London, 12 March 2009 -- Moody's Investors Service has taken rating actions on certain tranches
from Chrome Funding Ltd - Series Must 50/5. These actions
are a correction to rating actions announced February 20, 2008 where
the time to maturity of the transaction was incorrectly treated.
The impacted tranches are as follows:
Chrome Funding Ltd - Series Must 50/5
(1) Class A1-A Floating Rate Secured Portfolio Credit-linked
Notes
Correct rating: Baa2
Previous incorrect rating: Ba1
(2) Class A1-B
Correct rating: Baa2
Previous incorrect rating: Ba1
(3) Class A2-A Floating Rate Secured Portfolio Credit-linked
Notes
Correct rating: Ba3
Previous incorrect rating: Caa1
(4) Class A2-B
Correct rating: Ba3
Previous incorrect rating: Caa1
(5) Class B Floating Rate Secured Portfolio Credit-linked Notes
Correct rating: B3
Previous incorrect rating: Caa3
Corrected press release follows:
Moody's Investors Service has downgraded its ratings of 231 Notes issued
by 55 collateralized debt obligation (CDO) transactions which have significant
exposure to asset-backed securities (ABS) and to corporate names.
Moody's also confirmed the ratings of 9 Notes.
Today's rating actions are a response to credit deterioration in the underlying
portfolio due to: expectations of increased losses in the underlying
RMBS and ABS assets, corporate name defaults and general corporate
deterioration; and to updates in the key assumptions Moody's makes
when rating these transactions.
The rating actions listed below reflect Moody's revised loss projections
for RMBS securities, Moody's updated key assumptions for rating
structured finance CDOs (SF CDOs), and Moody's updated key assumptions
for rating corporate synthetic CDOs. The revised loss projections
for RMBS can be seen in press releases: "Moody's updates loss projections
for '06 and '07 Alt-A RMBS" (22 January 2009), and "Moody's
updates loss projections for Option ARMs RMBS" (5 February 2009).
Moody's said that the rating actions take into account the updated key
modelling parameter assumptions that Moody's uses to rate and monitor
ratings of corporate CDOs. Specifically, the changes announced
include: (1) a 30% increase in the assumed likelihood of
default for all corporate credits in synthetic CDOs, (2) an increase
in the degree to which ratings are adjusted according to other credit
indicators such as rating Reviews and Outlooks and (3) an increase in
the default correlation it applies to corporate portfolios as generated
through a combination of higher default rates and an increase in investment
grade and financial sector asset correlations. (See press release
"Moody's updates key assumptions for rating corporate synthetic CDOs,"
15 January 2009.)
Moody's also explained that the rating actions take into account the application
of revised and updated key modelling parameter assumptions that Moody's
uses to rate and monitor ratings of SF CDOs. (See press release
"Moody's updates its key assumptions for rating structured finance CDOs,"
11 December 2008). The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate.
Moody's initially analyzed and continues to monitor these transactions
using primarily the methodology and its supplements for CDOs as described
in Moody's Special Reports below, as well as the revised parameters
mentioned above:
--Moody's Approach to Rating Multisector CDOs (September
2000)
--Moody's Approach To Rating Synthetic Resecuritizations
(October 2003)
--Moody's Revisits its Assumptions Regarding Structured
Finance Default (and Asset) Correlations for CDOs (June 2005)
--Subprime RMBS Loss Projection Update (September 2008)
--Moody's Approach To Rating Corporate Collateralized Synthetic
Obligations (December 2008)
These reports can be found at www.moodys.com in the Credit
Policy & Methodologies directory, in the Ratings Methodologies
subdirectory. Other methodologies and factors that may have been
considered in the process of rating this issue can also be found in the
Credit Policy & Methodologies directory.
