Moody's downgrades notes issued by 118 structured finance CDO transactions
London, 19 December 2008 -- Moody's Investors Service announced today that it has downgraded its ratings
of 273 Notes issued by certain collateralised debt obligation transactions
backed by structured finance securities ("SF CDOs"), each of which
originated in 2005 - 2007.
Moody's explained that the rating actions taken today are the result of
the application of revised and updated key modelling parameter assumptions
that Moody's uses to rate and monitor ratings of SF CDOs. The revisions
affect the three key parameters in Moody's model for rating SF CDOs:
asset correlation, default probability and recovery rate.
Moody's announced the changes to these assumptions in a press release
titled "Moody's Updates its Key Assumptions for Rating Structured Finance
CDOs," published on December 11, 2008.
Moody's noted that the lowered ratings remain on review for possible downgrade
due to the continuing weakness in the performance of and outlook for structured
finance securities that back SF CDOs.
Moody's initially analysed and continues to monitor these transactions
using primarily the methodology and its supplements for ABS CDOs as described
in Moody's Special Reports below:
Moody's Approach to Rating Multisector CDOs (15/09/2000)
Moody's Approach to Rating Synthetic Resecuritizations (29/10/2003)
Moody's Revisits its Assumptions Regarding Structured Finance Default
(and Asset) Correlations for CDOs (27/06/2005)
Moody's Modeling Approach to Rating Structured Finance Cash Flow CDO Transactions
(26/09/2005)
Moody's anticipates that in the coming days it will announce additional
rating actions applicable to SF CDOs of earlier vintages as the revised
assumptions are applied to those transactions.
For more information please see www.moodys.com
Today's rating actions are as follows:
Issuer: Anthracite Euro CRE CDO 2006-1 plc
(1) Class A Senior Floating Rate Notes due 2042
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 18 December 2006
(2) Class B Senior Floating Rate Notes due 2042
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1
Prior Rating Date: 18 December 2006
(3) Class C Deferrable Interest Floating Rate Notes due 2042
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 18 December 2006
(4) Class D Deferrable Interest Floating Rate Notes due 2042
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2
Prior Rating Date: 18 December 2006
(5) Class E Deferrable Interest Floating Rate Notes due 2042
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2
Prior Rating Date: 18 December 2006
Issuer: Argon Capital PLC - Series 77 (Lagonda)
(1) EUR 10,200,000 Limited Recourse Secured Variable Rate
Credit-Linked Notes due 2047
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 27 April 2007
Issuer: Argon Capital Plc - Series 84, 85 and 87
(1) Series 84 EUR 25,500,000 Limited Recourse secured Variable
Rate Credit-Linked Notes due 2047-1
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 23 October 2008
(2) Series 85 EUR 23,000,000 Limited Recourse secured Variable
Rate Credit-Linked Notes due 2047-2
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 23 October 2008
(3) Series 87 EUR 10,500,000 Limited Recourse secured Variable
Rate Credit-Linked Notes due 2047-4
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2
Prior Rating Date: 20 September 2007
Issuer: Arosa Funding Limited - Series 2006-6
(1) €20,000,000 Secured Credit-Linked Floating
Rate Notes due 2013
Current Rating: Ba1
Prior Rating: Baa1
Prior Rating Date: 04 June 2007
Issuer: Avebury Finance CDO p.l.c.
(1) USD 9,700,000 Class X Floating Rate Notes due 2012
Current Rating: Aaa, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 28 June 2006
(2) USD 879,500,000 Class A-1A Revolving Floating Rate
Notes due 2051
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 02 July 2008
Issuer: Baker Street Finance Limited / Baker Street USD Finance
Limited
(1) EUR 137,500,000 Class A-1a Floating Credit Linked
Notes
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(2) EUR 90,200,000 Class A2 Floating Credit Linked Notes
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(3) EUR 89,100,000 Class B Floating Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(4) EUR 68,750,000 Class C Floating Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(5) EUR 55,000,000 Class D Floating Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(6) EUR 110,000,000 Class A-1b Floating Credit Linked
Notes
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(7) EUR 92,400,000 Class A-1c Floating Credit Linked
Notes
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(8) USD 8,400,000 Class A1-USD Floating Credit-Linked
Notes-1
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(9) USD 8,200,000 Class A2-USD Floating Credit-Linked
Notes-2
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(10) USD 8,100,000 Class B-USD Floating Credit-Linked
Notes-3
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(11) USD 6,250,000 Class C-USD Floating Credit-Linked
Notes-4
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(12) USD 5,000,000 Class D-USD Floating Credit-Linked
Notes-5
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
Issuer: Bantry Bay CDO I P.L.C.
