Transaction, in conjunction with Lloyds TSB acting as loan administrator.įollowing a recent review of Capstone's servicing operations, Performing the master and special loan administration functions in the Risks associated with Capstone Mortgage Services Ltd ("Capstone"), Rate scenario and concluded the current ratings are commensurate withįinally, today's rating actions incorporate the potential operational Will be exposed to interest rate and basis risk until transaction maturityĭue to the interest rate mismatch between the fixed-rate loansĪnd the note Libor Moody's has run some stressed interest Has assumed that the issuer will not enter into replacement swaps and Not been terminated, and no replacement swaps have been entered Recovery flows have been reported on the investor report since closing.įollowing the bankruptcy filing of LBHI, as guarantor of Lehmanīrothers Special Financing's obligations under the Swaps,Īn event of default has occurred in the hedging agreements in place for Transaction is the recovery rate, set to 0% on this reviewĪs opposed to 7.5% assumed at deal inception. AnotherĬrucial input of the cash flow model Moody's used to analyse the Rate and the coefficient of variation are the two key parameters usedīy Moody's to generate the default distribution curve. The review to reflect the transaction seasoning. To be 31% at closing, has been updated to 20% during The coefficient of variation, which was assumed The originalĮxpected gross rate was 30%, ultimately translating intoĢ5% seasoning-adjusted default rate which was used as modellingĪssumption. Portion of the portfolio, finally adjusting its default expectationsįor this portfolio to 35% of the original balance. Moody's has taken into account the current amount of cumulative defaults,Īnd completed a roll-rate analysis for the non-defaulted Is the main driver for today's rating action. Moody's notes that the weak performance of the transaction Notes as well as the hedging exposure to LBHI and to Capstone, anĮntity ultimately owned by LBHI performing certain loan administrationįunctions. Increased loss expectations for the loan portfolio backing the issued Into account the worse-than-expected performance and the Today's rating actions conclude the review and take On 17 September 2008 because of their exposure to Lehman Brothers Holding Ratings of the Class A and B Certificates were withdrawn following theirĪll the affected tranches had been placed on review for possible downgrade Issuer: Consumer Unsecured Reperforming Loans (CURL) PLCĭowngraded to A1 previously on 17 September 2008 Aa3 Placed Underĭowngraded to Ba2 previously on 17 September 2008 Baa2 Placed Underĭowngraded to Caa1 previously on 17 September 2008 Ba3 Placed Under Milan, Decem- Moody's Investors Service today downgraded all outstanding classes ofĬertificates issued by Consumer Unsecured Reperforming Loans (CURL) PLC GPB 80.8 million of debt securities affected
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