Today's rating actions are as follows:
ABSolute III Synthetic CDO Limited
Class A, Downgraded to B2; previously on 22 December 2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Class B1, Downgraded to Caa3; previously on 22 December 2008
Downgraded to A3 and Placed Under Review for Possible Downgrade
Class B2, Downgraded to Caa3; previously on 22 December 2008
Downgraded to A3 and Placed Under Review for Possible Downgrade
Alexandria Capital plc - Series 2004-17 - Karnak
II
Series 2004-17 A, Downgraded to Caa1; previously on
18 December 2008 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
Series 2004-17 C, Downgraded to Caa3; previously on
18 December 2008 Downgraded to Ba3 and Placed Under Review for Possible
Downgrade
ARLO IV 2006 - Lemar & Rosenheim I CDO
Series 2006 (Lemar I - Class B-2E) EUR 10,000,000
Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded
to Caa3; previously on 18 December 2008 Downgraded to Ba3 and Placed
Under Review for Possible Downgrade
Series 2006 (Lemar I - Class B-3E) EUR 10,000,000
Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded
to Caa3; previously on 18 December 2008 Downgraded to B1 and Placed
Under Review for Possible Downgrade
Series 2006 (Lemar I - Class C-2E) EUR 10,000,000
Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded
to Ca; previously on 18 December 2008 Downgraded to Caa1 and Placed
Under Review for Possible Downgrade
Series 2006 (Rosenheim I - Class B-3E) EUR 5,000,000
Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded
to Caa3; previously on 18 December 2008 Downgraded to B1 and Placed
Under Review for Possible Downgrade
ARLO IV 2006 - Lemar & Rosenheim II CDOs
Series 2006 (Lemar II - Class B-1E) EUR 5,000,000
Secured Limited Recourse Credit-Linked Notes due 2013, Downgraded
to Ca; previously on 18 December 2008 Downgraded to Caa3 and Placed
Under Review for Possible Downgrade
Arosa Funding Limited - Series 2003-2
Class A, Downgraded to Ca; previously on 22 December 2008 Downgraded
to Caa3 and Placed Under Review for Possible Downgrade
Class B1, Downgraded to Ca; previously on 22 December 2008
Downgraded to Caa3 and Placed Under Review for Possible Downgrade
Class B2, Downgraded to Ca; previously on 22 December 2008
Downgraded to Caa3 and Placed Under Review for Possible Downgrade
Arosa Funding Limited - Series 2003-3
Class A1, Downgraded to Ca; previously on 22 December 2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Class A2, Downgraded to Ca; previously on 22 December 2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Arosa Funding Limited - Series 2003-4
Series 2003-4, Downgraded to Caa3; previously on 22
December 2008 Downgraded to B1 and Placed Under Review for Possible Downgrade
Arosa Funding Limited - Series 2004-5
Class A1, Downgraded to Ba3; previously on 16 December 2008
Downgraded to A2
Class A2, Downgraded to Ba3; previously on 16 December 2008
Downgraded to A2
Class B1, Downgraded to Caa2; previously on 16 December 2008
Downgraded to Ba1
Class B2, Downgraded to Caa2; previously on 16 December 2008
Downgraded to Ba1
Class C, Downgraded to Caa3; previously on 16 December 2008
Downgraded to B1
Arosa Funding Limited - Series 2006-6
€20,000,000 Secured Credit-Linked Floating Rate
Notes due 2013, Downgraded to Ca; previously on 19 December
2008 Downgraded to Ba1 and remains Under Review for Possible Downgrade
Asgard CDO plc
CHF 6,000,000 Series A Swiss Franc Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to Ba3; previously on 18
December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade
EUR 327,000,000 Series A Euro Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to Ba3; previously on 18
December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade
GBP 2,000,000 Series A Sterling Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to Ba3; previously on 18
December 2008 Downgraded to A1 and Placed Under Review for Possible Downgrade
GBP 2,000,000 Series B Sterling Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to B1; previously on 18
December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
NZD 10,000,000 Series B New Zealand Dollar Floating Rate Credit
Linked Secured Notes due 2011, Downgraded to B1; previously
on 18 December 2008 Downgraded to A2 and Placed Under Review for Possible
Downgrade
USD 20,000,000 Series B Dollar Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to B1; previously on 18
December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
EUR 125,000,000 Series B Euro Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to B1; previously on 18
December 2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