(1) USD 127,000,000 Class A-1 Floating Rate Notes,
due 2052
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 17 June 2008
Issuer: Cairn High Grade ABS CDO I PLC
(1) USD 911,000,000 Class A1 Delayed Draw Floating Rate Notes
due 2055
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 05 August 2008
(2) USD 20,000,000 Class A2 Floating Rate Notes due 2055
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 05 August 2008
(3) USD 20,000,000 Class B Floating Rate Notes due 2055
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 05 August 2008
Issuer: Cheyne CLO Investments I Limited
(1) Supersenior Financial Guarantee
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 04 April 2005
(2) Class A
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1
Prior Rating Date: 04 April 2005
(3) Class B
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2
Prior Rating Date: 04 April 2005
(4) Class C
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 04 April 2005
(5) Class D
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2
Prior Rating Date: 04 April 2005
(6) Class E
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1
Prior Rating Date: 04 April 2005
Issuer: Chrome Funding Limited Series 15 to 17 (Odeon CDO notes)
(1) Series 15 Class A Tranche 1 (Odeon CDO)-1
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 23 June 2008
(2) Series 16 Class B Tranche 1 (Odeon CDO)
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 23 June 2008
Issuer: Claris IV Limited - Carmel Valley Series 5
(1) SERIES 5/2006 EUR 40,000,000 Carmel Valley 2006-3
Synthetic CDO of RMBS
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 24 July 2008
Issuer: Claris IV Limited - Carmel Valley Series 6
(1) SERIES 6/2006 EUR 5,000,000 Carmel Valley 2006-3
Synthetic CDO of RMBS
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 24 July 2008
Issuer: Claris IV Limited - Leibnitz
(1) Series 8 Tranche 1 Leibnitz 2006-1 Synthetic CDO of RMBS Variable
Rate Notes due 2046
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 June 2008
(2) Series 9 Tranche 1 Leibnitz 2006-1 Synthetic CDO of RMBS Variable
Rate Notes due 2046
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 13 March 2008
Issuer: Claris IV Limited - Series 7 CARMEL VALLEY
(1) SERIES 7/2006 USD 17,500,000 Carmel Valley 2006-3
Synthetic CDO of RMBS
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 24 July 2008
Issuer: Claris IV Limited - Sonoma Valley 2006-1
(1) USD 35,000,000 Series 80
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 23 November 2006
(2) USD 61,000,000 Series 75
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 23 November 2006
(3) USD 23,000,000 Series 74
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 23 November 2006
(4) USD 5,000,000 Series 73
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 23 November 2006
(5) USD 25,000,000 Series 72
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 23 November 2006
Issuer: Claris Limited - Napa Valley IV Synthetic CDO of
ABS
(1) Series 51/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes
Current Rating: Caa2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 01 May 2008
(2) Series 52/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 01 May 2008
(3) Series 54/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes
Current Rating: Ba1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 01 May 2008
(4) Series 55/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes
Current Rating: Ba1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 01 May 2008
Issuer: Claris Limited - Napa Valley XI Series 102 -
103 - 107
(1) Series 102/2007 Tranche 1 JPY 2,000,000,000 Napa
Valley XI Synthetic CDO of ABS Floating Rate Notes due 2027
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 19 August 2008
(2) Series 103/2007 Tranche 1 EUR 30,000,000 Napa Valley XI
Synthetic CDO of ABS Floating Rate Notes due 2027
Current Rating: Ba1, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 19 August 2008
(3) Series 107/2007 Tranche 1 JPY 1,000,000,000 Napa
Valley XI Synthetic CDO of ABS Floating Rate Notes due 2027
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 19 August 2008
Issuer: Claris Limited - Series 108, 109 & 110
(Millesime 2007-3)
(1) Series 108/2007-Tranche 1- JPY 1,000,000,000
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 25 July 2007
(2) Series 109/2007 - Tranche 1- JPY 2,300,000,000
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 25 July 2007
(3) Series 110/2007-Tranche 1-EUR 13,000,000
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 25 July 2007
Issuer: Claris Limited - Series 96/2007 (Sonoma Valley 2007-3)
(1) Series 96/2007 Tranche 1 USD 10,000,000 Sonoma Valley
2007-3 Synthetic CDO of CMBS Variable Notes due 2037
