Bangkok--10 Apr--Moody's
Moody's Investors Service announced today that it has placed on watch for possible downgrade the ratings on two
tranches of Secured Fixed Rate Credit Linked Prelude Asia CDO Notes, Series 2005-2, and has confirmed the rating on one tranche of Secured Floating Rate Credit Linked Note, Series 2005-5. 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 complete rating actions are as follows:
Issuer: SEA CDO Limited
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: Baa1Current Rating: Baa1, on watch for possible downgrade 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: Baa1 Current Rating: Baa1, on watch for possible downgrade Tranche Description: USD 20,000,000 Secured Floating Rate Credit Linked Note due 30 September 2010, Series 2005-5
Prior Rating: Aa2
Current Rating: confirmed at Aa2
Sea CDO 2005-2 notes were downgraded on 13 February 2006 to Baa1,however, since then the portfolio has experienced additional deterioration. The WARF (Weighted Average Rating Factor is calculated based on 10-year cumulative default probabilities of reference entities after adjusted for watch statuses) for the portfolio at closing was 253
(Baa1), by February 2006 it had deteriorated to 324 (Baa2) and has since further deteriorated to 370 (weak Baa2). As for Sea CDO 2005-5, the transaction was put on watch for possible downgrade in February 2006, since then, there has been some substitutions of reference credits in the portfolio which has improved the overall credit quality of the portfolio.
The transactions will continue to be monitored 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.
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