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.
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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.
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Moody's downgrades three East Street SF CDOs