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 24 May 2007
Issuer: Claris Limited - Voltaire Credit-Linked Notes
(1) Series 43/2005 Voltaire Floating Rate Credit Linked Notes-1
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 20 November 2008
(2) Series 45/2005 Voltaire Fixed Rate Credit Linked Notes
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2
Prior Rating Date: 20 November 2008
Issuer: Claris Limited (Napa Valley V(II) Equity Tranche)
(1) SERIES 66/2006 TRANCHE 1 EUR 20,000,000 Napa Valley V(II)
Synthetic CDO of ABS Floating Rate Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 01 May 2008
Issuer: Claris Limited (Napa Valley V(II) Mezzanine Tranche)
(1) SERIES 67/2006 TRANCHE 1 EUR 40,000,000 Napa Valley V(II)
Synthetic CDO of ABS Floating Rate Notes
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 01 May 2008
Issuer: Claris Limited Napa Valley IX Series 81
(1) SERIES 81 TRANCHE 1 JPY 1,000,000,000 Napa Valley
IX Synthetic CDO of ABS Floating Rate Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 16 June 2008
Issuer: Claris Limited Series 101/2007 Napa Valley X CDO of ABS
Floating Rate Notes
(1) Series 101/2007
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 June 2008
Issuer: Claris Limited Series 38/2005 (Napa Valley III)
(1) Series 38/2005 Napa Valley III
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 01 May 2008
Issuer: Claris Limited Series 59 to 62 (Napa Valley V)
(1) Series 59/2005 Tranche 1 Napa Valley V Synthetic CDO of ABS Floating
Rate Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 02 May 2008
(2) Series 60/2005 Tranche 1 Napa Valley V Synthetic CDO of ABS Floating
Rate Notes
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 02 May 2008
(3) Series 61/2005 Tranche 1 Napa Valley V Synthetic CDO of ABS Variable
Rate Notes
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 02 May 2008
Issuer: Claris Limited Series 63/2006 (Napa Valley 2006-1)
(1) Series 63/2006 Tranche 1 Napa Valley 2006-1 Synthetic CDO of
ABS Floating Rate Note
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 07 May 2008
Issuer: Claris Limited Series 88 & 89 (Millesime 2007-2
Portfolio)
(1) Series 88/2007-1
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 30 March 2007
(2) Series 89/2007-1
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 30 March 2007
Issuer: Claris Limited Series 99/2007 - Napa Valley X
(1) Series 99/2007
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 June 2008
Issuer: Clifton Street Finance Limited
(1) Class A-1
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 24 November 2008
(2) Class A-2
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 24 November 2008
(3) Class B
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 24 November 2008
(4) Class C
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 24 November 2008
Issuer: Cloverie Plc - Series 2004-72, 2004-77
& 2005-04 (US Onyx)
(1) USD 50,000,000 Class C Secured Floating Rate Series 2005-04
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-07 (US Onyx)
(1) USD 25,000,000 Class C Secured Floating Rate Series 2005-07
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 27 May 2005
Issuer: Cloverie Plc - Series 2005-33 (US Onyx)
(1) Series 2005-33 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-34 (US Onyx)
(1) Series 2005-34 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-35 (US Onyx)
(1) Series 2005-35 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-46 (US Onyx)
(1) Series 2005-46 - USD 15,000,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-47 (US Onyx)
(1) Series 2005-47 - USD 15,000,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-48 (US Onyx)
(1) Series 2005- 48 - USD 15,000,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie Plc - Series 2005-49 (US Onyx)
(1) Series 2005- 49 - USD 15,000,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 02 June 2008
Issuer: Cloverie plc - Series 2005-74
(1) Series 2005-74 - Euro 40,000,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2020
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2
Prior Rating Date: 16 September 2005
Issuer: Cloverie plc - Series 2005-78, 79,
80 & 81 (Maracana)
(1) Series 2005-78 - USD 15,000,000 Class S-2
Secured Floating Rate Portfolio Credit Linked Notes due 2043
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 08 May 2008
(2) Series 2005-79 - USD 15,000,000 Class S-4
Secured Floating Rate Portfolio Credit Linked Notes due 2043
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 08 May 2008
(3) Series 2005-80 - USD 15,000,000 Class A
Secured Floating Rate Portfolio Credit Linked Notes due 2043
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 08 May 2008
(4) Series 2005-81 - USD 15,000,000 Class B
