); previously, B2 (sf) placed under review for possible downgraded on January 18, 2011

(4) JPY3.0 billion Class C Notes, downgraded to Caa3 (sf); previously, Caa2 (sf) placed under review for possible downgraded on January 18, 2011

These transactions are structured finance CDO referencing ABS, RMBS, CMBS, and CDO assets, more than 70% of which are Japanese assets.

RATING RATIONALE

The rating downgrades reflect the credit deterioration of the referenced assets including ABS and CMBS. In January 2011, the notes were placed under review for possible downgrade. Today's rating actions also reflect the resolution of the watch-listing of referenced assets which were under review.

In its expected loss analysis, Moody's applied the Monte Carlo simulation framework within CDOROM to model the loss distribution for SF CDOs.

The principal methodology used in this rating was Moody's Approach to Rating SF CDOs published on December 9, 2010, and available on www.moodys.co.jp.

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

REGULATORY DISCLOSURES

For an explanation of the (sf) indicator, please see "Moody's Structured Finance Rating Scale" on www.moodys.com.

The principal information used to prepare the credit rating included reference pool report and public ratings.

Information sources used to prepare the credit rating are the following: parties involved in the ratings, public information, and confidential and proprietary Moody's information.

Measures taken to ensure the quality of this information include using public rating information.

Moody's considers the quality of information available on the issuer or obligation satisfactory for the purposes of maintaining a credit rating.

Moody's adopts all necessary measures so that the information it uses in assigning a credit rating is of sufficient quality and from sources Moody's considers to be reliable including, when appropriate, independent third-party sources. However, Moody's is not an auditor and cannot in every instance independently verify or validate information received in the rating process.

Credit ratings are Moody's current opinions of the relative future credit risk of entities, credit commitments, or debt or debt-like securities. Moody's defines credit risk as the risk that an entity may not meet its contractual, financial obligations as they come due and any estimated financial loss in the event of default. Credit ratings do not address any other risk, including but not limited to: liquidity risk, market value risk, or price volatility. Credit ratings do not constitute investment or financial advice, and credit ratings are not recommendations to purchase, sell, or hold particular securities. No warranty, express or implied, as to the accuracy, timeliness, completeness, merchantability or fitness for any particular purpose of any such rating or other opinion or information is given or made by Moody's in any form or manner whatsoever. The credit risk of an issuer or its obligations is assessed based on information received from the issuer or from public sources. Moody's may change the rating when it deems necessary. Moody's may also withdraw the rating due to insufficient information, or for other reasons.

Moody's Japan K.K. is a credit rating agency registered with the Japan Financial Services Agency and its registration number is FSA Commissioner (Ratings) No. 2. The Financial Services Agency has not imposed any supervisory measures on Moody's Japan K.K. in the past year.

Please see ratings tab on the issuer/entity page on the Moody's website for the last rating action and the rating history.

The date on which some Credit Ratings were first released goes back to a time before Moody's Credit Ratings were fully digitized and accurate data may not be available. Consequently, Moody's provides a date that it believes is the most reliable and accurate based on the information that is available to it. Please see the ratings disclosure page on the Moody's website for further information.

Please see the Credit Policy page on the Moody's website for the methodologies used in determining ratings, further information on the meaning of each rating category and the definition of default and recovery.

Tokyo
Shinichi Takeda
Vice President - Senior Analyst
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Tokyo
Koji Kumamaru
MD - Structured Finance
Structured Finance Group
Moody's Japan K.K.
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Moody's Japan K.K.
Atago Green Hills Mori Tower 20fl
2-5-1 Atago, Minato-ku
Tokyo 105-6220
Japan
JOURNALISTS: (03) 5408-4110
SUBSCRIBERS: (03) 5408-4100

Moody's downgrades three East Street SF CDOs
No Related Data.
© 2019 Moody’s Corporation, Moody’s Investors Service, Inc., Moody’s Analytics, Inc. and/or their licensors and affiliates (collectively, “MOODY’S”). All rights reserved.

CREDIT RATINGS ISSUED BY MOODY'S INVESTORS SERVICE, INC. AND ITS RATINGS AFFILIATES (“MIS”) ARE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES, AND MOODY’S PUBLICATIONS MAY INCLUDE MOODY’S CURRENT OPINIONS OF THE RELATIVE FUTURE CREDIT RISK OF ENTITIES, CREDIT COMMITMENTS, OR DEBT OR DEBT-LIKE SECURITIES. MOODY’S DEFINES CREDIT RISK AS THE RISK THAT AN ENTITY MAY NOT MEET ITS CONTRACTUAL FINANCIAL OBLIGATIONS AS THEY COME DUE AND ANY ESTIMATED FINANCIAL LOSS IN THE EVENT OF DEFAULT OR IMPAIRMENT. SEE MOODY’S RATING SYMBOLS AND DEFINITIONS PUBLICATION FOR INFORMATION ON THE TYPES OF CONTRACTUAL FINANCIAL OBLIGATIONS ADDRESSED BY MOODY’S RATINGS. CREDIT RATINGS DO NOT ADDRESS ANY OTHER RISK, INCLUDING BUT NOT LIMITED TO: LIQUIDITY RISK, MARKET VALUE RISK, OR PRICE VOLATILITY. CREDIT RATINGS AND MOODY’S OPINIONS INCLUDED IN MOODY’S PUBLICATIONS ARE NOT STATEMENTS OF CURRENT OR HISTORICAL FACT. MOODY’S PUBLICATIONS MAY ALSO INCLUDE QUANTITATIVE MODEL-BASED ESTIMATES OF CREDIT RISK AND RELATED OPINIONS OR COMMENTARY PUBLISHED BY MOODY’S ANALYTICS, INC. CREDIT RATINGS AND MOODY’S PUBLICATIONS DO NOT CONSTITUTE OR PROVIDE INVESTMENT OR FINANCIAL ADVICE, AND CREDIT RATINGS AND MOODY’S PUBLICATIONS ARE NOT AND DO NOT PROVIDE RECOMMENDATIONS TO PURCHASE, SELL, OR HOLD PARTICULAR SECURITIES. NEITHER CREDIT RATINGS NOR MOODY’S PUBLICATIONS COMMENT ON THE SUITABILITY OF AN INVESTMENT FOR ANY PARTICULAR INVESTOR. MOODY’S ISSUES ITS CREDIT RATINGS AND PUBLISHES MOODY’S PUBLICATIONS WITH THE EXPECTATION AND UNDERSTANDING THAT EACH INVESTOR WILL, WITH DUE CARE, MAKE ITS OWN STUDY AND EVALUATION OF EACH SECURITY THAT IS UNDER CONSIDERATION FOR PURCHASE, HOLDING, OR SALE.

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MJKK or MSFJ (as applicable) hereby disclose that most issuers of debt securities (including corporate and municipal bonds, debentures, notes and commercial paper) and preferred stock rated by MJKK or MSFJ (as applicable) have, prior to assignment of any rating, agreed to pay to MJKK or MSFJ (as applicable) for ratings opinions and services rendered by it fees ranging from JPY125,000 to approximately JPY250,000,000.

MJKK and MSFJ also maintain policies and procedures to address Japanese regulatory requirements.

​​​​
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