Bangkok--8 Dec--Moody's Asia Pacific
US$15 million of debt securities rated
Moody's has assigned a definitive Aa3 rating to the Series 311 USD 15,000,000 Floating Rate Credit Linked Notes (the "notes") due 2014 issued by Eirles Two Limited (the "issuer"), a special purpose vehicle incorporated in the Ireland.
The definitive rating addresses the expected loss posed to noteholders by the legal final maturity of the notes. The scheduled maturity date of the notes is on 20 December 2014.
The rating is primarily based upon:
1. the credit quality and diversification of the underlying reference portfolio;
2. the subordination provided to the notes;
3. the credit quality of the collateral;
4. the credit default swap ("CDS") entered between the issuer and Deutsche Bank AG London ("Deutsche") as the CDS counterparty;
5. the asset swap entered into between the issuer and Deutsche as the asset swap counterparty; and
6. the legal and structural integrity of the transaction.
The assigned definitive rating replaces the previously assigned provisional rating (P)Aa3.
This transaction is a synthetic CDO of sovereign and corporate entities. The issuer sold credit protection on the reference portfolio to the CDS counterparty. During the term of the CDS, Lion Capital Management Limited, being the replacement agent of the transaction, may propose portfolio substitutions.
All trading gains or losses as a result of the portfolio substitution may increase or decrease the subordination or coupon payable to the notes. Portfolio changes are allowed only if conditions to substitution are met, including passing the publicly released CDOROM model test.
The issuer has used the issuance proceeds to acquire US$15 million Aaa-rated General Electric Capital Corporation floating rate bonds due 15 September 2014.The transaction also incorporates rating triggers and remedies upon downgrade of the swap counterparty.
Moody's modelled this transaction using its Monte Carlo simulation model (Moody's CDOROM), which is available on Moody's website in the Structured Finance - CDO/Derivatives section. A user guide for CDOROM is also available on Moodys.com.
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