Moody's Puts 184 CDO Tranches on Review for Possible Downgrade
New York, July 11, 2007 -- Move Reflects Moody's Recent Rating Actions on 2005 and 2006 Subprime
RMBS
Moody's Investors Service today announced that it has put 184 tranches
of 91 collateralized debt obligations (CDOs) backed primarily by residential
mortgage-backed securities (RMBS) on review for possible downgrade.
The rating actions affect securities with an original face value of approximately
$5.0 billion, representing roughly 0.5%
of the total Moody's rated asset backed security CDO (ABS CDO) universe.
By tranche number, the affected CDO tranches account for 3.6%
of the total Moody's rated ABS CDO universe. These CDO rating
actions primarily reflect Moody's recent rating actions on RMBS
assets associated with first lien subprime mortgages from the 2006 vintage,
the second lien loans of the 2005/2006 vintage as well as the structures
of the individual transactions. The majority of rating actions
taken today (124 rating actions) impacted securities currently rated Baa
or lower. There were also 37 A, 15 Aa and 8 Aaa rated tranches
placed on review.
Exposure to Affected RMBS Assets Varies Across U.S. ABS
CDOs
As part of its ongoing CDO surveillance process, Moody's continuously
reviews the universe of Moody's-rated CDO transactions.
Through this effort, we determined that 360 U.S. ABS
CDO transactions comprised of 1,792 Moody's-rated tranches
have exposure to RMBS assets recently downgraded or placed on review for
possible downgrade by Moody's. The exposure levels range
from 1% to approximately 50%, with an average exposure
of 6.9%, based on the most recently available CDO
reporting data. However, not all ABS CDO tranches with exposure
to these assets have been placed on review. This determination
was based on overall transaction performance, structural features
and the current strength of the ratings.
Rating Actions Based on Review of CDO Portfolio Composition & Structure
Moody's review of these CDO transactions -- and the rating actions
taken today - were based on the CDOs' current respective
portfolios and the CDOs' structures. As part of the analysis,
Moody's reviewed the transactions' weighted average rating
factors, diversity measures, individual structural nuances,
and the outputs of numerous model runs to determine if the current ratings
assigned were still consistent with revised loss expectations.
In situations where it appears that this may no longer be the case,
tranches have been put on review for possible downgrade.
Moody's to Perform Further Analysis Incorporating Collateral Manager
Input
Moody's will continue to review deal performance to determine what
future actions are warranted i.e., downgrade or removal
from the review list. Consistent with Moody's CDO surveillance
methods, for managed transactions, we expect to engage collateral
managers in a dialogue to understand better what plans, if any,
will be executed for their respective transactions. It is anticipated
that the current rating reviews will be resolved over the upcoming weeks
as more information becomes available and Moody's completes its
analysis. We expect to conclude our ratings review of static transactions
on an accelerated basis.
European and Asian ABS CDOs Largely Unaffected
Moody's also reviewed and continues to review the 281 European and
Asian ABS CDOs (or 1,134 tranches) rated by the company.
Of these transactions, only 16 have exposure to the affected RMBS
assets. Moody's determined no rating action will be taken
on any tranches of those 16 transactions or any other European or Asian
ABS CDO at this time due to overall deal performance, structural
features and the current strength of the ratings.
Moody's invites you to participate in a discussion, via teleconference
or web cast, on Thursday, 12 July 2007 at 10:00 EST
/ 15:00 BST (local London time) / 16:00 CET to discuss these
actions. The discussion will be hosted by Richard Cantor,
Team Managing Director, Credit Policy Research Group; Nicolas
Weill, Team Managing Director and Chief Credit Officer, Asset
Finance; and John Park, Senior Vice President, Derivatives
Monitoring. Details of the discussion are as follows:
Teleconference Information:
Thursday, July 12, 2007
10:00 EST/15:00 BST (local London time)/16:00 CET
US and Canada: +1 800-795-1259
All Others: +1 785-832-0301
Passcode: moodys
Web Cast Information:
Additional details regarding the web cast, including a link to the
event, can be found at www.moodys.com/subprimeevents.
For details on the event, as well as Moody's published research
on the subprime market, go to www.moodys.com/subprime.