USD 10,000,000 Series C Dollar Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to B2; previously on 18
December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade
CHF 5,000,000 Series C Swiss Franc Floating Rate Credit Linked
Secured Notes due 2011, Downgraded to B2; previously on 18
December 2008 Downgraded to A3 and Placed Under Review for Possible Downgrade
EUR 7,500,000 Series D Euro Fixed Rate Credit Linked Secured
Notes due 2011, Downgraded to B3; previously on 18 December
2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade
Baker Street Finance Limited / Baker Street USD Finance Limited
Class A-1a Floating Credit Linked Notes, Downgraded to Caa2;
previously on 19 December 2008 Downgraded to A2 and remains on Review
for Possible Downgrade
Class A-1b Floating Credit Linked Notes, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Baa1 and remains on Review
for Possible Downgrade
Class A-1c loating Credit Linked Notes, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Baa2 and remains on Review
for Possible Downgrade
Class A1-USD Floating Credit-Linked Notes-1,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa2
and remains on Review for Possible Downgrade
Class A2 Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible
Downgrade
Class A2-USD Floating Credit-Linked Notes-2,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Ba2
and remains on Review for Possible Downgrade
Class B Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class B-USD Floating Credit-Linked Notes-3,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class C Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class C-USD Floating Credit-Linked Notes-4,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class D Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class D-USD Floating Credit-Linked Notes-5,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class E Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class E-USD Floating Credit-Linked Notes-6,
Downgraded to Ca; previously on 14 October 2008 Downgraded Caa3 and
remains on Review for Possible Downgrade
Class F Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class F-USD Floating Credit-Linked Notes-7,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class G Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class G-USD Floating Credit-Linked Notes-8,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class H Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class H-USD Floating Credit-Linked Notes-9,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Brooklands Euro Referenced Linked Notes 2001-1 Ltd
A, Downgraded to B3; previously on 19 November 2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
B, Downgraded to Ca; previously on 19 November 2008 Downgraded
to B1 and Placed Under Review for Possible Downgrade
Brooklands Euro Referenced Linked Notes 2004-1 Ltd
Class A1-a Floating Rate Notes due 2054, Downgraded to Ba1;
previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review
for Possible Downgrade
Class A1-b Floating Rate Notes due 2054, Downgraded to Ba1;
previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review
for Possible Downgrade
Class A2 Floating Rate Notes due 2054, Downgraded to B3; previously
on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible
Downgrade
CDC Ixis Capital Markets - Credit-Linked Note linked to
Chrome Funding Must 50/5
EUR10,000,000 Series 1388 Fixed Rate Credit-linked
Notes, Downgraded to Ca; previously on 22 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Chrome Funding Ltd - Series Must 50/5
Class A1-A Floating Rate Secured Portfolio Credit-linked
Notes, Confirmed at Baa2; previously on 22 December 2008 Downgraded
to Baa2 and remains on Review for Possible Downgrade
Class A1-B, Confirmed at Baa2; previously on 22 December
2008 Downgraded to Baa2 and remains on Review for Possible Downgrade
Class A2-A Floating Rate Secured Portfolio Credit-linked
Notes, Confirmed at Ba3; previously on 22 December 2008 Downgraded
to Ba3 and remains on Review for Possible Downgrade
Class A2-B, Confirmed at Ba3; previously on 22 December
2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
Class B Floating Rate Secured Portfolio Credit-linked Notes,
Confirmed at B3; previously on 22 December 2008 Downgraded to B3
and remains on Review for Possible Downgrade
Class C1 Floating Rate Secured Portfolio Credit-linked Notes,
Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class C2 Floating Rate Secured Portfolio Credit-linked Notes,
Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Class D Floating Rate Secured Portfolio Credit-linked Notes,
Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Clifton Street Finance Limited
