London, 23 April 2009 -- Moody's Investors Service has downgraded its ratings of 188 Notes issued
by 91 European collateralized debt obligation (CDO) transactions which
have significant exposure to US and European residential mortgage-backed
securities (RMBS) and other asset-backed securities (ABS).
Moody's also confirmed the ratings of 27 Notes.
Today's rating actions are a response to credit deterioration in the underlying
portfolio due to expectations of increased losses in the underlying RMBS
and ABS assets, and to updates in the key assumptions Moody's makes
when rating these transactions.
The rating actions listed below reflect Moody's revised loss projections
for RMBS securities and Moody's updated key assumptions for rating structured
finance CDOs (SF CDOs). The revised loss projections for RMBS can
be seen in press releases: "Moody's updates loss projections for
'06 and '07 Alt-A RMBS" (22 January 2009), and "Moody's updates
loss projections for Option ARMs RMBS" (5 February 2009), as well
as in the methodology paper "Subprime RMBS Loss Projection Update,
March 2009" (5 March 2009).
Moody's explained that the rating actions take into account the application
of revised and updated key modelling parameter assumptions that Moody's
uses to rate and monitor ratings of SF CDOs. (See press release
"Moody's updates its key assumptions for rating structured finance CDOs,"
11 December 2008). The revisions affect the three key parameters
in Moody's model for rating SF CDOs: asset correlation, default
probability and recovery rate.
For a large number of these deals, especially the synthetic structures,
the size of the Caa, Ca and C rated assets in the individual portfolios
was greater than the credit enhancement under the tranches, resulting
in rating downgrades to Ca or C on those tranches.
Moody's initially analyzed and continues to monitor these transactions
using primarily the methodology and its supplements for CDOs as described
in Moody's Special Report below, as well as the revised parameters
mentioned above:
--Moody's Approach to Rating SF CDOs (March 2009)
These reports can be found at www.moodys.com in the Credit
Policy & Methodologies directory, in the Ratings Methodologies
subdirectory. Other methodologies and factors that may have been
considered in the process of rating this issue can also be found in the
Credit Policy & Methodologies directory.
Today's rating actions are as follows:
Argon Capital Plc - Series 60, 61, 62 (Palesto 3)
USD 51,000,000 Series 60 Limited Recourse Secured Credit-Linked
Floating Rate Notes due 2051, Downgraded to C; previously on
04 August 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
USD 36,000,000 Series 61 Limited Recourse Secured Credit-Linked
Floating Rate Notes due 2051, Downgraded to C; previously on
04 August 2008 Downgraded to Ca
USD 12,600,000 Series 62 Limited Recourse Secured Credit-Linked
Floating Rate Notes due 2051, Downgraded to C; previously on
04 August 2008 Downgraded to Ca
Argon Capital Plc - Series 84, 85 and 87
Series 84 EUR 25,500,000 Limited Recourse secured Variable
Rate Credit-Linked Notes due 2047-1, Downgraded to
Caa2; previously on 19 December 2008 Downgraded to A1 and remains
on Review for Possible Downgrade
Series 85 EUR 23,000,000 Limited Recourse secured Variable
Rate Credit-Linked Notes due 2047-2, Downgraded to
Caa3; previously on 19 December 2008 Downgraded to A2 and remains
on Review for Possible Downgrade
Series 87 EUR 10,500,000 Limited Recourse secured Variable
Rate Credit-Linked Notes due 2047-4, Downgraded to
Ca; previously on 19 December 2008 Downgraded to Ba2 and Placed Under
Review for Possible Downgrade
Avebury Finance CDO p.l.c.
USD 879,500,000 Class A-1A Revolving Floating Rate
Notes due 2051, Downgraded to Ca; previously on 19 December
2008 Downgraded to B3 and remains on Review for Possible Downgrade
USD 55,000,000 Class A-2 Floating Rate Notes due 2051,
Downgraded to C; previously on 2 July 2008 Downgraded to Ca
Bantry Bay CDO I P.L.C.