Please contact any one of Moody's Client Service Desks with any other
questions:
New York +1 212-553-1653 Hong Kong +852-2916-1121
London +44 20-7772-5454 Tokyo +81-3-5408-4100
Sydney +61-2-9270-8100 Singapore +65-6398-8308
ACA ABS 2003-1, Limited
U.S. $ 18,000,000 Class D Floating Rate
Deferrable Interest Term Notes, due June 10, 2038 -
Current Rating: Baa2
ACA ABS CDO 2006-2, Limited
U.S.$29,000,000 Class A-3L Deferrable
Floating Rate Notes Due January 2047 - Current Rating: A2
U.S.$45,000,000 Class B-1L Floating
Rate Notes Due January 2047 - Current Rating: Baa2
ACA Aquarius 2006-1, Ltd.
U.S.$74,500,000 Class B2 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2046 - Current Rating:
Baa2
U.S.$20,000,000 Class B3 Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2046 - Current Rating:
Baa3
Arca Funding 2006-I, Ltd.
U.S.$17,000,000 Class IV Funded Senior
Notes Due 2046 - Current Rating: Aa3
U.S.$17,000,000 Class V Funded Mezzanine
Notes Due 2046 - Current Rating: A2
U.S.$17,000,000 Class VI Funded Mezzanine
Notes Due 2046 - Current Rating: Baa2
U.S.$7,000,000 Class VII Funded Mezzanine
Notes Due 2046 - Current Rating: Baa3
U.S.$7,000,000 Class VIII Funded Mezzanine
Notes Due 2046 - Current Rating: Ba1
ARLO VI Limited 2006-5 (SABS)
U.S. $15,000,000 Variable Secured Limited
Recourse Credit-Linked Notes due 2040 - Current Rating:
Aa3
ARLO VI Limited Series 2006 (Army Pier 1)
U.S. $7,500,000 Variable Secured Limited
Recourse Credit-Linked Notes due 2047 - Current Rating:
A1
ARLO VI Limited Series 2006 (Charleston Springs)
U.S. $10,000,000 Secured Limited Recourse
Credit-Linked Notes due 2039 - Current Rating: A3
ARLO VI Limited Series 2006 (Hominy Hill)
U.S. $28,750,000 Secured Limited Recourse
Credit-Linked Notes due 2039 - Current Rating: Aaa
ARLO VI Limited Series 2006 (Howell Park)
U.S. $28,750,000 Secured Limited Recourse
Credit-Linked Notes due 2039 - Current Rating: Aaa
ARLO VI Limited Series 2006 (Marine Pier 1)
U.S. $15,000,000 Variable Secured Limited
Recourse Credit-Linked Notes due 2047 - Current Rating:
Aa2
ARLO VI Limited Series 2006 (Old Orchard)
U.S. $28,750,000 Secured Limited Recourse
Credit-Linked Notes due 2039 - Current Rating: Aaa
ARLO VI Limited Series 2006 (Pine Brook)
U.S. $28,750,000 Secured Limited Recourse
Credit-Linked Notes due 2039 - Current Rating: Aaa
ARLO VI Limited Series 2006 (Shark River)
U.S. $10,000,000 Secured Limited Recourse
Credit-Linked Notes due 2039 - Current Rating: A3
ARLO VI Limited Series 2006 (South Pier 1)
U.S. $7,500,000 Variable Secured Limited
Recourse Credit-Linked Notes due 2047 - Current Rating:
A2
ARLO VI Limited Series 2006-8 (SABS) Class B
U.S. $12,500,000 Class B Variable Secured
Limited Recourse Credit-Linked Notes due 2046 - Current
Rating: A2
Auriga CDO Ltd.
U.S. $51,000,000 Class F Eighth Priority
Mezzanine Secured Deferrable Floating Rate Notes due January 2047 -
Current Rating: Baa2
U.S. $28,500,000 Class G Ninth Priority
Mezzanine Secured Deferrable Floating Rate Notes due January 2047 -
Current Rating: Baa3
U.S. $43,500,000 Class H Ninth Priority
Junior Secured Deferrable Floating Rate Notes due January 2047 -
Current Rating: Baa3
U.S. $22,500,000 Class I Ninth Priority
Junior Secured Deferrable Floating Rate Notes due January 2047 -
Current Rating: Ba2
Ayresome CDO I,Ltd.
Class D Notes - Current Rating: Baa2
Azalea Series 2007-1C
Azalea Series 2007-1C ABS Portfolio Variable Rate Notes due Februrary
2046 - Current Rating: Baa1
BFC Silverton CDO, Ltd.
