Moody's takes action on credit derivative transactions with Lehman exposure
London, 17 September 2008 -- Moody's Investors Service announced today that is has placed its
ratings of certain credit derivative transactions listed below (the "Transactions")
that have exposure to Lehman Brothers Holdings Inc. ("LBHI")
and certain UK Lehman companies, including Lehman Brothers International
(Europe) ("LB-UK" and collectively with LBHI,
the "LBHI Entities"), on watch for possible downgrade.
Additionally, certain other Transactions were downgraded and left
under review for further possible downgrade. Moody's explained
that its rating action is based upon LBHI seeking protection under Chapter
11 of the U.S. Bankruptcy Code and LB-UK being placed
into administration, a procedure governed by the Insolvency Act
of 1986, on September 15, 2008.
The exposure of the Transactions to LBHI Entities arises from various
roles performed by them in the Transactions, including (without
limitation):
-counterparty under interest rate and currency swaps
-counterparty under credit default swaps
-guarantor
-liquidity provider
-repo counterparty
-remarketing agent
-depositor
-collateral manager
-servicer
-sponsor
-cash manager
-calculation agent
-paying agent
-collateral provider
-issuer
The Moody's ratings of the following Transactions have been placed
on review for possible downgrade:
Arosa Funding Limited:
(1) 3 Tranches of Series 2006-2 Dynaso 2006-1 Notes
Current Rating: Baa3, on review for downgrade
Prior Rating: Baa3
Elva Funding Plc:
(1) Series 2006-6 through Series 2006-47 Credit Linked Notes
Current Rating: All on review for downgrade
Prior Rating: Various
Onyx Funding Limited:
(1) Series 2004-1 Class A Credit Linked Synthetic Portfolio Notes
Current Rating: Aa2, on review for downgrade
Prior Rating: Aa2
(2) Series 2004-1 Class B Credit Linked Synthetic Portfolio Notes
Current Rating: A3, on review for downgrade
Prior Rating: A3
(3) Series 2006-1 Credit Linked Synthetic Portfolio Notes
Current Rating: A2, on review for downgrade
Prior Rating: A2
(4) Series 2008-1 Credit Linked Synthetic Portfolio Notes
Current Rating: Aaa, on review for downgrade
Prior Rating: Aaa
Phoenix 2002-1 Limited:
(1) Class A Notes
Current Rating: Aa3, on review for downgrade
Prior Rating: Aa3
(2) Class B Notes
Current Rating: A1, on review for downgrade
Prior Rating: A1
(3) Class C Notes
Current Rating: Ba3, on review for downgrade
Prior Rating: Ba3
Quartz Finance Plc
(1) Series 2003-1 Eldon Street Class A Notes
Current Rating: Aa3, on review for downgrade
Prior Rating: Aa3
(2) Series 2003-1 Eldon Street Class B Notes
Current Rating: Baa1, on review for downgrade
Prior Rating: Baa1
(3) Series 2003-4 Kingsway Floating Rate Credit Linked Notes
Current Rating: Ba2, on review for downgrade
Prior Rating: Ba2
(4) Series 2003-5 Kingsway II Credit Linked Synthetic Portfolio
Notes
Current Rating: Ba2, on review for downgrade
Prior Rating: Ba2
(5) Series 2005-1 Class A Kingsbury Credit Linked Synthetic Portfolio
Notes
Current Rating: A3, on review for downgrade
Prior Rating: A3
(6) Series 2005-1 Class B Kingsbury Credit Linked Synthetic Portfolio
Notes
Current Rating: Baa2, on review for downgrade
Prior Rating: Baa2
(7) Series 2005-2 Kingsway Credit Linked Synthetic Portfolio Notes
Current Rating: Ba2, on review for downgrade
Prior Rating: Ba2
Ruby Finance Plc:
(1) 2004-3 Credit Linked Synthetic Portfolio Notes
Current Rating: A3, on review for downgrade
Prior Rating: A3
(2) 2006-2 Orion Enhanced Return Notes
Current Rating: Baa1, on review for downgrade
Prior Rating: Baa1
(3) 2006-3 RIESLING Credit Linked Notes
Current Rating: Baa2, on review for downgrade
Prior Rating: Baa2
(4) 2006-4 Credit Linked Synthetic Portfolio Notes
Current Rating: A1, on review for downgrade
Prior Rating: A1
(5) 2006-5 Bison Notes
Current Rating: A3, on review for downgrade
Prior Rating: A3
(6) 2006-6 Capital Protected Notes
Current Rating: Aa1, on review for downgrade
Prior Rating: Aa1
(7) 2007-1 Credit Linked Synthetic Portfolio Notes
Current Rating: A2, on review for downgrade
Prior Rating: A2
(8) 2007-3 Class A-1 Snowden Swap Agreement
Current Rating: Aaa, on review for downgrade
Prior Rating: Aaa
(9) 2007-3 Class A-2 Snowden Notes
Current Rating: Aaa, on review for downgrade
Prior Rating: Aaa
(10) 2007-3 Class B Snowden Notes
Current Rating: Aa2, on review for downgrade
Prior Rating: Aa2
(11) 2007-3 Class C Snowden Notes
Current Rating: A2, on review for downgrade
Prior Rating: A2
(12) 2007-3 Class D Snowden Notes
Current Rating: Baa2, on review for downgrade
Prior Rating: Baa2
(13) 2007-3 Class E Snowden Notes
Current Rating: Ba2, on review for downgrade
Prior Rating: Ba2
(14) 2007-5 Capital Protected Notes
Current Rating: Aa1, on review for downgrade
Prior Rating: Aa1
(15) 2007-6 Spirit Capital Protected Notes
Current Rating: Aaa, on review for downgrade
Prior Rating: Aaa
(16) 2008-2 Class A1 Notes (Collateralised Fund Obligation)
Current Rating: Aa1, on review for downgrade
Prior Rating: Aa1
Saphir Finance Plc:
(1) Series 2006-9 Perpetual Non-Cumulative Securities
Current Rating: Aa3, on review for downgrade
Prior Rating: Aa3
The Moody's ratings of the following Transactions have been downgraded
and remain under review:
Crediop Overseas Bank Limited
(1) Series 63 Credit Linked Notes linked to Lehman Brothers Holdings Inc.
Current Rating: Caa2, on review for downgrade
Prior Rating: A2
Lehman Brothers Treasury Co BV
(1) Series 1767 Credit Linked Notes linked to General Electric
Current Rating: Caa2, on review for downgrade
Prior Rating: B3, under review for downgrade
Ruby Finance Plc:
(1) 2007-7 Dynamic Capital Protected Notes
Current Rating: B3, on review for downgrade
Prior Rating: A2
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
Paris
Florence Tadjeddine
VP - Senior Credit Officer
Structured Finance Group
Moody's France S.A.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454