Class A-1 Floating Rate Notes, due 2052, Downgraded
to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class A-2 Floating Rate Notes, due 2052, Downgraded
to C; previously on 17 June 2008 Downgraded to Ca
Cairn High Grade ABS CDO I PLC
Class A1 Delayed Draw Floating Rate Notes, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Baa1 and remains on Review
for Possible Downgrade
Class A2 Floating Rate Notes, Downgraded to C; previously on
19 December 2008 Downgraded to Caa2 and remains on Review for Possible
Downgrade
Class B Floating Rate Notes, Downgraded to C; previously on
19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class C Deferrable Floating Rate Notes, Downgraded to C; previously
on 05 August 2008 Downgraded to Ca
Camber 4 plc
Class A1-A Floating Rate Notes due 2053, Downgraded to Caa3;
previously on 22 December 2008 Downgraded to Ba3 and remains on Review
for Possible Downgrade
Class A2 Floating Rate Notes due 2053, Downgraded to C; previously
on 15 August 2008 Downgraded to Ca
Class A3 Floating Rate Notes due 2053, Downgraded to C; previously
on 15 August 2008 Downgraded to Ca
Class B Floating Rate Notes due 2053, Downgraded to C; previously
on 15 August 2008 Downgraded to Ca
Chrome Funding Limited Series 15 to 17 (Odeon CDO notes)
Series 15 Class A Tranche 1 (Odeon CDO)-1, Downgraded to
C; previously on 19 December 2008 Downgraded to Caa2 and remains
on Review for Possible Downgrade
Series 16 Class B Tranche 1 (Odeon CDO), Downgraded to C; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Series 17 Class C Tranche 1 (Odeon CDO), Downgraded to C; previously
on 23 June 2008 Downgraded to Ca
Chrome Funding Ltd -- Series 23 -- 30 (Green Bay)
Series 23 Class I US$ 33,000,000 Floating Rate Variable
Spread Credit Linked Notes due October 2046, Downgraded to C;
previously on 25 April 2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
Series 24 Class II US$ 28,500,000 Floating Rate Variable
Spread Credit Linked Notes due October 2046, Downgraded to C;
previously on 25 April 2008 Downgraded to Ca
Series 25 Class III US$ 28,000,000 Floating Rate Variable
Spread Credit Linked Notes due October 2046, Downgraded to C;
previously on 25 April 2008 Downgraded to Ca
Claris IV Limited - Carmel Valley Series 5
SERIES 5/2006 EUR 40,000,000 Carmel Valley 2006-3 Synthetic
CDO of RMBS, Downgraded to C; previously on 19 December 2008
Downgraded to Caa1 and remains on Review for Possible Downgrade
Claris IV Limited - Carmel Valley Series 6
SERIES 6/2006 EUR 5,000,000 Carmel Valley 2006-3 Synthetic
CDO of RMBS, Downgraded to C; previously on 19 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Claris IV Limited - Leibnitz
Series 8 Tranche 1 Leibnitz 2006-1 Synthetic CDO of RMBS Variable
Rate Notes due 2046, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Series 9 Tranche 1 Leibnitz 2006-1 Synthetic CDO of RMBS Variable
Rate Notes due 2046, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Series 10 Tranche 1 Leibnitz 2006-1 Synthetic CDO of RMBS Variable
Rate Notes due 2046, Downgraded to C; previously on 23 June
2008 Downgraded to Ca
Claris IV Limited - Series 7 CARMEL VALLEY
SERIES 7/2006 USD 17,500,000 Carmel Valley 2006-3 Synthetic
CDO of RMBS, Downgraded to C; previously on 19 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Claris Limited - Napa Valley IV Synthetic CDO of ABS
Series 51/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Caa2 and remains on Review for Possible Downgrade
Series 52/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Series 54/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Ba1 and remains on Review for Possible Downgrade
Series 55/2005 Tranche 1 Napa Valley IV Synthetic CDO of ABS Floating