U.S. $56,250,000 Class C Senior Floating
Rate Notes Due 2046 - Current Rating: Aa2
U.S. $30,000,000 Class D Floating Rate
Deferrable Notes Due 2046 - Current Rating: A2
U.S. $26,250,000 Class E Floating Rate
Deferrable Notes Due 2046 - Current Rating: Baa2
U.S. $7,500,000 Class F Floating Rate
Deferrable Notes Due 2046 - Current Rating: Ba1
Capital Guardian ABS CDO I
Class B Second Priority Senior Secured Floating Rate Notes due April 2037
- Current Rating: Ba1
CETUS ABS CDO 2006-1, LTD.
U.S.$50,000,000 Class A-2 Floating
Rate Senior Secured Notes Due 2046 - Current Rating: Aa2
U.S.$55,000,000 Class B Floating Rate
Deferrable Subordinate Secured Notes Due 2046 - Current Rating:
A2
U.S.$40,000,000 Class C Floating Rate
Deferrable Junior Subordinate Secured Notes Due 2046 - Current
Rating: Baa2
U.S.$30,000,000 Class D Floating Rate
Deferrable Junior Subordinate Secured Notes Due 2046 - Current
Rating: Ba1
Cetus ABS CDO 2006-2, Ltd. A-2
U.S.$50,000,000 Class A-2 Floating
Rate Senior Secured Notes Due 2046 - Current Rating: Aa2
Cetus ABS CDO 2006-2, Ltd. B
U.S.$55,000,000 Class B Floating Rate
Deferrable Subordinate Secured Notes Due 2046 - Current Rating:
A2
Cetus ABS CDO 2006-2, Ltd. C
U.S.$40,000,000 Class C Floating Rate
Deferrable Junior Subordinate Secured Notes Due 2046 - Current
Rating: Baa2
Cetus ABS CDO 2006-3, Ltd.
U.S.$ 65,000,000 Class C-1 Floating
Rate Deferrable Secured Notes Due 2051 - Current Rating:
A2
U.S.$ 26,000,000 Class C-2 Floating
Rate Deferrable Secured Notes Due 2051 - Current Rating:
A3
U.S.$ 43,000,000 Class D-1 Floating
Rate Deferrable Secured Notes Due 2051 - Current Rating:
Baa2
U.S.$ 15,500,000 Class X Fixed Rate Deferrable
Secured Notes Due 2051 - Current Rating: Baa3
U.S.$ 8,000,000 Class D-2 Floating
Rate Deferrable Secured Notes Due 2051 - Current Rating:
Baa3
U.S.$ 6,000,000 Class E Floating Rate
Deferrable Secured Notes Due 2051 - Current Rating: Ba1
Cetus ABS CDO 2006-4, Ltd.
U.S.$30,000,000 Class E Floating Rate
Deferrable Junior Subordinate Secured Notes Due 2047 - Current
Rating: Ba2
Charles River CDO I, Ltd.
U.S.$4,800,000 Class C Fixed Rate Notes
Due December 9, 2037 - Current Rating: Ba2
Commodore CDO I, Limited
$17,550,000 Class C Floating Rate Notes - Current
Rating: Ba2
Commodore CDO V, Ltd.
U.S.$24,000,000 Class D Seventh Priority
Mezzanine Secured Deferrable Floating Rate Notes Due 2047 - Current
Rating: Baa2
U.S.$8,500,000 Class E Eighth Priority
Mezzanine Secured Deferrable Floating Rate Notes Due 2047 - Current
Rating: Ba1
Diogenes CDO II Ltd.
Class C - Current Rating: A2
Class D - Current Rating: Baa2
Class E - Current Rating: Ba1
E*TRADE ABS CDO I, LTD.
Class B Third Priority Senior Secured Floating Rate Notes - Current
Rating: A2
Class C-1 Mezzanine Secured Floating Rate Notes - Current
Rating: Ca
Class C-2 Mezzanine Secured Fixed Rate Notes - Current Rating:
Ca
Composite Shares - Current Rating: Ca
Preference Shares - Current Rating: Ca
Eirles Two Limited - Series 251
Series 251 - Current Rating: A3
Eirles Two Limited - Series 252
Series 252 - Current Rating: Baa2
Eirles Two Limited - Series 261
Series 261 - Current Rating: A2
Gemstone CDO VI Ltd.