Secured Floating Rate Portfolio Credit Linked Notes due 2043
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 08 May 2008
Issuer: Cloverie Plc - Series 2006-1/2/3
(1) Series 2006-1 - Class A Secured Floating Rate Portfolio
Credit Linked Notes due 2045-1
Current Rating: Ba1, on review for possible downgrade
Prior Rating: Baa1, on review for possible downgrade
Prior Rating Date: 21 May 2008
(2) Series 2006-2 - Class B Secured Floating Rate Portfolio
Credit Linked Notes due 2045-2
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 21 May 2008
(3) Series 2006-3 - Class D Secured Floating Rate Portfolio
Credit Linked Notes due 2045-3
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 21 May 2008
Issuer: Coriolanus Limited Series 30
(1) Series 30 USD 35,000,000 Floating Rate Portfolio Credit
Linked Secured Notes due 2040
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2
Prior Rating Date: 22 September 2005
Issuer: Coriolanus Limited Series 63 and 69
(1) Coriolanus Limited Series 69 USD 5,000,000 Class B Floating
Rate Secured Notes due 2046-2
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 01 July 2008
Issuer: Corsair (Jersey) No 4 Limited - Series 11
(1) Series 11 Floating Rate Step-down Secured Portfolio CLN
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 30 July 2007
Issuer: Credit Derivative Transaction Sonoma Valley 2006-1
(1) USD 23,000,000 Sonoma Valley swap
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 23 November 2006
Issuer: Credit Derivative Transactions Sonoma Valley II 2006-1
(1) USD 44,000,000 Sonoma Valley II Swap
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 23 November 2006
Issuer: Curzon Funding Limited Series 2005-1 (HORIZON CDO
Series)
(1) Series 2005-1 Horizon Class A Variable Coupon Notes
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 19 November 2008
(2) Series 2005-1 Horizon Class B Variable Coupon Notes
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 19 November 2008
(3) Series 2005-1 Horizon Class C Variable Coupon Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 19 November 2008
Issuer: Curzon Funding Limited Series 2005-2 (Horizon IIIE)
(1) Series 2005-2 Horizon IIIE Class A Variable Coupon Notes
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 19 November 2008
(2) Series 2005-2 Horizon IIIE Class B Variable Coupon Notes
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 19 November 2008
(3) Series 2005-2 Horizon IIIE Class C Variable Coupon Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 19 November 2008
Issuer: Curzon Funding Limited Series 2006-1 (Horizon CDO
VI)
(1) Series 2006-1 Class A Variable Coupon Notes
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 11 July 2008
(2) Series 2006-1 Class B Variable Coupon Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 11 July 2008
(3) Series 2006-1 Class C Variable Coupon Notes
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 11 July 2008
(4) Series 2006-1 Class D Variable Coupon Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 11 July 2008
Issuer: Curzon Funding Limited Series 2006-3 (Horizon CDO
VIII)
(1) Series 2006-3 Class A Floating Coupon Notes
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 04 August 2008
(2) Series 2006-3 Class B Floating Coupon Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 04 August 2008
Issuer: Delta CDO plc
(1) Series 2005-1 B-1 Floating Rate Credit Linked Secured
Notes due 2039
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 06 May 2008
(2) Series 2005-1 C-1 Floating Rate Credit Linked Secured
Notes due 2039
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 06 May 2008
(3) Series 2005-1 D-1 Floating Rate Credit Linked Secured
Notes due 2039
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 06 May 2008
Issuer: Delta CDO plc - Series 2005-2
(1) Series 2005-2 B-1 Floating Rate Credit Linked Secured
Notes due 2045-1
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 10 November 2008
Issuer: KBC Investments Cayman Islands Ltd - Super Senior
CDS Dorset Street Finance Limited
(1) Super Senior Swap Dorset Street Finance Limited
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 30 October 2008
Issuer: Dorset Street Finance Limited
(1) Class A1 Floating Credit Linked Notes
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(2) Class A2 Floating Credit Linked Notes
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(3) Class B Floating Credit Linked Notes
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(4) Class C Floating Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(5) Class D Floating Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(6) Class E Floating Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
Issuer: Dublin Oak Ltd.
