Tokyo, November 22, 2012 -- Moody's Japan K.K. has downgraded to A1 from Aa3 its rating on the credit-linked notes issued by Corsair (Jersey) No.3 Limited.
Deal Name: Corsair (Jersey) No.3 Limited Series 33
JPY1.0 billion Single Name Credit-linked Notes, downgraded to A1; previously on 7 September 2011, assigned Aa3.
Issuer: Corsair (Jersey) No.3 Limited
Payment Frequency of Interest: Semi-annually
Issue Date: 7 September 2011
Maturity Date: 23 September 2016
Collateral Asset: Japan Government Bonds (Senior Long-Term Rating: Aa3 (Domestic Currency)) (*)
Swap Counterparty: JPMorgan Chase Bank, N.A. (Senior Unsecured Long-Term Rating: Aa3) (*)
Reference Entity: One Sovereign Entity (Senior Long-Term Rating: Aa1 (Domestic Currency)) (*)
Arranger: JPMorgan Securities Ltd.
(*These Moody's Investors Service ratings are not governed by Japanese regulation.)
The transaction consists of credit-linked notes backed by the collateral asset, referencing a certain sovereign entity. A credit-default-swap agreement and an asset-swap agreement are incorporated into the transaction.
The principal and interest payments on the collateral asset and the proceeds from the swap counterparty are used for the principal and interest payments on the notes.
The collateral asset bears a fixed interest rate, but the notes bear a floating interest rate. The interest-rate risk will be hedged via the interest-rate swap agreement between the issuer and the swap counterparty.
The rating downgrade is the result of the rating downgrade of the reference entity.
The rating of the notes mainly reflects the credit quality of the collateral asset, the credit quality of the reference entity, the credit quality of the swap counterparty, and the strength of the transaction structure.
If the rating of the collateral asset changes, the rating of the notes can also change.
The principal methodology used for the above ratings was "Moody's Approach to Rating Repackaged Securities," published on 30 September 2010, and available on www.moodys.co.jp.
Moody's did not receive or take into account a third-party due diligence report on the underlying assets or financial instruments related to the monitoring of this transaction in the past six months.
The Global Scale Credit Ratings on this press release that are issued by one of Moody's affiliates outside the EU are endorsed by Moody's Investors Service Ltd., One Canada Square, Canary Wharf, London E 14 5FA, UK, in accordance with Art.4 paragraph 3 of the Regulation (EC) No 1060/2009 on Credit Rating Agencies. Further information on the EU endorsement status and on the Moody's office that has issued a particular Credit Rating is available on www.moodys.com.
For ratings issued on a program, series or category/class of debt, this announcement provides relevant regulatory disclosures in relation to each rating of a subsequently issued bond or note of the same series or category/class of debt or pursuant to a program for which the ratings are derived exclusively from existing ratings in accordance with Moody's rating practices. For ratings issued on a support provider, this announcement provides relevant regulatory disclosures in relation to the rating action on the support provider and in relation to each particular rating action for securities that derive their credit ratings from the support provider's credit rating. For provisional ratings, this announcement provides relevant regulatory disclosures in relation to the provisional rating assigned, and in relation to a definitive rating that may be assigned subsequent to the final issuance of the debt, in each case where the transaction structure and terms have not changed prior to the assignment of the definitive rating in a manner that would have affected the rating. For further information please see the ratings tab on the issuer/entity page for the respective issuer on www.moodys.com.
The credit rating addresses the expected loss posed to the Notes which are considered structured finance products in Japanese law. This transaction is not instruments to which Moody's applies its (sf) structured finance indicator. For the application of the (sf) indicator and the explanation of meaning and limitation of the credit rating on structured finance instruments, please see "Moody's Structured Finance Rating Scale" on www.moodys.com.
The principal information used to prepare the credit rating comprised contracts and public rating information.
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Shinji Yoshizawa Analyst Structured Finance Group Moody's Japan K.K. Atago Green Hills Mori Tower 20fl 2-5-1 Atago, Minato-ku Tokyo 105-6220 Japan JOURNALISTS: (03) 5408-4110 SUBSCRIBERS: (03) 5408-4100 Koji Kumamaru MD - Structured Finance Structured Finance Group JOURNALISTS: (03) 5408-4110 SUBSCRIBERS: (03) 5408-4100 Releasing Office: Moody's Japan K.K. Atago Green Hills Mori Tower 20fl 2-5-1 Atago, Minato-ku Tokyo 105-6220 Japan JOURNALISTS: (03) 5408-4110 SUBSCRIBERS: (03) 5408-4100 Copyright 2012 Moody's Investors Service, Inc. and/or its licensors and affiliates (collectively, "MOODY'S"). All rights reserved.
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