U.S.$10,500,000 Class E Floating Rate
Deferrable Interest Notes due August 2046 - Current Rating:
Ba2
GSC ABS CDO 2006-1c, Ltd.
Class C - Current Rating: Baa2
GSC ABS CDO 2006-2m, Ltd.
U.S.$21,000,000 Class E Seventh Priority
Mezzanine Deferrable Floating Rate Notes due 2045 - Current Rating:
Baa2
U.S.$5,000,000 Class F Eighth Priority
Mezzanine Deferrable Floating Rate Notes due 2045 - Current Rating:
Ba1
U.S.$5,000,000 Class G Ninth Priority
Mezzanine Deferrable Floating Rate Notes due 2045 - Current Rating:
Ba2
GSC ABS CDO 2006-4u, Ltd.
U.S.$33,000,000 Class B Mezzanine Secured
Deferrable Floating Rate Notes due 2046 - Current Rating:
Baa2
U.S.$10,000,000 Class C Mezzanine Secured
Deferrable Floating Rate Notes due 2046 - Current Rating:
Ba1
Hudson Mezzanine Funding 2006-1, Ltd.
U.S.$230,000,000 Class B Floating Rate
Notes Due 2042 - Current Rating: Aa2
U.S.$170,000,000 Class C Deferrable Floating
Rate Notes Due 2042 - Current Rating: A2
U.S.$84,000,000 Class D Deferrable Floating
Rate Notes Due 2042 - Current Rating: Baa2
U.S.$26,000,000 Class E Deferrable Floating
Rate Notes Due 2042 - Current Rating: Ba1
Independence II CDO, Ltd
Class B Second Priority Senior Secured Floating Rate Notes - Current
Rating: Ba1
Independence V CDO, LTD
Series 1 Preference Shares with an Aggregate Liquidation Preference of
U.S.$19,100,000 - Current Rating:
Ba3
Series 2 Preference Shares with an Aggregate Liquidation Preference of
U.S.$5,500,000 - Current Rating:
Ba3
Ipswich Street CDO, Ltd.
U.S. $7,900,000 Class E Sixth Priority
Mezzanine Secured Deferrable Floating Rate Notes - Current Rating:
Ba1
Ischus Mezzanine CDO III, Ltd.
U.S. $20,000,000 Class D Mezzanine Secured
Deferrable Floating Rate Notes Due 2046 - Current Rating:
Baa2
U.S. $7,000,000 Class E Secured Deferrable
Floating Rate Notes Due 2046 - Current Rating: Ba1
Ischus Synthetic ABS CDO 2006-2 Ltd.
U.S.$41,000,000 Class B-1L Floating
Rate Notes Due October 2045 - Current Rating: Baa2
U.S.$11,000,000 Class B-2L Floating
Rate Notes Due October 2045 - Current Rating: Ba1
Ivy Lane CDO Ltd.
U.S.$19,000,000 Class B Floating Rate
Subordinate Secured Notes Due 2046-1 - Current Rating:
A2
U.S.$25,000,000 Class C Floating Rate
Junior Subordinate Secured Notes Due 2046-1 - Current Rating:
Baa2
IXIS ABS CDO 2 LTD.
U.S. $21,000,000 Class C Secured Floating
Rate Deferrable Notes Due 2046 - Current Rating: A2
U.S. $15,000,000 Class D Secured Floating
Rate Deferrable Notes Due 2046 - Current Rating: Baa2
U.S. $4,000,000 Class E Secured Floating
Rate Deferrable Notes Due 2046 - Current Rating: Ba1
IXIS ABS CDO 3 Ltd.
