London, 23 February 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 169 notes issued by certain collateralized debt obligation transactions
referencing a portfolio of corporate entities (the "Corporate Synthetic
CDOs").
Moody's explained that the rating actions taken today are the result of
(i) the application of revised and updated key modeling parameter assumptions
that Moody's uses to rate and monitor ratings of Corporate Synthetic CDOs
and (ii) the deterioration in the credit quality of the transaction's
reference portfolio. The revisions affect key parameters in Moody's
model for rating Corporate Synthetic CDOs: default probability,
asset correlation, and other credit indicators such as ratings reviews
and outlooks. Moody's announced the changes to these assumptions
in a press release titled "Moody's Updates its Key Assumptions for Rating
Corporate Synthetic CDOs," published on January 15, 2009.
Moody's initially analyzed and continues to monitor this transaction using
primarily the methodology for Corporate Synthetic CDOs as described in
Moody's Special Report below:
-- Moody's Approach to Rating Corporate Collateralized Synthetic
Obligations (December 2008)
This report can be found at www.moodys.com in the Credit
Policy & Methodologies directory, in the Ratings Methodologies
subdirectory. Other methodologies and factors that may have been
considered in the process of rating this issue can also be found in the
Credit Policy & Methodologies directory.
Today's rating actions are as follows:
Arch One Finance Limited - Series 2006-3
EUR 5,000,000 Secured Floating Rate Notes due September 2011,
Downgraded to Ca; previously on 02 June 2008 Downgraded to Caa1
Arosa Funding Limited - Series 2004-7
Series 2004-7 Notes, Downgraded to Caa2; previously
on 01 March 2007 Downgraded to A3
Arosa Funding Limited - Series 2004-10
Series 2004-10 Notes, Downgraded to Caa1; previously
on 12 December 2008 Downgraded to Baa1
Aphex Capital Plc - Series No: 2005-15
Eur 15,000,000 DESIGN Secured Portfolio Credit-Linked
Leveraged Fixed Rate Notes due 2015, Downgraded to Aa1; previously
on 16 November 2005 Assigned Aaa
Aphex Capital Plc - Series 2005-16
Series 2005-16 Eur 10,000,000 DESIGN Secured Portfolio
Credit-Linked Fixed Rate Notes due 2012, Downgraded to Caa3;
previously on 03 October 2008 Downgraded to B2
Betsen CDO Limited
A, Downgraded to Baa2; previously on 22 December 2008 Downgraded
to Aa2
B, Downgraded to Ba2; previously on 22 December 2008 Downgraded
to A2
BNP Paribas, London Branch - Bifrost 4
Class A MZ 7 year, Downgraded to Aa2; previously on 31 March
2003 Assigned Aaa
Class B MZ 7 year, Downgraded to Baa1; previously on 13 June
2006 Downgraded to Aa2
Class E MZ 10 year, Downgraded to A1; previously on 31 March
2003 Assigned Aaa
Class F MZ 10 Year, Downgraded to Baa3; previously on 23 April
2008 Downgraded to Aa3
BNP Paribas, London Branch - Bifrost 5
Class B MZ 7 year, Downgraded to Aa3; previously on 06 May
2005 Upgraded to Aaa
Class E MZ 10 year, Downgraded to Aa1; previously on 31 March
2003 Assigned Aaa
Class F MZ 10 Year, Downgraded to A2; previously on 06 May
2005 Upgraded to Aaa
BNP Paribas, London Branch - Bifrost 6
Class A MZ 7 year, Downgraded to Aa3; previously on 31 March
2003 Assigned Aaa