Class A-1, Downgraded to Ca; previously on 19 December
2008 Downgraded to Ba2 and remains on Review for Possible Downgrade
Class A-2, Downgraded to Ca; previously on 19 December
2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
Class B, Downgraded to Ca; previously on 19 December 2008 Downgraded
to B3 and remains on Review for Downgrade
Class C, Downgraded to Ca; previously on 19 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class D, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class E, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Cloverie Plc - Rotonda CDO: Series 2004-40 to 50 &
52
Series 2004-41 Portfolio Credit Linked Note, Downgraded to
Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under
Review for Possible Downgrade
Series 2004-42 Portfolio Credit Linked Note, Downgraded to
Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under
Review for Possible Downgrade
Series 2004-43 Portfolio Credit Linked Note, Downgraded to
Baa2; previously on 01 December 2008 Downgraded to Aa2 and Placed
Under Review for Possible Downgrade
Series 2004-44 Portfolio Credit Linked Note, Downgraded to
Baa2; previously on 01 December 2008 Downgraded to Aa2 and Placed
Under Review for Possible Downgrade
Series 2004-45 Portfolio Credit Linked Note, Downgraded to
B1; previously on 01 December 2008 Downgraded to Baa2 and Placed
Under Review for Possible Downgrade
Series 2004-48 Portfolio Credit Linked Note, Downgraded to
Caa1; previously on 01 December 2008 Downgraded to Ba1 and Placed
Under Review for Possible Downgrade
Series 2004-50 Portfolio Credit Linked Note, Downgraded to
Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under
Review for Possible Downgrade
Cloverie Plc - Rotonda CDO: Series 2004-51
Series 2004-51 Portfolio Credit Linked Note, Downgraded to
B1; previously on 01 December 2008 Downgraded to Baa2 and Placed
Under Review for Possible Downgrade
Cloverie Plc - Rotonda CDO: Series 2004-53
Series 2004-53 Portfolio Credit Linked Note, Downgraded to
Ba1; previously on 01 December 2008 Downgraded to A2 and Placed Under
Review for Possible Downgrade
Cloverie Plc - Rotonda CDO: Series 2004- 56,
59, 61, 63
Series 2004-56 Portfolio Credit Linked Note, Downgraded to
A3; previously on 22 December 2008 Downgraded to Aa3 and remains
on Review for Possible Downgrade
Cloverie PLC: Rotonda CDO Series 2004-59
Series No: 2004-59 USD 60,000,000 Class A Floating
Rate Portfolio Credit Linked Notes due 2009, Downgraded to Ba2;
previously on 22 December 2008 Downgraded to A1 and Placed Under Review
for Possible Downgrade
Corsair (Jersey) No. 3 Limited (Alhambra)
Series 1, Downgraded to Ca; previously on 23 October 2008 Downgraded
to B1
Corsair (Jersey) No 3 Limited Series 7 (Alhambra)
Series 7 Floating ate Portfolio Credit Linked Notes due 2013, Downgraded
to Ca; previously on 22 December 2008 Downgraded to B2 and Placed
Under Review for Possible Downgrade
Corsair (Jersey) No 4 Limited - Series 11
Series 11 Floating Rate Step-down Secured Portfolio CLN,
Downgraded to Ba1; previously on 19 December 2008 Downgraded to A3
and Placed Under Review for Possible Downgrade
Curzon Funding Limited Series 2005-1 (HORIZON CDO Series)
Series 2005-1 Horizon Class A Variable Coupon Notes, Downgraded
to Ca; previously on 19 December 2008 Downgraded to A2 and remains
on Review for Possible Downgrade
Series 2005-1 Horizon Class B Variable Coupon Notes, Downgraded
to Ca; previously on 19 December 2008 Downgraded to B1 and remains
on Review for Possible Downgrade
Series 2005-1 Horizon Class C Variable Coupon Notes, Downgraded
to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Series 2005-1 Horizon Class D Variable Coupon Notes, Downgraded
to Ca; previously on 19 November 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Curzon Funding Limited Series 2005-2 (Horizon IIIE)
Series 2005-2 Horizon IIIE Class A Variable Coupon Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to A2
and remains on Review for Possible Downgrade
Series 2005-2 Horizon IIIE Class B Variable Coupon Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to B1
and remains on Review for Possible Downgrade
Series 2005-2 Horizon IIIE Class C Variable Coupon Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Series 2005-2 Horizon IIIE Class D Variable Coupon Notes,
Downgraded to Ca; previously on 19 November 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Curzon Funding Limited Series 2006-1 (Horizon CDO VI)
Series 2006-1 Class A Variable Coupon Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Ba2 and remains
on Review for Possible Downgrade
Series 2006-1 Class B Variable Coupon Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to B2 and remains on