U.S.$22,000,000 Class B-1L Floating
Rate Notes Due December 2046 - Current Rating: Baa2
U.S.$8,000,000 Class B-2L Floating
Rate Notes Due December 2046 - Current Rating: Ba1
Jackson 2006-I Segregated Portfolio
Jackson 2006-I Variable Floating Rate Notes Due 2046 - Current
Rating: Aaa
Jackson 2006-IA Segregated Portfolio
U.S.$50,000,000 Variable Floating Rate
Notes Due 2046 - Current Rating: Aaa
Jackson 2006-II Segregated Portfolio
U.S.$5,000,000 Variable Floating Rate
Notes Due 2046 - Current Rating: Aa2
Jackson 2006-IIA Segregated Portfolio
U.S.$50,000,000 Variable Floating Rate
Notes Due 2046 - Current Rating: Aa2
Jackson 2006-III Segregated Portfolio
U.S.$12,000,000 Variable Floating Rate
Notes Due 2046 - Current Rating: Aa3
Jackson 2006-IV Segregated Portfolio
U.S.$33,000,000 Variable Floating Rate
Notes Due 2046 - Current Rating: A1
Jackson 2006-V Segregated Portfolio
?26,787,794 Variable Floating Rate Notes Due 2046 -
Current Rating: A3
Kefton CDO I, Ltd.
U.S.$27,000,000 Class V Mezzanine Floating
Rate Deferrable Notes Due January 2047 - Current Rating:
A2
U.S.$24,000,000 Class VI Mezzanine Floating
Rate Deferrable Notes Due January 2047 - Current Rating:
Baa2
U.S.$8,000,000 Class VII Mezzanine Floating
Rate Deferrable Notes Due January 2047 - Current Rating:
Ba1
Knollwood CDO Ltd.
Class C Mezzanine Secured Floating Rate Notes due January 8, 2039
- Current Rating: Baa2
Lacerta ABS CDO 2006-1, Ltd.
U.S. $110,000,000 Class B Floating Rate
Deferrable Interest Secured Notes Due 2046 - Current Rating:
A2
U.S. $80,000,000 Class C Floating Rate
Deferrable Interest Secured Notes Due 2046 - Current Rating:
Baa2
U.S. $30,000,000 Class D Floating Rate
Deferrable Interest Secured Notes Due 2046 - Current Rating:
Ba1
U.S. $40,000,000 Class E Floating Rate
Deferrable Interest Secured Notes Due 2046 - Current Rating:
Ba2
Longport Funding Ltd.
Class C Senior Secured Floating Rate Notes - Current Rating:
A2
14,000 Preference Shares - Current Rating: Ba3
Class D-1 Mezzanine Secured Floating Rate Notes - Current
Rating: Baa2
Class D-2 Mezzanine Secured Fixed Rate Notes - Current Rating:
Baa2
Longridge ABS CDO I, Ltd.
U.S.$12,000,000 Class E Mezzanine Deferrable
Secured Floating Rate Notes Due 2047 - Current Rating: Baa3
U.S.$8,000,000 Class F Mezzanine Deferrable
Secured Floating Rate Notes Due 2047 - Current Rating: Ba1
Longshore CDO Funding 2006-2, Ltd.
Class D Floating Rate Deferrable Interest Notes Due 2046 - Current
Rating: Baa2
Longstreet CDO I, Ltd.
U.S.$20,000,000 Class D Fifth Priority
Mezzanine Secured Floating Rate Notes due November 2046 - Current
Rating: A2
U.S.$10,000,000 Class E Sixth Priority
Mezzanine Secured Floating Rate Notes due November 2046 - Current
Rating: Baa2
U.S.$10,000,000 Class F Seventh Priority
Mezzanine Secured Floating Rate Notes due November 2046 - Current
Rating: Baa3
U.S.$8,000,000 Class G Eighth Priority
Mezzanine Secured Floating Rate Notes due November 2046 - Current
Rating: Ba1
Magnolia Finance II Series 2006-9A
Series 2006-9A USD 55,000,000 ABS Portfolio Variable
Rate Notes due March 2045 - Current Rating: Aaa
Magnolia Finance II Series 2006-9B
Series 2006-9B USD 50,000,000 ABS Portfolio Variable
Rate Notes due March 2045 - Current Rating: Aa2
Magnolia Finance II Series 2006-9E2
Series 2006-9E2 USD 4,250,000 ABS Portfolio Variable
Rate Notes due November 2037 - Current Rating: Baa2
Magnolia Finance II Series 2006-9F1
Series 2006-9F1 USD 3,000,000 ABS Portfolio Variable
Rate Notes due February 2046 - Current Rating: Baa3
Magnolia Finance II Series 2006-9F2
Series 2006-9F2 USD 4,250,000 ABS Portfolio Variable
Rate Notes due November 2037 - Current Rating: Baa3
Mercury CDO 2004-1, Ltd.