(1) USD 207,000,000 Class A Credit-Linked Notes due
2086-1
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 06 August 2008
(2) USD 90,000,000 Class B Credit-Linked Notes due
2086
Current Rating: Ba1, on review for possible downgrade
Prior Rating: Baa1, on review for possible downgrade
Prior Rating Date: 06 August 2008
(3) USD 2,700,000,000 Super Senior Swap
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 30 July 2007
Issuer: Eirles Two Limited Series 176
(1) Series 176 USD 20,000,000 Floating Rate Portfolio Credit
Linked Secured Notes due 2040
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 06 May 2005
(2) Series 176 USD 17,000,000 Floating Rate Portfolio Credit
Linked Secured Notes due 2040
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 17 June 2005
Issuer: Eirles Two Limited Series 181
(1) Series 181 USD 50,000,000 Floating Rate Portfolio Credit
Linked Secured Notes due 2045
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3, on review for possible downgrade
Prior Rating Date: 08 May 2008
Issuer: Eirles Two Limited Series 198
(1) Series 198 EUR 25,000,000 Floating Rate Portfolio Credit
Linked Secured Notes due 2093
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 11 August 2005
Issuer: Eirles Two Limited Series 273 & 274
(1) Series 273
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 23 May 2008
Issuer: Eirles Two Limited Series 300
(1) Series 300
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 15 April 2008
Issuer: ELM B.V. - LABS Series 2007-1
(1) EUR 50,000,000 Series 2007-1 - LABS due
2027
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 29 March 2007
Issuer: ELM B.V. - Series 57 - Leveraged
Asset Backed Securities 2006-3
(1) EUR 22,500,000 Floating Rate Credit Linked Secured Notes
due 2026
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 04 July 2006
Issuer: ELM B.V. - Series 79 - Leveraged
Asset-Backed Securities 2006-4
(1) EUR 22,500,000 Floating Rate Credit Linked Secured Notes
due 2026
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 14 July 2006
Issuer: ELM B.V. Series 118 LABS 2007-3
(1) Series 118 Variable Coupon Leveraged Asset Backed Securities 2007-3
due 2027
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 17 December 2007
Issuer: ELM B.V. Series 41
(1) EUR 84,000,000 Floating Rate Credit Linked Secured Notes
due 2056
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 21 March 2006
Issuer: ELM B.V. Series 48 - Leveraged Asset
Backed Securities 2006-2
(1) EUR 22,500,000 Floating Rate Credit Linked Secured Notes
due 2056
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 04 July 2006
Issuer: FAB CBO 2005-1 B.V.
(1) Class A1 Floating Rate Notes
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa, on review for possible downgrade
Prior Rating Date: 25 November 2008
(2) Class A2 Floating Rate Notes
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 25 November 2008
Issuer: Faxtor HG 2007-1
(1) Class A-1M Floating Rate Delayed Draw Secured Notes due 2049
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 09 April 2008
Issuer: G Square Finance 2007-1 Ltd
(1) Class A-1 Senior Secured Floating Rate Notes due 2052
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 01 July 2008
Issuer: Gennaker I CDO Limited
(1) U.S. $521,700,000 Class A-1A
Floating Rate Notes Due 2045
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 01 December 2008
(2) U.S. $0 Class A-1B Floating Rate Notes
Due 2045
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 01 December 2008
(3) U.S. $25,800,000 Class A-2
Floating Rate Notes Due 2045
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 01 December 2008
(4) U.S. $12,900,000 Class B Floating
Rate Notes Due 2045
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 01 December 2008
(5) U.S. $13,560,000 Class C Deferrable
Floating Rate Notes Due 2045
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 01 December 2008
Issuer: Hanover Street Finance Limited
(1) Class A1 Floating Rate Credit-Linked Notes
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(2) Class A2 Floating Rate Credit-Linked Notes
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(3) Class B Floating Rate Credit-Linked Notes
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(4) Class C Floating Rate Credit-Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(5) Class D Floating Rate Credit-Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(6) Class E Floating Rate Credit-Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
Issuer: Isara - Astir B.V. Series 18
(1) Series 18 Class A2 EUR 30,000,000 Floating Rate Variable
Coupon Amount Credit Linked Notes due 2019
Current Rating: Ba1, on review for possible downgrade
Prior Rating: Baa1, on review for possible downgrade
Prior Rating Date: 25 November 2008
Issuer: Lagonda CDO
(1) EUR 30,000,000 Lagonda CDO CDS
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 18 January 2007
(2) EUR 135,000,000 Lagonda CDO CDS Super Senior Tranche
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 27 April 2007
Issuer: Logan CDO II Limited
(1) Super Senior Swap
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 18 June 2008
Issuer: Lunar Funding V plc - Series 36 & 37
(1) Series 2007-36 Notes due 2052
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 18 June 2008
Issuer: Mainsail CDO I Limited
(1) Mainsail CDO I Ltd - jr. super senior tranche #1
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 11 July 2008
Issuer: Mill Reef SCDO 2005-1 LTD
(1) Super Senior Swap
Current Rating: Ba1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 11 August 2008
(2) Class A-1L
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 11 August 2008
(3) Class X
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 11 August 2008
Issuer: New Bond Street CDO 1 plc
(1) US$2,500,000 Class X Floating Rate Notes due 2015
Current Rating: Aaa, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 18 July 2006
(2) US$700,000,000 Class A1 Floating Rate Delayed Draw
Notes due 2066
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 10 October 2008
Issuer: New Bond Street CDO 2 plc
(1) US$1,750,000 Class X Floating Rate Notes due 2015
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa, on review for possible downgrade
Prior Rating Date: 10 October 2008
Issuer: North Sea Island CDO I Limited
(1) Series of Class A Floating Rate Notes Due September 2095
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 28 November 2008
Issuer: Omega Capital Europe p.l.c. Series
41 (Sycamore)
(1) Class A Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 23 May 2008