Review for Possible Downgrade
Series 2006-1 Class C Variable Coupon Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa2 and remains
on Review for Possible Downgrade
Series 2006-1 Class D Variable Coupon Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Curzon Funding Limited Series 2006-3 (Horizon CDO VIII)
Series 2006-3 Class A Floating Coupon Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to B1 and remains on
Review for Possible Downgrade
Series 2006-3 Class B Floating Coupon Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
KBC Investments Cayman Islands Ltd - Super Senior CDS Dorset Street
Finance Limited
Super Senior Swap Dorset Street Finance Limited, Downgraded to B2;
previously on 19 December 2008 Downgraded to A1 and remains on Review
for Possible Downgrade
Dorset Street Finance Limited
Class A1 Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Baa3 and remains on Review for Possible
Downgrade
Class A2 Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible
Downgrade
Class B Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Ba3 and remains on Review for Possible
Downgrade
Class C Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class D Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class E Floating Credit Linked Notes, Downgraded to Ca; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class F Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class G Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class H Floating Credit Linked Notes, Downgraded to Ca; previously
on 14 October 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Eirles Two Limited Series 87 - TAPAS 2004-1 Portfolio
Eirles Two Limited Series 87 Floating Rate Portfolio Credit linked Secured
Notes due 2011, Downgraded to Caa1; previously on 16 December
2008 Downgraded to Baa1 and remains on Review for Possible Downgrade
Eirles Two Limited Series 88 - ABS Select Portfolio
Eirles Two Limited Series 88 Floating Rate Portfolio Credit Linked Secured
Notes due 2011, Downgraded to Caa2; previously on 16 December
2008 Downgraded to Baa2 and Placed Under Review for Possible Downgrade
Eirles Two Limited Series 120 USD 50,000,000 Floating Rate
Secured Notes due 2011
Series 120 USD 50,000,000 Floating Rate Secured Notes due
2011, Downgraded to Ba3; previously on 18 December 2008 Downgraded
to A1 and Placed Under Review for Possible Downgrade
Elva Funding plc Series 2004-6
Class A1 Notes, Downgraded to Ba1; previously on 18 December
2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade
Class A2 Notes, Downgraded to Ba1; previously on 18 December
2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade
Class A3 Notes, Downgraded to Ba1; previously on 18 December
2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade
Class B1 Notes, Downgraded to B2; previously on 18 December
2008 Downgraded to A2 and remains on Review for Possible Downgrade
Class B2 Notes, Downgraded to B2; previously on 18 December
2008 Downgraded to A2 and remains on Review for Possible Downgrade
Class B3 Notes, Downgraded to B2; previously on 18 December
2008 Downgraded to A2 and remains on Review for Possible Downgrade
Class C1 Notes, Downgraded to Caa2; previously on 18 December
2008 Downgraded to Baa3 and remains on Review for Possible Downgrade
Class C2 Notes, Downgraded to Caa2; previously on 18 December
2008 Downgraded to Baa3 and remains on Review for Possible Downgrade
Class C3 Notes, Downgraded to Caa2; previously on 18 December
2008 Downgraded to Baa3 and remains on Review for Possible Downgrade
Class D1 Notes, Downgraded to Ca; previously on 18 December
2008 Downgraded to Ba2 and remains on Review for Possible Downgrade
Class D2 Notes, Downgraded to Ca; previously on 18 December
2008 Downgraded to Ba2 and remains on Review for Possible Downgrade
Class D3 Notes, Downgraded to Caa3; previously on 18 December
2008 Downgraded to Ba2 and remains on Review for Possible Downgrade
Class E1 Notes, Downgraded to Ca; previously on 18 December
2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
Class E2 Notes, Downgraded to Ca; previously on 18 December
2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
Fulham Road Finance Limited
Class A, Downgraded to B1; previously on 24 November 2008 Downgraded
to A1 and remains on Review for Possible Downgrade
Class B, Downgraded to B3; previously on 24 November 2008 Downgraded
to A3 and remains on Review for Possible Downgrade
Class C, Downgraded to Caa2; previously on 24 November 2008
Downgraded to Baa3 and remains on Review for Possible Downgrade
Class D, Downgraded to Caa3; previously on 24 November 2008