Class B MZ 7 year, Downgraded to Baa3; previously on 28 November
2008 Downgraded to A3
Class E MZ 10 year, Downgraded to A3; previously on 28 November
2008 Downgraded to Aa2
Class F MZ 10 Year, Downgraded to Ba2; previously on 28 November
2008 Downgraded to Baa2
BNP Paribas, London Branch - Bifrost 7
Class A MZ 7 year, Downgraded to A2; previously on 31 March
2003 Assigned Aaa
Class B MZ 7 year, Downgraded to Ba2; previously on 16 January
2009 Downgraded to A2
Class E MZ 10 year, Downgraded to Baa2; previously on 16 January
2009 Downgraded to Aa1
Class F MZ 10 Year, Downgraded to B1; previously on 16 January
2009 Downgraded to A3
BNP Paribas, London Branch - Bifrost Legolas 1
Class A MZ 7 year, Downgraded to Aa3; previously on 31 March
2003 Assigned Aaa
Class B MZ 7 year, Downgraded to Baa3; previously on 28 November
2008 Downgraded to A1
Class E MZ 10 year, Downgraded to A3; previously on 31 March
2003 Assigned Aaa
Class F MZ 10 Year, Downgraded to Ba2; previously on 28 November
2008 Downgraded to A2
BNP Paribas, London Branch - Bifrost Legolas 2
Class B MZ 7 year, Downgraded to A2; previously on 06 May 2005
Upgraded to Aaa
Class E MZ 10 year, Downgraded to Aa2; previously on 31 March
2003 Assigned Aaa
Class F MZ 10 Year, Downgraded to Baa1; previously on 10 March
2008 Upgraded to Aaa
BNP Paribas, London Branch - Bifrost Legolas 3
Class A MZ 7 year, Downgraded to Aa1; previously on 06 May
2005 Upgraded to Aaa
Class B MZ 7 year, Downgraded to A3; previously on 09 August
2006 Upgraded to Aa3
Class E MZ 10 year, Downgraded to A1; previously on 06 May
2005 Upgraded to Aaa
Class F MZ 10 Year, Downgraded to Baa3; previously on 08 June
2007 Downgraded to A1
BNP Paribas, London Branch - Bifrost Investment Plc series
11 to 20
10A 11, Downgraded to Baa1; previously on 14 October 2003 Assigned
Aaa
10A 12, Downgraded to Aa3; previously on 14 October 2003 Assigned
Aaa
10A 13, Downgraded to A1; previously on 14 October 2003 Assigned
Aaa
10A 14, Downgraded to Aa2; previously on 14 October 2003 Assigned
Aaa
10A 15, Downgraded to Aa2; previously on 14 October 2003 Assigned
Aaa
10A 16, Downgraded to Baa2; previously on 14 October 2003 Assigned
Aaa
10A 17, Downgraded to Aa3; previously on 14 October 2003 Assigned
Aaa
10A 18, Downgraded to A2; previously on 14 October 2003 Assigned
Aaa
10A 19, Downgraded to A3; previously on 14 October 2003 Assigned
Aaa
10A 20, Downgraded to Aa2; previously on 14 October 2003 Assigned
Aaa
10B 11, Downgraded to Ba3; previously on 07 February 2007 Downgraded
to Aa3
10B 12, Downgraded to Baa2; previously on 08 August 2008 Downgraded
to Aa2
10B 13, Downgraded to Baa2; previously on 07 February 2007
Downgraded to Aa3
10B 14, Downgraded to Baa1; previously on 07 February 2007
Upgraded to Aa1
10B 15, Downgraded to Baa1; previously on 07 February 2007
Upgraded to Aa1
10B 16, Downgraded to B1; previously on 08 August 2008 Downgraded
to A1
10B 17, Downgraded to Baa3; previously on 23 April 2008 Upgraded
to Aa2
10B 18, Downgraded to Ba1; previously on 08 August 2008 Downgraded
to Aa3
10B 19, Downgraded to Ba3; previously on 08 August 2008 Downgraded
to A1
10B 20, Downgraded to A3; previously on 14 October 2003 Assigned
Aa2
10C 11, Downgraded to Caa2; previously on 07 February 2007
Downgraded to Baa2
