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Announcement:

Moody's reviews for downgrade 4 Promise-I Mobility synthetic CDOs

Global Credit Research - 05 Nov 2010

EUR 430 million of debt securities affectedEUR 2.16 billion of CDS affected

London, 05 November 2010 -- Moody's announced today that it has placed under review for possible downgrade the ratings of 23 classes of notes issued by 4 Promise-I Mobility transactions and the rating of 1 credit default swap between KfW and Promise-I Mobility 2006-1.

The 4 transactions are synthetic balance sheet collateralised loan obligations of senior corporate loans to borrowers mainly incorporated in Germany. All loans were originated by IKB Deutsche Industriebank AG (IKB).

The affected notes and credit default swap are listed below:

Issuer: Promise-I-Mobility 2005-1 plc

....EUR27.8M A Notes, A1 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to A1 (sf)

....EUR8.3M B Notes, Baa2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Baa2 (sf)

....EUR7.5M C Notes, Ba1 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Ba1 (sf)

....EUR5.3M D Notes, B1 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to B1 (sf)

....EUR5.3M E Notes, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Caa1 (sf)

The Aaa rating of class A+ issued under Promise-I Mobility 2005-1 was not put on watch for possible downgrade given the short weighted average life of that tranche (0.6 year) and the strengthening of its credit enhancement following the substantial amortisation of the portfolio.

Issuer: PROMISE-I Mobility 2005-2 PLC

....EUR0.5M Class A+ Floating Rate Credit Linked Notes Notes (currently EUR 0.2M outstanding), Aaa (sf) Placed Under Review for Possible Downgrade; previously on Dec 19, 2005 Definitive Rating Assigned Aaa (sf)

....EUR54.9M Class A Floating Rate Credit Linked Notes Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to A3 (sf)

....EUR21.6M Class B Floating Rate Credit Linked Notes Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Baa3 (sf)

....EUR22.5M Class C Floating Rate Credit Linked Notes Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Ba2 (sf)

....EUR21.6M Class D Floating Rate Credit Linked Notes Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to B2 (sf)

....EUR14.4M Class E Floating Rate Credit Linked Notes-2 Notes, Caa2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Caa2 (sf)

Issuer: IKB Promise-I Mobility 2006-1 GmbH

....EUR2159.5M Credit Derivative Transaction, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Dec 18, 2006 Definitive Rating Assigned Aaa (sf)

....EUR0.5M Class A+ Notes, Aaa (sf) Placed Under Review for Possible Downgrade; previously on Dec 18, 2006 Definitive Rating Assigned Aaa (sf)

....EUR67.2M Class A Notes, A3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to A3 (sf)

....EUR21.6M Class B Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Baa3 (sf)

....EUR36M Class C Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Ba2 (sf)

....EUR46.8M Class D Notes, Caa1 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Caa1 (sf)

....EUR10.8M Class E Notes, Caa3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Caa3 (sf)

Issuer: Promise-I Mobility 2008-1 GmbH

....EUR0.5M A1+ Notes (currently EUR 0.3M outstanding), Aaa (sf) Placed Under Review for Possible Downgrade; previously on Mar 26, 2008 Assigned Aaa (sf)

....EUR0.5M A2+ Notes, Aa3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Aa3 (sf)

....EUR16.9M B Notes, Baa1 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Baa1 (sf)

....EUR11.7M C Notes, Baa3 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Baa3 (sf)

....EUR15.1M D Notes, Ba2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to Ba2 (sf)

....EUR13.5M E Notes, B2 (sf) Placed Under Review for Possible Downgrade; previously on May 12, 2009 Downgraded to B2 (sf)

This review is mainly driven by: 1) the deterioration of the asset pools reflected in the occurrence of additional credit events, delinquencies and negative credit migration since the last rating actions in May 2009 as evident from the latest investor reports and 2) the revision of IKB's internal rating scale and process used to assess the creditworthiness of SME borrowers.

In order to assess the default probabilities of each of the borrowers in the pools, Moody's relies on the internal credit scores assigned to each borrower by IKB as originator of the transactions. Following the recent revision by IKB of its internal credit score scale which provides a more detailed assessment of credit risk levels, Moody's is currently revisiting the way IKB's internal credit scores are translated into Moody's idealized default probabilities (a mapping). Moody's anticipates that the greater conservativeness embedded in IKB's revised credit scores will map to higher Moody's default probabilities and therefore could have a negative impact on the ratings of the notes.

Moody's expects to resolve its review in the coming weeks following the completion by Moody's of the credit mapping based on IKB's recently revised internal rating scale.

The principal methodology used in monitoring these Promise-I-Mobility transactions was "Moody's Approach to Rating Corporate Collateralized Synthetic Obligations", rating methodology published in September 2009. Other methodologies and factors that may have been considered in the process of rating this issuer can also be found on Moody's website.

Under this methodology, Moody's relied on a simulation based framework. Moody's therefore used CDOROM, to generate default and recovery scenarios for each asset in the portfolios.

In addition, Moody's publishes a weekly summary of structured finance credit, ratings and methodologies, available to all registered users of our website, at www.moodys.com/SFQuickCheck

London
Jeanne Polewa
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

London
Neelam S. Desai
Senior Vice President
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454

Moody's Investors Service Ltd.
One Canada Square
Canary Wharf
London E14 5FA
United Kingdom

Moody's reviews for downgrade 4 Promise-I Mobility synthetic CDOs
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