Bangkok--8 Dec--Moody's Asia Pacific
Approximately US$56 Million of CDO Securities Affected
Moody's Investors Service announced today that it has placed on watch for possible downgrade three tranches of the 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 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: A2
Current Rating: A2, on review for possible downgrade
Tranche Description: USD 13,000,000 Secured Floating Rate Credit Linked
Optimum Class B1 Notes due 29 March 2010, Series 2005-1
Prior Rating: Baa2
Current Rating: Baa2, on review for possible downgrade
Tranche Description: EUR 5,000,000 Secured Floating Rate Credit Linked
Optimum Class B2 Notes due 29 March 2010, Series 2005-1
Prior Rating: Baa2
Current Rating: Baa2, on review for possible downgrade
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
Current Rating: A3, on review 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: A3
Current Rating: A3, on review for possible downgrade
The watch listing of the Optimum CDO Series 2005-1 Notes was prompted by the deterioration in the underlying credit quality of the portfolio.
Several rating actions were taken on the underlying portfolio including the downgrade of Ford Motor Company and Cooper Tire & Rubber Company.
The WARF for this portfolio has deteriorated from 248 (Baa1) at closing to 467 (Baa3). Weighted Average Rating Factor is calculated based on 10-year cumulative default probabilities of reference entities after having been adjusted for watch status. All three tranches were placed on watch for possible downgrade.
The tranches in the other transaction, SEA CDO 2005-2, were also placed on watch for possible downgrade. The portfolio has undergone deterioration including the downgrade of Ford Motor Company.
The last rating action was on June 9, 2006, when the underlying portfolio was restructured. The WARF for the portfolio at last rating action was 292 (Baa2) and is currently at 384 (strong Baa3).
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
Joe Wong
Associate Analyst
Structured Finance Group
Moody's Asia Pacific Ltd.
JOURNALISTS: (852) 2916-1150
SUBSCRIBERS: (852) 2916-1121