10C 12, Downgraded to Ba3; previously on 08 August 2008 Downgraded
to Baa1
10C 13, Downgraded to Ba3; previously on 07 February 2007 Downgraded
to Baa2
10C 14, Downgraded to Ba2; previously on 23 April 2008 Downgraded
to A2
10C 15, Downgraded to Ba2; previously on 29 June 2007 Upgraded
to Aa3
10C 16, Downgraded to Caa2; previously on 23 April 2008 Downgraded
to Baa2
10C 17, Downgraded to B1; previously on 23 April 2008 Upgraded
to A3
10C 18, Downgraded to B3; previously on 08 August 2008 Downgraded
to Baa1
10C 19, Downgraded to Caa2; previously on 08 August 2008 Downgraded
to Baa2
10C 20, Downgraded to Ba1; previously on 08 August 2008 Upgraded
to A2
10D 11, Downgraded to Caa3; previously on 07 February 2007
Downgraded to Ba2
10D 12, Downgraded to Caa1; previously on 08 August 2008 Downgraded
to Ba1
10D 13, Downgraded to Caa1; previously on 07 February 2007
Downgraded to Ba2
10D 14, Downgraded to B3; previously on 23 April 2008 Downgraded
to Baa3
10D 15, Downgraded to B2; previously on 07 February 2007 Upgraded
to Baa1
10D 16, Downgraded to Caa3; previously on 08 August 2008 Downgraded
to Ba2
10D 17, Downgraded to Caa1; previously on 16 February 2007
Downgraded to Ba1
10D 18, Downgraded to Caa3; previously on 08 August 2008 Downgraded
to Ba1
10D 19, Downgraded to Caa3; previously on 08 August 2008 Downgraded
to Ba2
10D 20, Downgraded to Ba3; previously on 16 February 2007 Downgraded
to Baa3
7A 11, Downgraded to A2; previously on 14 October 2003 Assigned
Aaa
7A 12, Downgraded to Aa1; previously on 14 October 2003 Assigned
Aaa
7A 13, Downgraded to Aa1; previously on 14 October 2003 Assigned
Aaa
7A 14, Downgraded to Aa1; previously on 14 October 2003 Assigned
Aaa
7A 15, Downgraded to Aa1; previously on 14 October 2003 Assigned
Aaa
7A 16, Downgraded to A3; previously on 14 October 2003 Assigned
Aaa
7A 17, Downgraded to Aa1; previously on 14 October 2003 Assigned
Aaa
7A 18, Downgraded to Aa3; previously on 14 October 2003 Assigned
Aaa
7A 19, Downgraded to Aa3; previously on 14 October 2003 Assigned
Aaa
7B 11, Downgraded to Ba1; previously on 14 October 2003 Assigned
Aa2
7B 12, Downgraded to A3; previously on 29 June 2007 Upgraded
to Aa1
7B 13, Downgraded to A2; previously on 23 April 2008 Upgraded
to Aa2
7B 14, Downgraded to A1; previously on 07 February 2007 Upgraded
to Aaa
7B 15, Downgraded to A1; previously on 07 February 2007 Upgraded
to Aaa
7B 16, Downgraded to Ba3; previously on 08 August 2008 Downgraded
to Aa3
7B 17, Downgraded to A3; previously on 23 April 2008 Upgraded
to Aa1
7B 18, Downgraded to Baa2; previously on 16 February 2007 Upgraded
to Aa1
7B 19, Downgraded to Baa3; previously on 14 October 2003 Assigned
Aa2
7B 20, Downgraded to Aa3; previously on 23 April 2008 Upgraded
to Aaa
7C 11, Downgraded to B3; previously on 23 April 2008 Upgraded
to A3
7C 12, Downgraded to Ba1; previously on 19 December 2008 Downgraded
to A3
7C 13, Downgraded to Baa3; previously on 23 April 2008 Upgraded
to A3
7C 14, Downgraded to Baa3; previously on 07 February 2007 Upgraded
to Aa3
7C 15, Downgraded to Baa2; previously on 29 June 2007 Upgraded
to Aa2
7C 16, Downgraded to Caa2; previously on 23 April 2008 Downgraded
to Baa1
7C 17, Downgraded to Ba1; previously on 19 December 2008 Downgraded
to A3
7C 18, Downgraded to Ba3; previously on 16 February 2007 Upgraded