(2) Class A-Bis Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 23 May 2008
(3) Class A-J Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 23 May 2008
(4) Class B Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 May 2008
(5) Class B-Fixed Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 May 2008
(6) Class B-U Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 May 2008
(7) Class B-J Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 23 May 2008
(8) Class C Notes
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 23 May 2008
Issuer: Omega Capital Europe p.l.c. Series
46 (Sycamore Series 2)
(1) Class A Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 11 September 2008
(2) Class C Notes
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 11 September 2008
Issuer: Omega Capital Europe plc Series 50 (Sycamore Series 3-Bis
Pf1)
(1) Class AE-10 Notes
Current Rating: Ba1
Prior Rating: Aa3, on review for possible downgrade
Prior Rating Date: 14 August 2008
(2) Class CE-10 Notes
Current Rating: B3
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 14 August 2008
Issuer: Oxford Street Finance Limited
(1) Class A1
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 24 November 2008
(2) Class A2
Current Rating: Ba1, on review for possible downgrade
Prior Rating: Baa1, on review for possible downgrade
Prior Rating Date: 24 November 2008
(3) Class B
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 24 November 2008
(4) Class C
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: 24 November 2008
(5) Class D
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 24 November 2008
(6) Class E
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 24 November 2008
Issuer: Palmer Square 2 plc
(1) Class X Floating Rate Notes due 2045
Current Rating: Aaa, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 26 October 2005
(2) Class A1-M Floating Rate Notes due 2045
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 20 November 2008
(3) Class A1-Q Floating Rate Notes due 2045
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 20 November 2008
Issuer: Palmer Square plc
(1) Class A1-A Floating Rate Notes due 2045
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 07 November 2008
(2) Class A1-A Exchange Offer Floating Rate Notes due 2045
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 07 November 2008
Issuer: Panther CDO III B.v.
(1) Class A Senior Secured Floating Rate Notes due December 2080
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 22 September 2005
(2) Class B Senior Secured Deferrable Floating Rate Notes due December2080
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2
Prior Rating Date: 22 September 2005
(3) Class C1 Senior Secured Deferrable Floating Rate Notes due December
2080
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 22 September 2005
(4) Class C2 Senior Secured Deferrable Fixed Rate Notes due December 2080
Current Rating: Baa2
Prior Rating: A2
Prior Rating Date: 22 September 2005
(5) Class P Combination Notes due December 2080
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2
Prior Rating Date: 22 September 2005
Issuer: Pembridge Square Finance Limited
(1) EUR 17,000,000 Class A1 Floating Rate Credit Linked Notes
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(2) EUR 80,000,000 Class A2 Floating Rate Credit Linked Notes
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(3) EUR 70,000,000 Class B Floating Rate Credit Linked Notes
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(4) EUR 60,000,000 Class C Floating Rate Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(5) EUR 50,000,000 Class D Floating Rate Credit Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: 14 October 2008
Issuer: Regent Street Finance Limited
(1) Class A1 Floating Rate Credit-Linked Notes
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 14 October 2008
(2) Class A2 Floating Rate Credit-Linked Notes
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: 14 October 2008
(3) Class B Floating Rate Credit-Linked Notes
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(4) Class C Floating Rate Credit-Linked Notes
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(5) Class D Floating Rate Credit-Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 14 October 2008
(6) Class E Floating Rate Credit-Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for downgrade
Prior Rating Date: 14 October 2008
(7) Class F Floating Rate Credit-Linked Notes
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for downgrade
Prior Rating Date: 14 October 2008
Issuer: Renoir CDO B.V.
(1) Class A Floating Rate Notes
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 19 April 2005
(2) Class B Deferrable Floating rate Notes
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1
Prior Rating Date: 19 April 2005
(3) Class C Deferrable Floating Rate Notes
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 19 April 2005
(4) Class D-2 Deferrable Floating Rate Notes
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3
Prior Rating Date: 19 April 2005
(5) Class D-1 Deferrable Fixed Rate Notes
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3
Prior Rating Date: 19 April 2005
(6) Combination Notes
Current Rating: B2, on review for possible downgrade
Prior Rating: Ba2
Prior Rating Date: 19 April 2005
Issuer: Royal Bank of Canada, London Branch - Logan
CDO III Tranche SS
(1) Royal Bank of Canada London Logan CDO III
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 09 September 2008
Issuer: Salisbury International Investments Limited
(1) Series 2005-10 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 08 May 2008
(2) Series 2005- 11 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 08 May 2008
(3) Series 2005- 12 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 08 May 2008
(4) Series 2005- 13 - USD 18,750,000 Class C
Secured Floating Rate Portfolio Linked Notes due 2025
Current Rating: Caa2, on review for possible downgrade
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: 08 May 2008
Issuer: Salisbury International Investments Ltd - Series
2006-1
(1) USD 41,000,000 Class M-2 Secured Floating Rate
Portfolio Credit Linked Notes due 2046
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for downgrade
Prior Rating Date: 13 March 2008
Issuer: SGA Societe Generale Acceptance N.V. -
Voltaire Credit-Linked Notes
(1) Series 9945/05-12 Tranche 1 Voltaire Floating Rate Credit-Linked
Note
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2
Prior Rating Date: 19 December 2005
Issuer: Sheffield CDO, Ltd.
