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Related Issuers
Anthracite Euro CRE CDO 2006-1 plc
Argon Capital PLC - Series 77 (Lagonda)
Argon Capital Plc - Series 84, 85 and 87
Arosa Funding Limited - Series 2006-6
Avebury Finance CDO p.l.c.
Baker Street Finance Limited / Baker Street USD Finance Limited
Bantry Bay CDO I P.L.C.
Cairn High Grade ABS CDO I PLC
Cheyne CLO Investments I Limited
Chrome Funding Limited Series 15 to 17 (Odeon CDO notes)
Claris IV Limited - Carmel Valley Series 5
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Rating Action:

Moody's downgrades notes issued by 118 structured finance CDO transactions

19 Dec 2008
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

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