to A1
7C 19, Downgraded to B3; previously on 08 August 2008 Downgraded
to Baa1
7C 20, Downgraded to A3; previously on 23 April 2008 Upgraded
to Aa3
7D 11, Downgraded to Caa3; previously on 23 April 2008 Upgraded
to Baa3
7D 12, Downgraded to B1; previously on 07 February 2007 Downgraded
to Baa3
7D 13, Downgraded to Ba3; previously on 07 February 2007 Downgraded
to Ba1
7D 14, Downgraded to Ba3; previously on 29 June 2007 Upgraded
to A3
7D 15, Downgraded to Ba2; previously on 29 June 2007 Upgraded
to A2
7D 16, Downgraded to Caa3; previously on 23 April 2008 Downgraded
to Ba1
7D 17, Downgraded to B2; previously on 23 April 2008 Upgraded
to Baa2
7D 18, Downgraded to Caa1; previously on 23 April 2008 Downgraded
to Baa2
7D 19, Downgraded to Caa3; previously on 08 August 2008 Downgraded
to Ba1
7D 20, Downgraded to Baa3; previously on 23 April 2008 Upgraded
to Baa1
Citigroup Global Markets Limited - Cayenne Court 2004-1
Credit Default Swap - Cayenne 2004-1, Downgraded to
Ba1; previously on 19 March 2004 Assigned Aa2
Citigroup Global Markets Limited - St Catherine 2004-1
Credit Default Swap - St Catherine 2004-1 CDO^2, Downgraded
to Ba2; previously on 19 March 2004 Assigned Aa2
Classic Finance B.V. Series 2004-1
EUR 125,000,000 Class A Secured Floating Rate Notes,
Series 2004-1A, Downgraded to Ba2; previously on 19
November 2008 Downgraded to Baa1
EUR 25,000,000 Class B Secured Floating Rate Notes,
Series 2004-1B, Downgraded to B1; previously on 19 November
2008 Downgraded to Baa2
Corsair Finance (Ireland) No. 2 Limited - Series 12
Eur 125,000,000 Senior Secured Floating Rate Note due 25 September
2009, Downgraded to A3; previously on 04 November 2004 Assigned
Aa1
Eur 6,600,000 Subordinated Secured Floating Rate Notes due
25 September 2009, Downgraded to A3; previously on 11 March
2008 Upgraded to Aa1
Corsair (Jersey) No. 3 Limited Series 13
Corsair (Jersey) No. 3 Limited - Series 13, Downgraded
to Ca; previously on 20 November 2008 Downgraded to B3
Corsair Finance (Ireland) No. 2 Limited - Series 13
Series 13 Floating Rate Secured Portfolio Credit -Linked Notes,
Downgraded to A1; previously on 10 May 2007 Upgraded to Aaa
Corsair (Jersey) No. 4 Limited - Series 2
Series 2 USD 150,000,000 Floating Rate Step-down Secured
Portfolio Credit-linked Notes due 2021, Downgraded to Ba2;
previously on 30 July 2008 Downgraded to A3
Eirles Two Limited - Series 228
Series 228 Floating Rate Portfolio Credit Linked Secured Notes,
Downgraded to Baa2; previously on 01 March 2006 Assigned Aaa
Emilius Company Limited
Credit Linked Notes Due 3 December 2011, Downgraded to B2;
previously on 29 September 2008 Downgraded to Baa2
Heather Finance Limited Series 2002-2
Series 2002-2 Secured Credit-Linked Floating Rate Notes
due 2009, Downgraded to A1; previously on 15 August 2007 Upgraded
to Aaa
Heather Finance Limited Series 2002-3
Series 2002-3 Secured Credit-Linked Floating Rate Notes,
Downgraded to Baa3; previously on 15 August 2007 Upgraded to A2
Heather Finance Limited Series 2002-7
Series 2002-7 Secured Credit-Linked Floating Rate Notes
due 2009, Downgraded to A1; previously on 15 August 2007 Upgraded
to Aaa
Heather Finance Limited Series 2004-5
Class A, Downgraded to B3; previously on 28 November 2008 Downgraded