Rate Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Ba1 and remains on Review for Possible Downgrade
Claris Limited - Napa Valley XI Series 102 - 103 -
107
Series 102/2007 Tranche 1 JPY 2,000,000,000 Napa Valley
XI Synthetic CDO of ABS Floating Rate Notes due 2027, Downgraded
to C; previously on 19 December 2008 Downgraded to Caa2 and remains
on Review for Possible Downgrade
Series 103/2007 Tranche 1 EUR 30,000,000 Napa Valley XI Synthetic
CDO of ABS Floating Rate Notes due 2027, Downgraded to C; previously
on 19 December 2008 Downgraded to Ba1 and remains on Review for Possible
Downgrade
Series 107/2007 Tranche 1 JPY 1,000,000,000 Napa Valley
XI Synthetic CDO of ABS Floating Rate Notes due 2027, Downgraded
to C; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Claris Limited - Series 91/2007-Napa Valley X Synthetic
CDO of ABS Floating Rate Notes due 2027
Series 91/2007, Downgraded to C; previously on 23 June 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Claris Limited - Series 96/2007 (Sonoma Valley 2007-3)
Series 96/2007 Tranche 1 USD 10,000,000 Sonoma Valley 2007-3
Synthetic CDO of CMBS Variable Notes due 2037, Confirmed at Baa1;
previously on 19 December 2008 Downgraded to Baa1 and Placed Under Review
for Possible Downgrade
Claris Limited (Napa Valley V(II) Equity Tranche)
SERIES 66/2006 Tranche 1 EUR 20,000,000 Napa Valley V(II)
Synthetic CDO of ABS Floating Rate Notes, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Claris Limited (Napa Valley V(II) Mezzanine Tranche)
SERIES 67/2006 Tranche 1 EUR 40,000,000 Napa Valley V(II)
Synthetic CDO of ABS Floating Rate Notes, Downgraded to C;
previously on 19 December 2008 Downgraded to Ba2 and remains on Review
for Possible Downgrade
Claris Limited Napa Valley IX Series 81
SERIES 81 Tranche 1 JPY 1,000,000,000 Napa Valley IX
Synthetic CDO of ABS Floating Rate Notes, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Claris Limited Series 101/2007 Napa Valley X CDO of ABS Floating Rate
Notes
Series 101/2007, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Claris Limited Series 25/2004 (Millesime)
Series 25, Confirmed at Baa3; previously on 22 December 2008
Downgraded to Baa3 and Placed Under Review for Possible Downgrade
Claris Limited Series 29/2004
Series 29/2004 Tranche 1 Euro 40,000,000 Napa Valley II Synthetic
CDO of ABS Floating Rate Notes due 2024, Downgraded to Caa3;
previously on 22 December 2008 Downgraded to A3 and remains on Review
for Possible Downgrade
Claris Limited Series 38/2005 (Napa Valley III)
Series 38/2005 Napa Valley III, Downgraded to Ca; previously
on 19 December 2008 Downgraded to B1 and remains on Review for Possible
Downgrade
Claris Limited Series 59 to 62 (Napa Valley V)
Series 59/2005 Tranche 1 Napa Valley V Synthetic CDO of ABS Floating Rate
Notes, Downgraded to Ca; previously on 19 December 2008 Downgraded
to B2 and remains on Review for Possible Downgrade
Series 60/2005 Tranche 1 Napa Valley V Synthetic CDO of ABS Floating Rate
Notes, Downgraded to C; previously on 19 December 2008 Downgraded
to B3 and remains on Review for Possible Downgrade
Series 61/2005 Tranche 1 Napa Valley V Synthetic CDO of ABS Variable Rate
Notes, Downgraded to C; previously on 19 December 2008 Downgraded
to B3 and remains on Review for Possible Downgrade
Claris Limited Series 63/2006 (Napa Valley 2006-1)
Series 63/2006 Tranche 1 Napa Valley 2006-1 Synthetic CDO of ABS
Floating Rate Note, Downgraded to C; previously on 19 December
2008 Downgraded to Caa2 and remains on Review for Possible Downgrade
Claris Limited Series 99/2007 - Napa Valley X
Series 99/2007, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Cloverie Plc - Ghibli CDO I
Seires 2004-26 Class A, Downgraded to C; previously
on 22 December 2008 Downgraded to A1 and remains on Review for Possible