Downgraded to Ba2 and remains on Review for Possible Downgrade
Class E, Downgraded to Caa3; previously on 24 November 2008
Downgraded to B1 and remains on Review for Possible Downgrade
Class F, Downgraded to Ca; previously on 24 November 2008 Downgraded
to B3 and remains on Review for Possible Downgrade
Hanover Street Finance Limited
Class A1 Floating Rate Credit-Linked Notes, Downgraded to
Caa2; previously on 19 December 2008 Downgraded to Baa1 and remains
on Review for Possible Downgrade
Class A2 Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Baa3 and remains
on Review for Possible Downgrade
Class B Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Ba3 and remains
on Review for Possible Downgrade
Class C Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class D Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class E Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class F Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 14 October 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class G Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 14 October 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class H Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 14 October 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class I Floating Rate Credit-Linked Notes-1, Downgraded
to Ca; previously on 14 October 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Heather Finance Limited 2004-8 (CoRDS)
Series 2004-8 Yen1,100,000,000 Secured Credit-Linked
Floating Rate Notes, Downgraded to Caa2; previously on 22 December
2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade
Iliad Investments P.L.C. Series 14
Class A, Downgraded to Ca; previously on 10 November 2008 Downgraded
to Caa1 and Placed Under Review for Possible Downgrade
Class B, Downgraded to Ca; previously on 10 November 2008 Downgraded
to Caa2 and Placed Under Review for Possible Downgrade
Class C, Downgraded to Ca; previously on 10 November 2008 Downgraded
to Caa3 and Placed Under Review for Possible Downgrade
Merak CDO Limited Series 2003-01
Class B Credit-Linked Notes due 2010, Downgraded to Baa2;
previously on 22 December 2008 Downgraded to Aa3 and Placed Under Review
for Possible Downgrade
Merak CDO Limited Series 2003-02
Class C Credit-Linked Notes due 2010, Downgraded to Baa3;
previously on 22 December 2008 Downgraded to A2 and Placed Under Review
for Possible Downgrade
Merak CDO Limited - Series 2003-3
Class B, Downgraded to Ba1; previously on 22 December 2008
Downgraded to A1 and Placed Under Review for Possible Downgrade
Class C, Downgraded to Ba3; previously on 22 December 2008
Downgraded to A3 and Placed Under Review for Possible Downgrade
Morgan Stanley Capital Services Inc. - Credit Derivative
Transactions GR_1 to GR_20
GR_1 MSCS Credit Derivative Transaction, Downgraded to Caa3;
previously on 02 November 2007 Downgraded to Baa2
GR_2 MSCS Credit Derivative Transaction, Downgraded to B1;
previously on 07 June 2007 Downgraded to A2
GR_3 MSCS Credit Derivative Transaction, Downgraded to Ba3;
previously on 07 June 2007 Downgraded to A1
GR_4 MSCS Credit Derivative Transaction, Downgraded to B3;
previously on 02 April 2008 Downgraded to A2
GR_5 MSCS Credit Derivative Transaction, Downgraded to B3;
previously on 02 April 2008 Upgraded to A1
GR_6 MSCS Credit Derivative Transaction, Downgraded to Caa1;
previously on 02 April 2008 Downgraded to Baa2
GR_7 MSCS Credit Derivative Transaction, Downgraded to Caa2;
previously on 02 April 2008 Downgraded to A3
GR_8 MSCS Credit Derivative Transaction, Downgraded to Ba3;
previously on 30 July 2008 Downgraded to A1
GR_9 MSCS Credit Derivative Transaction, Downgraded to Caa1;
previously on 02 April 2008 Downgraded to Baa1
GR_10 MSCS Credit Derivative Transaction, Downgraded to B3;
previously on 30 July 2008 Downgraded to A3
GR_11MSCS Credit Derivative Transaction, Downgraded to Ba3;
previously on 30 July 2008 Downgraded to A3
GR_12 MSCS Credit Derivative Transaction, Downgraded to Caa2;
previously on 07 June 2007 Downgraded to Baa1
GR_13 MSCS Credit Derivative Transaction, Downgraded to Caa3;
previously on 07 June 2007 Downgraded to A1
GR_14 MSCS Credit Derivative Transaction, Downgraded to B1;
previously on 30 July 2008 Downgraded to A2
GR_15 MSCS Credit Derivative Transaction, Downgraded to B2;
previously on 07 June 2007 Downgraded to A2
GR_16 MSCS Credit Derivative Transaction, Downgraded to B3;
previously on 30 July 2008 Downgraded to Baa3
GR_17 MSCS Credit Derivative Transaction, Downgraded to Caa1;
previously on 02 April 2008 Downgraded to A3
GR_18 MSCS Credit Derivative Transaction, Downgraded to Caa2;
previously on 07 June 2007 Downgraded to Aa3
