Bangkok--Feb 14--Moody's Asia Pacific
Approximately US$56 Million of CDO Securities Affected
Moody's Investors Service announced today that it has downgraded three tranches of Secured Floating Rate Credit Linked Optimum CDO Notes, Series 2005-1, and two tranches of Secured Fixed Rate Credit Linked Prelude Asia CDO Notes, Series 2005-2. All tranches were issued by SEA CDO Limited and all transactions are synthetic CDO deals in which the notes are exposed to the credit risk of static portfolios of reference entities. The rating actions conclude the review for possible downgrade the ratings of the notes announced on December 16, 2005.
The complete rating actions are as follows:
Issuer: SEA CDO Limited
Tranche Description: USD 7,000,000 Secured Floating Rate Credit Linked Optimum Class A Notes due 29 March 2010, Series 2005-1
Prior Rating: A1, on review for possible downgrade
Current Rating: A2
Tranche Description: USD 13,000,000 Secured Floating Rate Credit Linked Optimum Class B1 Notes due 29 March 2010, Series 2005-1
Prior Rating: Baa1, on review for possible downgrade
Current Rating: Baa2
Tranche Description: EUR 5,000,000 Secured Floating Rate Credit Linked Optimum Class B2 Notes due 29 March 2010, Series 2005-1
Prior Rating: Baa1, on review for possible downgrade
Current Rating: Baa2
Tranche Description: USD 20,000,000 Secured Fixed Rate Credit Linked Prelude Asia CDO Notes Class A-1 due 30 June 2010, Series 2005-2
Prior Rating: A3, on review for possible downgrade
Current Rating: Baa1
Tranche Description: USD 10,360,000 Secured Fixed Rate Credit Linked Prelude Asia CDO Notes Class A2 due 30 June 2010, Series 2005-2
Prior Rating: A3, on review for possible downgrade
Current Rating: Baa1
The Optimum CDO Series 2005-1 Notes were placed on review for possible downgrade on 16 December 2005 because of deterioration in the underlying credit quality of the portfolio and that future actions might depend on developments in the auto sector. Since then, several rating actions were taken on the underlying portfolio including, among others, the placing on review for possible downgrade the rating of General Motor Corporation, and the downgrade of Ford Motor Company (and Ford Motor Credit Company).
The WARF (Weighted Average Rating Factor is calculated based on 10-year cumulative default probabilities of reference entities after adjusted for watch statuses) for this portfolio has deteriorated from 248 (Baa1) at closing to 360 (Baa2). All the three tranches were downgraded.
The tranches in the other transaction, SEA CDO 2005-2 were also downgraded. SEA CDO 2005-2 notes were put on review for possible downgrade on 16 December 2005, however, since then the portfolio has
experienced additional deterioration including, among others, the downgrade of Ford Motor Company, and Verizon Global Funding Corporation and the placing on review for possible downgrade of the rating of General Motors Corporation, and Boeing Capital Corporation. The WARF for the portfolio at closing was 253 (Baa1) and is currently at 342 (Baa2).
Moody's will continue to monitor the transactions and any further rating action will be publicly disseminated.
Moody's Investors Service is a publisher of rating opinions and research. It is not involved in the offering or sale of any securities, nor is it acting on behalf of the offering party. This release is not a solicitation or a recommendation to buy, hold or sell securities.
Hong Kong
Min Ye
Managing Director
Structured Finance Group
Moody's Asia Pacific Ltd.
JOURNALISTS: (852) 2916-1150
SUBSCRIBERS: (852) 2916-1121
Hong Kong
Myrna Fajardo
VP - Senior Credit Officer
Structured Finance Group
Moody's Asia Pacific Ltd.
JOURNALISTS: (852) 2916-1150
SUBSCRIBERS: (852) 2916-1121 End.