Downgrade
Series 2004-27 Class B, Downgraded to C; previously
on 22 December 2008 Downgraded to Caa2 and remains on Review for Possible
Downgrade
Cloverie Plc - Series 2004-72, 2004-77 &
2005-04 (US Onyx)
EUR 30,000,000 Class C Secured Floating Rate Portfolio Linked
Notes due 2024, Confirmed at A1; previously on 22 December
2008 Downgraded to A1 and remains on Review for Possible Downgrade
EUR 50,000,000 Class C Secured Floating Rate Series 77,
Confirmed at A1; previously on 22 December 2008 Downgraded to A1
and remains on Review for Possible Downgrade
USD 50,000,000 Class C Secured Floating Rate Series 2005-04,
Confirmed at A1; previously on 19 December 2008 Downgraded to A1
and remains on Review for Possible Downgrade
Cloverie Plc - Series 2005-33 (US Onyx)
Series 2005-33 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Baa1 and remains on Review
for Possible Downgrade
Cloverie Plc - Series 2005-34 (US Onyx)
Series 2005-34 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Baa1 and remains on Review
for Possible Downgrade
Cloverie Plc - Series 2005-35 (US Onyx)
Series 2005-35 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Baa1 and remains on Review
for Possible Downgrade
Cloverie Plc - Series 2005-46 (US Onyx)
Series 2005-46 - USD 15,000,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to B3 and remains on Review
for Possible Downgrade
Cloverie Plc - Series 2005-47 (US Onyx)
Series 2005-47 - USD 15,000,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa1 and remains on Review
for Possible Downgrade
Cloverie Plc - Series 2005-48 (US Onyx)
Series 2005- 48 - USD 15,000,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to B3 and remains on Review
for Possible Downgrade
Cloverie Plc - Series 2005-49 (US Onyx)
Series 2005- 49 - USD 15,000,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to B2 and remains on Review
for Possible Downgrade
Cloverie plc - Series 2005-74
Series 2005-74 - Euro 40,000,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2020, Downgraded to C;
previously on 19 December 2008 Downgraded to A2 and Placed Under Review
for Possible Downgrade
Cloverie plc - Series 2005-78, 79, 80 &
81 (Maracana)
Series 2005-78 - USD 15,000,000 Class S-2
Secured Floating Rate Portfolio Credit Linked Notes due 2043, Downgraded
to C; previously on 19 December 2008 Downgraded to Caa2 and remains
on Review for Possible Downgrade
Series 2005-79 - USD 15,000,000 Class S-4
Secured Floating Rate Portfolio Credit Linked Notes due 2043, Downgraded
to C; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Series 2005-80 - USD 15,000,000 Class A Secured
Floating Rate Portfolio Credit Linked Notes due 2043, Downgraded
to C; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Series 2005-81 - USD 15,000,000 Class B Secured
Floating Rate Portfolio Credit Linked Notes due 2043, Downgraded
to C; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Cloverie Plc - Series 2006-1/2/3
Series 2006-1 - Class A Secured Floating Rate Portfolio
Credit Linked Notes due 2045-1, Downgraded to C; previously
on 19 December 2008 Downgraded to Ba1 and remains on Review for Possible
Downgrade
Series 2006-2 - Class B Secured Floating Rate Portfolio
Credit Linked Notes due 2045-2, Downgraded to C; previously
on 19 December 2008 Downgraded to B1 and remains on Review for Possible
Downgrade
Series 2006-3 - Class D Secured Floating Rate Portfolio
Credit Linked Notes due 2045-3, Downgraded to C; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Cloverie plc - Series 64-65 (Brera)
Series 2004-64 USD 37,500,000 Class A Brera CDO I Secured
Floating Rate Portfolio Credit Linked Notes due 2030, Downgraded
to C; previously on 22 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Series 2004-65 USD 50,000,000 Class B Brera CDO I Secured