to Aa3
Class B, Downgraded to B2; previously on 28 November 2008 Downgraded
to Aa3
Heather Finance Limited - Series 2004-6
Series 2004-6 Secured Credit-Linked Floating Rate Notes,
Downgraded to Ca; previously on 26 September 2007 Downgraded to Ba2
Heather Finance Limited Series 2004-12
Class A1 Secured Credit-Linked Fixed Rate Note, Downgraded
to Baa3; previously on 13 July 2004 Assigned Aaa
Class A2 Secured Credit-Linked Floating Rate Notes, Downgraded
to Baa3; previously on 13 July 2004 Assigned Aaa
HSBC Bank plc/USA Five Leveraged Super Senior CDS maturing 20th September
2010
USD 10,000,000 HSBC Bank plc Swap with K2 Corporation number
100278, Downgraded to A3; previously on 25 August 2005 Assigned
Aaa
USD 20,000,000 HSBC Bank plc Swap with K2 Corporation 100277,
Downgraded to A3; previously on 25 August 2005 Assigned Aaa
USD 20,000,000 HSBC Bank plc Swap with K2 Corporation number
98681, Downgraded to A3; previously on 25 August 2005 Assigned
Aaa
USD 20,000,000 HSBC Bank USA Swap with Desjardins Financial
Security Life Assurance Co number 94738, Downgraded to A3;
previously on 25 August 2005 Assigned Aaa
USD 50,000,000 HSBC Bank plc Swap with K2 Corporation number
98377, Downgraded to A3; previously on 25 August 2005 Assigned
Aaa
iBond Securities PLC: iBoxx Series 4A / 4B / 4C
Series 4A - iBoxx 100 CLN, Downgraded to B3; previously
on 25 April 2008 Downgraded to Baa3
Series 4B - iBoxx Corp CLN, Downgraded to Caa1; previously
on 12 August 2008 Downgraded to Ba1
Series 4C iBoxx Diversified CLN, Downgraded to Ba1; previously
on 01 March 2007 Downgraded to Baa3
Ixis Structured Products Limited - Champommi CDO
Class A2, Downgraded to Ba2; previously on 04 November 2008
Downgraded to Ba1
IXIS Corporate & Investment Bank, Series 2430 Tranche N°1
(Raphael)
Series 2430 Tranche N°1 (Raphael), Downgraded to Ba2; previously
on 28 September 2006 Assigned Aaa
Kalmar Structured Finance A/S Secured Notes II due 2010
Class A Secured Fixed Rate Notes due 2010, Downgraded to Ba3;
previously on 23 October 2008 Downgraded to Baa1
Class B1 Secured Floating Rate Notes due 2010, Downgraded to B3;
previously on 23 October 2008 Downgraded to Ba1
Class B2 Secured Floating Rate Notes due 2010, Downgraded to B3;
previously on 23 October 2008 Downgraded to Ba1
Class C Secured Floating Rate Notes due 2010, Downgraded to Caa3;
previously on 23 October 2008 Downgraded to B2
Kalmar Structured Finance A/S - Secured Notes III
Class A1 Secured Notes III due 2011, Downgraded to Ba3; previously
on 17 November 2008 Downgraded to Baa1
Class A2 Secured Notes III due 2011, Downgraded to Ba3; previously
on 17 November 2008 Downgraded to Baa1
Class B1 Secured Notes III due 2011, Downgraded to Caa1; previously
on 17 November 2008 Downgraded to Ba2
Class B2 Secured Notes III due 2011, Downgraded to Caa1; previously
on 17 November 2008 Downgraded to Ba2
Class C Secured Notes III due 2011, Downgraded to Caa3; previously
on 17 November 2008 Downgraded to Caa1
Kalmar Structured Finance A/S - Principal Rated Credit-Linked
Notes IV due 2013
Principal Rated Credit-Linked Notes IV due 2013, Downgraded
to Ca; previously on 02 April 2008 Downgraded to Baa3
Magnolia Finance IV Plc series 2007-01
Series 2007-01 Credit Linked Notes due September 2012, Downgraded