GR_19 MSCS Credit Derivative Transaction, Downgraded to Ba2;
previously on 07 June 2007 Downgraded to Baa2
GR_20 MSCS Credit Derivative Transaction, Downgraded to Caa1;
previously on 30 July 2008 Downgraded to A2
GR_21 MSCS Credit Derivative Transaction, Downgraded to B1;
previously on 07 June 2007 Downgraded to A2
Oxford Street Finance Limited
Class A1, Downgraded to Caa2; previously on 19 December 2008
Downgraded to Baa2 and remains on Review for Possible Downgrade
Class A2, Downgraded to Ca; previously on 19 December 2008
Downgraded to Ba1 and remains on Review for Possible Downgrade
Class B, Downgraded to Ca; previously on 19 December 2008 Downgraded
to Ba3 and remains on Review for Possible Downgrade
Class C, Downgraded to Ca; previously on 19 December 2008 Downgraded
to B2 and remains on Review for Possible Downgrade
Class D, Downgraded to Ca; previously on 19 December 2008 Downgraded
to Caa2 and remains on Review for Possible Downgrade
Class E, Downgraded to Ca; previously on 19 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class F, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class G, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class H, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Pembridge Square Finance Limited
EUR 17,000,000 Class A1 Floating Rate Credit Linked Notes,
Downgraded to Caa3; previously on 19 December 2008 Downgraded to
Baa2 and remains on Review for Possible Downgrade
EUR 80,000,000 Class A2 Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Baa3
and remains on Review for Possible Downgrade
EUR 70,000,000 Class B Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to B1
and remains on Review for Possible Downgrade
EUR 60,000,000 Class C Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
EUR 50,000,000 Class D Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
EUR 40,000,000 Class E Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
EUR 25,000,000 Class F Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
EUR 22,000,000 Class G Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
EUR 16,000,000 Class H Floating Rate Credit Linked Notes,
Downgraded to Ca; previously on 14 October 2008 Downgraded to Caa3
and remains on Review for Possible Downgrade
Rally CDO Limited
USD 42,000,000 Class A Floating Rate Notes due 2010,
Downgraded to Ba3; previously on 18 December 2008 Downgraded to Aa1
and Placed Under Review for Possible Downgrade
USD 18,000,000 Class B Floating Rate Notes due 2010,
Downgraded to Caa2; previously on 18 December 2008 Downgraded to
A3 and Placed Under Review for Possible Downgrade
USD 12,000,000 Class C Floating Rate Notes due 2010,
Downgraded to Caa3; previously on 18 December 2008 Downgraded to
Ba1 and Placed Under Review for Possible Downgrade
USD 6,000,000 Class D Floating Rate Notes due 2010,
Downgraded to Ca; previously on 18 December 2008 Downgraded to B2
and Placed Under Review for Possible Downgrade
Regent Street Finance Limited
Class A1 Floating Rate Credit-Linked Notes, Downgraded to
Caa1; previously on 19 December 2008 Downgraded to A2 and remains
on Review for Possible Downgrade
Class A2 Floating Rate Credit-Linked Notes, Downgraded to
Caa2; previously on 19 December 2008 Downgraded to Baa1 and remains
on Review for Possible Downgrade
Class B Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Baa3 and remains
on Review for Possible Downgrade
Class C Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Ba3 and remains
on Review for Possible Downgrade
Class D Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class E Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class F Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class G Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 14 October 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class H Floating Rate Credit-Linked Notes, Downgraded to
Ca; previously on 14 October 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Rijn Finance Company B.V. Series 1.4 (Alhambra)
Series 1.4 Tranche A Fixed Rate, Downgraded to Ca; previously
on 23 October 2008 Downgraded to B3
Series 1.4 Tranche A Floating Rate, Downgraded to Ca;
previously on 23 October 2008 Downgraded to B3
Series 1.4 Tranche B Fixed Rate, Downgraded to Ca; previously
on 23 October 2008 Downgraded to Caa2
Series 1.4 Tranche B Floating Rate, Downgraded to Ca;
previously on 23 October 2008 Downgraded to Caa2
Ryder Square Limited - Evergreen
Series No: 3 EUR 29,000,000 Evergreen-ABS Secured
Credit Linked Notes due 2009, Downgraded to Baa1; previously
on 22 December 2008 Downgraded to A1 and Placed Under Review for Possible
Downgrade
Series No: 4 EUR 38,000,000 Evergreen-ABS Secured