Floating Rate Portfolio Credit Linked Notes due 2030, Downgraded
to C; previously on 15 July 2008 Downgraded to Ca
Coriolanus Limited Series 30
Series 30 USD 35,000,000 Floating Rate Portfolio Credit Linked
Secured Notes due 2040, Confirmed at A2; previously on 19 December
2008 Downgraded to A2 and Placed Under Review for Possible Downgrade
Coriolanus Limited Series 32 (Tsar 10 Class B Swap)
Series 32 USD60,000,000 Floating and Variable Rate Secured
Notes, Downgraded to C; previously on 15 August 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Coriolanus Limited Series 63 and 69
Coriolanus Limited Series 63 USD 50,000,000 Class B Floating
Rate Secured Notes due 2046-1, Downgraded to C; previously
on 01 July 2008 Downgraded to Ca
Coriolanus Limited Series 69 USD 5,000,000 Class B Floating
Rate Secured Notes due 2046-2, Downgraded to C; previously
on 19 December 2008 Downgraded to B3 and remains on Review for Possible
Downgrade
Credit Derivative Transaction Sonoma Valley 2006-1
USD 23,000,000 Sonoma Valley swap, Confirmed at A3;
previously on 19 December 2008 Downgraded to A3 and Placed Under Review
for Possible Downgrade
Credit Derivative Transactions Sonoma Valley II 2006-1
USD 44,000,000 Sonoma Valley II Swap, Confirmed at A3;
previously on 19 December 2008 Downgraded to A3 and Placed Under Review
for Possible Downgrade
Delta CDO plc
Series 2005-1 B-1 Floating Rate Credit Linked Secured Notes
due 2039, Downgraded to C; previously on 19 December 2008 Downgraded
to Ba2 and remains on Review for Possible Downgrade
Series 2005-1 C-1 Floating Rate Credit Linked Secured Notes
due 2039, Downgraded to C; previously on 19 December 2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
Series 2005-1 D-1 Floating Rate Credit Linked Secured Notes
due 2039, Downgraded to C; previously on 19 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Delta CDO plc - Series 2005-2
Series 2005-2 B-1 Floating Rate Credit Linked Secured Notes
due 2045-1, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Series 2005-2 C-1 Floating Rate Credit Linked Secured Notes
due 2045-1, Downgraded to C; previously on 10 November
2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade
Series 2005-2 E-1 Floating Rate Credit Linked Secured Notes
due 2045, Downgraded to C; previously on 10 November 2008 Downgraded
to Ca
Deutsche Bank AG (London Branch) - Tsar 11
Class B Swap, Downgraded to C; previously on 27 June 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class C Swap, Downgraded to C; previously on 27 June 2008 Downgraded
to Ca
Class D Swap, Downgraded to C; previously on 27 June 2008 Downgraded
to Ca
Class E Swap, Downgraded to C; previously on 27 June 2008 Downgraded
to Ca
Deutsche Bank AG, London Branch - N-Tsar
Class B Swap, Downgraded to C; previously on 22 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Class C Swap, Downgraded to C; previously on 31 July 2008 Downgraded
to Ca
Deutsche Bank AG, London Branch - Tsar_05
Class A Swap, Downgraded to Caa2; previously on 18 November
2008 Downgraded to Baa3 and Placed Under Review for Possible Downgrade
Class A(3) Swap, Downgraded to C; previously on 22 December
2008 Downgraded to B1 and remains on Review for Possible Downgrade
Class A- (1) Swap, Downgraded to C; previously on 22
December 2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
Class A (2) Swap - Earls Four Limited Series 899, Downgraded
to C; previously on 22 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class A- (2) Swap, Downgraded to C; previously on 18
November 2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Class B Swap, Downgraded to C; previously on 18 November 2008
Downgraded to Ca