(1) Class S Senior Secured Floating Rate Notes due 2041
Current Rating: Aaa, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 26 April 2006
(2) Class A-1 Senior Secured Floating Rate Notes due 2041
Current Rating: Aa2, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 26 April 2006
(3) Class A-1D Delayed Draw Senior Secured Floating Rate Note due
2041
Current Rating: Aa2, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 26 April 2006
(4) Class A-2 Senior Secured Floating Rate Notes due 2041
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 23 October 2008
(5) Class B Senior Secured Floating Rate Notes due 2041
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2
Prior Rating Date: 23 October 2008
(6) Class C Deferrable Interest Secured Floating Rate Notes due 2041
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for downgrade
Prior Rating Date: 13 December 2007
(7) Class D Deferrable Interest Secured Floating Rate Notes due 2041
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 23 October 2008
(8) Class T Combination Notes due 2041
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2, on review for possible downgrade
Prior Rating Date: 23 October 2008
Issuer: Sierra Valley 2007-1
(1) Claris Ltd Series 111/2007 Sierra Valley 2007-1
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 05 September 2007
(2) Claris Ltd Series 112/2007 Sierra Valley 2007-1
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 05 September 2007
(3) Claris Ltd Series 113/2007 Sierra Valley 2007-1
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 05 September 2007
Issuer: Société Générale - Credit
Default Swap (Millesime 2007-2 portfolio)
(1) Credit default swap ref EXO-1224830
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 30 March 2007
Issuer: Société Générale - Credit
Default Swap (Millesime 2007-3 portfolio)
(1) Credit Default Swap Ref: EXO-1359959
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 25 July 2007
Issuer: Société Générale - Credit
Default Swap (Napa Valley IX portfolio)
(1) Credit Default Swap
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 16 June 2008
Issuer: Societe Generale Securities - Napa Valley VI
(1) Napa Valley VI Credit Default Swap
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 07 May 2008
Issuer: Sonoma Valley 2006-2
(1) Series 83 EUR 8,000,000
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 07 March 2007
(2) Series 84 USD 7,000,000
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 07 March 2007
(3) Series 86 USD 40,000,000
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 07 March 2007
Issuer: Sonoma Valley 2007-2
(1) Series 95/2007 Tranche II EUR 40,000,000 Sonoma Valley
2007-2 Synthetic CDO of CMBS Variable Notes due 2046
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 04 May 2007
(2) Series 90/2007 EUR 25,000,000 Sonoma Valley 2007-2
Synthetic CDO of CMBS Variable Notes due 2046
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 05 April 2007
(3) Series 95/2007 Tranche 1 EUR 15,000,000 Sonoma Valley
2007-2 Synthetic CDO of CMBS Variable Notes due 2046
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 05 April 2007
Issuer: Sonoma Valley 2007-3 Series 104-105-106
(1) SERIES 104/2007 TRANCHE 1 EUR 10,000,000 Sonoma Valley
2007 3 Synthetic CDO of CMBS Variable Notes due 2049-1
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 28 June 2007
(2) SERIES 105/2007 TRANCHE 1 USD 31,500,000 Sonoma Valley
2007 3 Synthetic CDO of CMBS Variable Notes due 2049-2
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 28 June 2007
(3) SERIES 106/2007 TRANCHE 1 USD 15,000,000 Sonoma Valley
2007 3 Synthetic CDO of CMBS Variable Notes due 2049-3
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1
Prior Rating Date: 28 June 2007
Issuer: Stanton ABS I p.l.c.
(1) Euro 232,000,000 Class A-1 Notes due 2096
Current Rating: Aa2, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 19 May 2005
(2) Euro 23,000,000 Class A-2 Notes due 2096
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 19 May 2005
(3) Euro 12,500,000 Class A-3 Notes due 2096
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1
Prior Rating Date: 19 May 2005
(4) Euro 12,500,000 Class A-4 Deferrable Interest Notes
due 2096
Current Rating: Baa2, on review for possible downgrade
Prior Rating: A2
Prior Rating Date: 19 May 2005
(5) Euro 12,000,000 Class B-1 Deferrable Interest Notes
due 2096
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3
Prior Rating Date: 19 May 2005
Issuer: Stanton Vintage CDO P.L.C.