U.S.$17,000,000 Class C Fourth Priority
Mezzanine Secured Floating Rate Notes - Current Rating: Baa2
Midori CDO, Ltd.
U.S. $14,000,000 Class D Secured Floating
Rate Deferrable Notes Due 2047 - Current Rating: Baa2
U.S. $5,500,000 Class E Secured Floating
Rate Deferrable Notes Due 2047 - Current Rating: Baa3
MKP CBO VI, Ltd.
Class B Third Priority Senior Secured Floating Rate Notes due 2051 -
Current Rating: Aa2
Class C Mezzanine Secured Deferrable Floating Rate Notes due 2051 -
Current Rating: A2
Class D Mezzanine Secured Deferrable Floating Rate Notes due 2051 -
Current Rating: Baa2
MKP Vela CBO, Ltd.
U.S.$97,500,000 Class C Secured Deferrable
Floating Rate Notes due 2046 - Current Rating: A2
U.S.$67,500,000 Class D Mezzanine Secured
Deferrable Floating Rate Notes due 2046 - Current Rating:
Baa2
U.S.$25,650,000 Class X-1 Secured
Deferrable Fixed Rate Notes due 2046 - Current Rating: Baa3
U.S.$25,650,000 Class X-2 Secured
Deferrable Fixed Rate Notes due 2046 - Current Rating: Ba3
Montrose Harbor CDO I, Ltd.
U.S.$21,250,000 Class D Sixth Priority
Mezzanine Deferrable Secured Floating Rate Notes Due 2051 - Current
Rating: Baa2
Octans II CDO Ltd.
U.S.$51,000,000 Class D Deferrable Secured
Floating Rate Notes Due 2051 - Current Rating: Baa2
U.S.$45,000,000 Class X-1 Deferrable
Secured Fixed Rate Notes Due 2051 - Current Rating: Baa3
Octans III CDO, Ltd.
U.S.$40,000,000 Class C Floating Rate
Deferrable Interest Secured Notes Due 2047 - Current Rating:
Baa2
U.S.$15,000,000 Class D Floating Rate
Deferrable Interest Secured Notes Due 2047 - Current Rating:
Ba1
U.S.$20,000,000 Class E Floating Rate
Deferrable Interest Secured Notes Due 2047 - Current Rating:
Ba2
Orchid Structured Finance CDO, Ltd.
Class A-2 Floating Rate Term Notes - Current Rating:
Aaa
Class B Floating Rate Term Notes - Current Rating: A2
Class C-1 Floating Rate Term Notes - Current Rating:
A3
Class C-2 Fixed Rate Term Notes - Current Rating:
A3
Pampelonne Mezz Swap D2
U.S. $ 12,500,000 Initial Tranche Notional
Amount Credit Default Swap - Current Rating: A2
Pine Mountain CDO II Ltd.
$23,000,000 Class D Deferrable Interest Floating Rate
Notes Due November 30, 2046 - Current Rating: Baa2
$6,250,000 Class E Deferrable Interest Floating Rate
Notes Due November 30, 2046 - Current Rating: Ba1
Porter Square CDO II, Ltd.
17,000 Preference Shares - Current Rating: Ba3
Portfolio Credit Default Swap (Augusta Peak Mezzanine Swap)
U.S. $ 11,250,000 Initial Tranche Notional
Amount Credit Default Swap - Current Rating: Baa2
Portfolio Credit Default Swap (Bison Peak Mezzanine Swap)
U.S. $ 11,250,000 Initial Tranche Notional
Amount Credit Default Swap - Current Rating: Baa2
Portfolio Credit Default Swap (Caribou Peak Mezzanine Swap)
U.S. $ 11,250,000 Initial Tranche Notional
Amount Credit Default Swap - Current Rating: Baa2
Portfolio Credit Default Swap (Grays Peak Mezzanine Swap)
U.S. $ 11,250,000 Initial Tranche Notional
Amount Credit Default Swap - Current Rating: Baa2
Portfolio Credit Default Swap (Ptarmigan Peak Mezzanine Swap)
U.S. $ 11,250,000 Initial Tranche Notional
Amount Credit Default Swap - Current Rating: Baa2
Saybrook Point CBO II, Limited
US $12,000,000 Class C-1 Floating Rate Secured
Notes, Due 2035 - Current Rating: Baa2
US $6,000,000 Class C-2 Floating Rate Secured
Notes, Due 2035 - Current Rating: Baa2
Saybrook Point CBO, Limited
Class A Floating Rate Senior Notes, Due 2031 - Current Rating:
Aa1
Class B Floating Rate Senior Secured Notes, Due 2036 - Current
Rating: A3
Class C Fixed Rate Senior Secured Notes, Due 2036 - Current
Rating: Ca
Sherwood III ABS CDO, Ltd.