to B1; previously on 11 September 2007 Assigned Aaa
Merrill Lynch International Credit Default Swaps (Shamrock)
EUR 50,000,000 Shamrock Class 1 (Reference N° 06ML19662A),
Downgraded to A2; previously on 29 September 2008 Downgraded to Aa1
Mondriaan Limited - Series 1
Series 1 Limited Recourse Secured Credit-Linked Notes due 2010,
Downgraded to Aa1; previously on 21 December 2005 Assigned Aaa
SEA CDO Limited 2004-3 "Grande II"
Secured Floating Rate "Grande II" Notes due 2014, Downgraded to
B1; previously on 07 April 2008 Downgraded to Aa3
SEA CDO LIMITED Series 2004-4 to 6 "Grande III", "Grande
IV" & "Grande V"
SEA CDO 2004-4 DKK 90,000,000 Secured Floating Rate
Notes due 25 September 2009, Downgraded to A3; previously on
11 August 2004 Assigned Aaa
SEA CDO 2004-5 SGD20,000,000 Secured Floating Rate
Tranche A Notes due 25 September 2009, Downgraded to A3; previously
on 11 August 2004 Assigned Aaa
SEA CDO 2004-5 SGD20,000,000 Secured Floating Rate
Tranche B Notes due 25 September 2009, Downgraded to Baa2;
previously on 11 August 2004 Assigned Aa1
SEA CDO 2004-6 USD20,000,000 Secured Floating Rate
Notes due 25 September 2009, Downgraded to A3; previously on
11 August 2004 Assigned Aaa
Skylark Limited Series 2004-10 Tannebaum
Class A Series 2004-10A, Downgraded to Aa1; previously
on 15 September 2004 Assigned Aaa
Class B Series 2004-10B, Downgraded to A3; previously
on 15 September 2004 Assigned Aa2
Skylark Limited Series 2004-4 (USD Rhodes)
USD 50,000,000 Class A1 "Rhodes" Secured Floating Rate Credit
Linked Notes, Downgraded to Baa2; previously on 17 April 2008
Downgraded to Aa1
STARTS (Cayman) Limited Series 2005-3 EUR 30,000,000
Leveraged Super Senior
STARTS (Cayman) Limited Series 2005-3 EUR 30,000,000
Leveraged Super Senior Credit-Linked Notes due 2012, Downgraded
to Baa3; previously on 17 April 2008 Downgraded to Aa1
STARTS (Cayman) Limited Series 2005-4
Series 2005-4 USD 20,000,000 Leveraged Super Senior
Credit-Linked Notes due 2010, Downgraded to Ba2; previously
on 18 December 2008 Downgraded to A2
STARTS (Cayman) Limited Series 2005-6
Series 2005-6 USD 25,000,000 Leveraged Super Senior
Credit-Linked Notes due 2010, Downgraded to Ba3; previously
on 17 April 2008 Downgraded to Aa2
Starts (Ireland) plc Series 2005-22 - Leveraged TIGERS 2005-VIII
STARTS (Ireland) plc Series 2005-22 USD 20,000,000
Leveraged Super Senior Credit-Linked Notes due 2012, Downgraded
to Baa3; previously on 16 September 2005 Assigned Aaa
Starts (Ireland) plc Series 2005-23 - Leveraged TIGERS 2005-VIII
STARTS (Ireland) plc Series 2005-23 EUR 30,000,000
Leveraged Super Senior Credit-Linked Notes due 2012, Downgraded
to Ba1; previously on 17 April 2008 Downgraded to Aa2
Starts (Ireland) plc Series 2005-25 - Leveraged TIGERS 2005-VIII
STARTS (Ireland) plc Series 2005-25 USD 15,000,000
Leveraged Super Senior Credit-Linked Notes due 2010, Downgraded
to Ba1; previously on 13 October 2005 Assigned Aaa
XELO IV plc - Series 2006 (PAVON I)
Xelo IV - Series 2006 (Pavon I), Downgraded to Ca; previously
on 03 October 2008 Downgraded to Ba2
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
London
Son Nguyen
Associate Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's lowers ratings of 169 notes issued by 50 Corporate Synthetic CDO transactions