(1) Class A Senior Floating Rate Notes due in 2048
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 23 October 2008
(2) Class B Deferrable Floating Rate Notes due 2048
Current Rating: A2, on review for possible downgrade
Prior Rating: Aa2, on review for possible downgrade
Prior Rating Date: 13 December 2007
(3) Class C Deferrable Floating Rate Notes due 2048
Current Rating: B1, on review for possible downgrade
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: 23 October 2008
(4) Class D Deferrable Floating Rate Notes due 2048
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 23 October 2008
(5) Class P Combination Notes due 2048
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 23 October 2008
Issuer: Sydney Street Finance Limited
(1) Class A-1
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2, on review for possible downgrade
Prior Rating Date: 24 November 2008
(2) Class A-2
Current Rating: Ba3, on review for possible downgrade
Prior Rating: Baa3, on review for possible downgrade
Prior Rating Date: 24 November 2008
(3) Class B
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: 24 November 2008
(4) Class C
Current Rating: Caa3, on review for possible downgrade
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: 24 November 2008
(5) Class D
Current Rating: Caa3, on review for possible downgrade
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: 24 November 2008
Issuer: TABS 2005-02 Oakville
(1) U.S.$263,000,000 Class A-1
Senior Secured Floating Rate Notes due 2045
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1, on review for possible downgrade
Prior Rating Date: 26 June 2008
(2) U.S.$28,400,000 Class A-2
Senior Secured Floating Rate Notes due 2045
Current Rating: Caa1, on review for possible downgrade
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: 26 June 2008
Issuer: UBS AG, Jersey Branch - eLevate Series 2007-1
(1) Adjustable Spread Leveraged Notes - eLevate Series 2007-1
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 30 May 2007
Issuer: UBS AG, Jersey Branch - eLevate Series 2007-2
(1) Adjustable Spread Leveraged Notes - eLevate Series 2007-2
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 22 August 2007
Issuer: UBS AG, Jersey Branch - LABS 2006-1
(1) EUR 75,000,000 Leveraged Asset-backed Securities
due 2056
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 06 June 2006
Issuer: UBS AG, Jersey Branch - Series 2005-1
(eLevate)
(1) EUR 22,500,000 Leveraged Notes (eLevate) Series 2005-1
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 21 December 2005
Issuer: UBS AG, London Branch - EUR 225,000,000
Syndicated Loan Facility to TREES
(1) EUR 225,000,000 Syndicated loan facility to TREES
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 21 November 2006
Issuer: Zoo ABS II B.V.
(1) Class X Senior Secured Floating Rate Notes due 2015
Current Rating: Aaa, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 22 December 2005
(2) Class A-1 Senior Secured Floating Rate Notes due 2096
Current Rating: Aa2, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 22 December 2005
(3) Class A-1D Delayed Draw Senior Secured Floating Rate Notes
due 2096
Current Rating: Aa2, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 22 December 2005
(4) Class A-2 Senior Secured Floating Rate Notes due 2096
Current Rating: Aa3, on review for possible downgrade
Prior Rating: Aaa
Prior Rating Date: 22 December 2005
(5) Class B Senior Secured Floating Rate Notes due 2096
Current Rating: A1, on review for possible downgrade
Prior Rating: Aa1
Prior Rating Date: 22 December 2005
(6) Class C Deferrable Interest Secured Floating Rate Notes due 2096
Current Rating: Baa1, on review for possible downgrade
Prior Rating: A1
Prior Rating Date: 22 December 2005
(7) Class D Deferrable Interest Secured Floating Rate Notes due 2096
Current Rating: Ba2, on review for possible downgrade
Prior Rating: Baa2
Prior Rating Date: 22 December 2005
(8) Class E Deferrable Interest Secured Floating Rate Notes due 2096
Current Rating: B3, on review for possible downgrade
Prior Rating: Ba3
Prior Rating Date: 22 December 2005
(9) Class P Combination Notes due 2096
Current Rating: Ba1, on review for possible downgrade
Prior Rating: Baa1
Prior Rating Date: 22 December 2005
(10) Class Q Combination Notes due 2096
Current Rating: Baa3, on review for possible downgrade
Prior Rating: A3
Prior Rating Date: 22 December 2005
(11) Class R Combination Notes due 2096
Current Rating: A3, on review for possible downgrade
Prior Rating: Aa3
Prior Rating Date: 22 December 2005
New York
Jian Hu
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
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
