London, 06 March 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 20 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:
BNP Paribas - Cassiopeia 2004-1
Mezzanine Credit Default Swap - Cassiopeia 2004-1,
Downgraded to Caa1; previously on 29 September 2008 Downgraded to
Baa2
BNP Paribas - Cassiopeia 2004-2
Mezzanine Credit Default Swap - Cassiopeia 2004-2,
Downgraded to Ba2; previously on 12 February 2004 Assigned Aa2
BNP Paribas - Faraya 2004-5 Mezzanine Credit Default Swap
USD 15,000,000 Mezzanine Credit Default swap, Downgraded
to Caa3; previously on 06 September 2006 Downgraded to Baa3
BNP Paribas, London Branch - Lyra 2004-1
Mezzanine Credit Default Swap - Lyra 2004-1, Downgraded
to Ba1; previously on 01 July 2008 Downgraded to Aa2
Corsair (Jersey) No. 2 Limited Series 80
Series 80 USD 250,000,000 Floating Rate Secured Portfolio
Credit-linked Notes due 2021, Downgraded to Baa1; previously
on 28 April 2006 Assigned Aaa
Corsair (Jersey) No. 4 Limited - Series 5
USD 43,000,000 Cross-Contingent Step-down Portfolio
Credit-Linked Notes due 2024, Downgraded to Ba1; previously
on 08 January 2007 Assigned Aaa
Corsair (Jersey) No. 4 Limited - Series 6
USD 85,000,000 Cross-Contingent Step-Down Portfolio
Credit-Linked Notes due 2024, Downgraded to Ba3; previously
on 12 November 2008 Downgraded to Baa1
Corsair (Jersey) No. 4 Limited Series 10
USD 40,000,000 Partial Credit Loss Protected Step-Down
Portfolio Credit-Linked Notes due 2027, Downgraded to Ba1;
previously on 04 April 2007 Assigned Aaa
Corsair (Jersey) No. 4 Limited - Series 13
Series 13 USD 25,000,000 Step-Down Portfolio Credit-Linked
Notes due 2020, Downgraded to Caa3; previously on 23 July 2007
Assigned Aaa
Corsair Finance Ireland No 4 - Series 5-8
Series 5 EUR 25,000,000 Floating Rate Secured Callable Portfolio
Credit-Linked Notes due 2014, Downgraded to Caa1; previously
on 02 August 2007 Assigned Aaa
Series 6 EUR 25,000,000 Floating Rate Secured Callable Portfolio
Credit-Linked Notes due 2014, Downgraded to Ca; previously
on 02 August 2007 Assigned Aa2
Series 7 EUR 25,000,000 Floating Rate Secured Callable Portfolio
Credit-Linked Notes due 2014, Downgraded to Ca; previously
on 02 August 2007 Assigned Aa3
Series 8 EUR 25,000,000 Floating Rate Secured Callable Portfolio
Credit-Linked Notes due 2014, Downgraded to Ca; previously
on 02 August 2007 Assigned Aa3
Fixed Income Diamond Collection Ltd: Brilliant Series 2
Brilliant Series 2, Downgraded to Baa2; previously on 31 October
2007 Downgraded to A3
Fixed Income Diamond Collection Ltd: Brilliant Series 3
Brilliant Series 3, Downgraded to Baa1; previously on 19 May
2003 Assigned A2
Fixed Income Diamond Collection Ltd: Emerald Series 2
Emerald Series 2, Downgraded to B3; previously on 07 October
2008 Downgraded to B1
Fixed Income Diamond Collection Ltd: Emerald Series 3
Emerald Series 3, Downgraded to B2; previously on 07 October
2008 Downgraded to Ba3
Fixed Income Diamond Collection Ltd: Oval Series 2
Oval Series 2, Downgraded to B1; previously on 09 November
2006 Downgraded to Ba2
Fixed Income Diamond Collection Ltd: Oval Series 3
Oval Series 3, Downgraded to Ba3; previously on 05 July 2006
Downgraded to Ba1
Omega Capital Europe p.l.c. Crossway Series 4
EUR 50,000,000 Class S1E Crossway Series 4 Secured Floating
Rate Notes, Downgraded to Baa3; previously on 10 March 2005
Assigned Aaa
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 20 notes issued by 17 Corporate Synthetic CDO transactions