Credit Linked Notes due 2009, Downgraded to Ba1; previously
on 22 December 2008 Downgraded to Baa2 and Placed Under Review for Possible
Downgrade
Skylark Limited Series 2004-3 (USD Saqqara)
USD denominated Saqqara Class A Floating Rates Credit Linked Notes,
confirmed at Aa3; previously on 22 December 2008 Downgraded to Aa3
and Placed Under Review for Possible Downgrade
Starts (Ireland) plc - Amber Structured Finance CDO
Class A1-E1 Credit-Linked Notes, Downgraded to Caa1;
previously on 18 December 2008 Downgraded to Baa2 and Placed Under Review
for Possible Downgrade
Class A2-E1 Credit-Linked Notes, Downgraded to Caa3;
previously on 18 December 2008 Downgraded to Ba1 and Placed Under Review
for Possible Downgrade
Class A2-E2 Credit-Linked Notes, Downgraded to Caa3;
previously on 18 December 2008 Downgraded to Ba1 and Placed Under Review
for Possible Downgrade
Class B-E1 Credit-Linked Notes, Downgraded to Ca;
previously on 18 December 2008 Downgraded to Caa1 and Placed Under Review
for Possible Downgrade
Starts (Ireland) plc Series 2005-1 (Amber Structured Finance CDO)
Series 2005-1 USD 25,000,000 Class A2-D2 Floating
Rate Amber Credit-Linked Notes due 2010, Downgraded to Caa3;
previously on 18 December 2008 Downgraded to Ba2 and Placed Under Review
for Possible Downgrade
Sydney Street Finance Limited
Class A-1, Downgraded to Ca; previously on 19 December
2008 Downgraded to Ba2 and remains on Review for Possible Downgrade
Class A-2, Downgraded to Ca; previously on 19 December
2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
Class B, Downgraded to Ca; previously on 19 December 2008 Downgraded
to B3 and remains on Review for Possible Downgrade
Class C, Downgraded to Ca; previously on 19 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class D, Downgraded to Ca; previously on 19 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class E, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class F, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class G, Downgraded to Ca; previously on 24 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Triplas Series II Synthetic CDO Limited
Class A, Downgraded to A3; previously on 22 December 2008 Downgraded
to A1 and remains on Review for Possible Downgrade
Class B, Downgraded to Baa3; previously on 22 December 2008
Downgraded to A3 and remains on Review for Possible Downgrade
Class C, Downgraded to Ba2; previously on 22 December 2008
Downgraded to Baa3 and remains on Review for Possible Downgrade
Class D, Downgraded to B1; previously on 22 December 2008 Downgraded
to Ba2 and remains on Review for Possible Downgrade
Class E, Downgraded to B2; previously on 22 December 2008 Downgraded
to Ba3 and remains on Review for Possible Downgrade
Triplas III Limited
B, Downgraded to Ca; previously on 17 December 2008 Downgraded
to Baa3 and Placed Under Review for Possible Downgrade
C, Downgraded to Ca; previously on 17 December 2008 Downgraded
to Ba3 and Placed Under Review for Possible Downgrade
D, Downgraded to Ca; previously on 17 December 2008 Downgraded
to B1 and Placed Under Review for Possible Downgrade
Triplas IV Limited
EUR 10,300,000 Class C1 Secured Floating Rate Credit-Linked
Notes due 2011, Downgraded to Caa2; previously on 22 December
2008 Downgraded to Ba1 and remains on Review for Possible Downgrade
EUR 17,000,000 Class A Secured Floating Rate Credit-Linked
Notes due 2011, Downgraded to Ba1; previously on 22 December
2008 Downgraded to A3 and remains on Review for Possible Downgrade
EUR 17,000,000 Class B Secured Floating Rate Credit-Linked
Notes due 2011, Downgraded to B3; previously on 22 December
2008 Downgraded to Baa2 and remains on Review for Possible Downgrade
EUR 2,000,000 Class C2 Secured Floating Rate Credit-Linked
Notes due 2011, Downgraded to Caa2; previously on 22 December
2008 Downgraded to Ba1 and remains on Review for Possible Downgrade
EUR 750,000 Class D Secured Floating Rate Credit-Linked Notes
due 2011, Downgraded to Caa2; previously on 22 December 2008
Downgraded to Ba2 and remains on Review for Possible Downgrade
Vespucci Investments Plc
Class A, Confirmed at Aa3; previously on 22 December 2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Class B, Confirmed at Aa3; previously on 22 December 2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
Class C, Confirmed at A1; previously on 22 December 2008 Downgraded
to A1 and Placed Under Review for Possible Downgrade
London
Neelam S. Desai
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
New York
Jian Hu
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Correction to Text, February 20, 2009 release: Moody's downgrades notes issued by 55 structured finance CDO transactions