U.S.$24,000,000 Class B Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047 - Current Rating:
Baa2
U.S.$7,000,000 Class C Mezzanine Secured
Deferrable Interest Floating Rate Notes Due 2047 - Current Rating:
Ba2
Solstice II
U.S. $22,000,000 Class C Mezzanine Floating
Rate Notes due 2038 - Current Rating: B3
16,000 Class 2 Preference shares(U.S. $16,000,000
aggregate liquidation preference) - Current Rating: Ca
5000 Class1 Pref.shares($5,000,000 aggregate
liquidation preference) - Current Rating: Ca
South Coast Funding II, LTD
Class A-3 Floating Rate Notes due 2037 - Current Rating:
Aa2
Class B Floating Rate Senior Subordinate Notes - Current Rating:
Ba1
South Coast Funding IX Ltd
$34,500,000 Class C Fourth Priority Mezzanine Secured
Floating Rate Deferrable Notes Due 2047 - Current Rating:
A2
$24,000,000 Class D Fifth Priority Mezzanine Secured
Floating Rate Deferrable Notes Due 2047 - Current Rating:
Baa2
$11,500,000 Class E Sixth Priority Mezzanine Secured
Floating Rate Deferrable Notes Due 2047 - Current Rating:
Baa3
$7,500,000 Class F Seventh Priority Mezzanine Secured
Floating Rate Deferrable Notes Due 2047 - Current Rating:
Ba1
Springdale CDO 2006-1 Ltd.
U.S.$25,000,000 Class D Secured Floating
Rate Deferrable Interest Notes Due March 2051 - Current Rating:
Baa2
U.S.$10,000,000 Class E Secured Floating
Rate Deferrable Interest Notes Due March 2051 - Current Rating:
Ba1
Stack 2006-1 Ltd.
U.S. $5,000,000 Class VII Mezzanine Floating
Rate Deferrable Notes Due 2046 - Current Rating: Ba1
STACK 2006-2 Ltd.
U.S.$27,000,000 Class V Mezzanine Floating
Rate Deferrable Notes Due 2047 - Current Rating: A2
U.S.$42,000,000 Class VI Mezzanine Floating
Rate Deferrable Notes Due 2047 - Current Rating: Baa2
Static Residential CDO 2006-B Ltd.
Class C Deferrable Interest Floating Rate Notes, due 2037 -
Current Rating: A3
Class D Deferrable Interest Floating Rate Notes, due 2037 -
Current Rating: Baa3
TABS 2005-3, Ltd.
U.S.$18,000,000 Class D Secured Floating
Rate Deferrable Interest Term Notes Due 2045 - Current Rating:
Baa2
TABS 2006-5
Class A3L - Current Rating: A2
Class B1L - Current Rating: Baa1
Class B2L - Current Rating: Baa2
Class B3L - Current Rating: Baa3
Class CL - Current Rating: Ba2
TIAA Structured Finance CDO II, Limited
$21,000,000 Class B Floating Rate Term Notes,
Due 2038 - Current Rating: Aa2
$11,250,000 Class C-2 Fixed Rate Term Notes,
Due 2038 - Current Rating: Baa2
$6,000,000 Class C-1 Floating Rate Term Notes,
Due 2038 - Current Rating: Baa2
Trainer Wortham First Republic CBO III, Limited
Class C Mezzanine Secured Floating Rate Notes Due 2038 (the "Class C Notes")
- Current Rating: A2
Class D Mezzanine Secured Floating Rate Notes Due 2038 (the "Class D Notes")
- Current Rating: Baa2
Preference Shares (the "Preference Shares")(collectively, the "Notes")
- Current Rating: Ba2
Webster CDO I, Ltd.
U.S.$9,000,000 Class B-3L Floating
Rate Deferrable Notes Due April 2047 - Current Rating: Ba1
43,000,000 Preference Shares, Par Value U.S.
$0.001 Per Share - Current Rating: B2
New York
John Park
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Jonathan Polansky
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