Class B(1) swap, Downgraded to C; previously on 18 November
2008 Downgraded to Ca
Eirles Four Limited - Series 32 due 2013
Series 32 Floating and Variable Rate Secured Notes, Downgraded to
C; previously on 22 December 2008 Downgraded to Caa1 and remains
on Review for Possible Downgrade
Eirles Four Series 60 (Tsar_05 Class A and Class A- Swap)
Series 60 Floating and Variable Rate Secured Notes, Downgraded to
C; previously on 22 December 2008 Downgraded to B3 and remains on
Review for Possible Downgrade
Eirles Two Limited - Series 101, 102, 103, 104
Eirles Two Limited - Series 101, Downgraded to C; previously
on 22 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Eirles Two Limited - Series 102, Downgraded to C; previously
on 31 July 2008 Downgraded to Ca
Eirles Two Limited - Series 134, 135, 136, 137
Series 134 USD20,625,000 Floating and Variable Rate Secured
Notes, Downgraded to C; previously on 27 June 2008 Downgraded
to Ca
Series 135 USD16,875,000 Floating and Variable Rate Secured
Notes, Downgraded to C; previously on 27 June 2008 Downgraded
to Ca
Series 136 USD22,500,000 Floating and Variable Rate Secured
Notes, Downgraded to C; previously on 27 June 2008 Downgraded
to Ca
Series 137 USD37,500,000 Floating and Variable Rate Secured
Notes, Downgraded to C; previously on 27 June 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited - Series 68 due 2012
Series 68 Floating and Variable Rate Secured Notes, Downgraded to
C; previously on 18 November 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Eirles Two Limited - Series 69 due 2012
Series 69 JPY 3,000,000,000 Floating and Variable Rate
Secured Notes due Sept 2012, Downgraded to C; previously on
18 November 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Eirles Two Limited Series 181
Series 181 USD 50,000,000 Floating Rate Portfolio Credit Linked
Secured Notes due 2045, Downgraded to C; previously on 19 December
2008 Downgraded to A3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 198
Series 198 EUR 25,000,000 Floating Rate Portfolio Credit Linked
Secured Notes due 2093, Confirmed at Baa1; previously on 19
December 2008 Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
Eirles Two Limited Series 273 & 274
Series 273, Downgraded to C; previously on 19 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Series 274, Downgraded to C; previously on 23 May 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 286, Series 287, Series 288
Series 286 Class B USD 42,000,000 Variable Rate Secured Notes
due 2046, Downgraded to C; previously on 18 July 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Series 287 Class C USD 22,500,000 Variable Rate Secured Notes
due 2046, Downgraded to C; previously on 18 July 2008 Downgraded
to Ca
Eirles Two Limited Series 300
Series 300, Downgraded to C; previously on 19 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 75 (TSAR 5 Class A- (2) repack)
Series 75 JPY 1,000,000,000 Floating and Variable Rate
Secured Notes due August 2015, Downgraded to C; previously
on 18 November 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Eirles Two Series 71 (Tsar_05 Class A- (1) Swap)
Eirles Two Series 71 Floating and Variable Rate Secured Notes, Downgraded
to C; previously on 22 December 2008 Downgraded to Caa1 and remains
on Review for Possible Downgrade
ELM B.V. - LABS Series 2007-1
EUR 50,000,000 Series 2007-1 - LABS due 2027,
Confirmed at A3; previously on 19 December 2008 Downgraded to A3
and Placed Under Review for Possible Downgrade
ELM B.V. - Series 57 - Leveraged Asset Backed
Securities 2006-3
EUR 22,500,000 Floating Rate Credit Linked Secured Notes due
2026, Confirmed at Baa2; previously on 19 December 2008 Downgraded
to Baa2 and Placed Under Review for Possible Downgrade
ELM B.V. - Series 79 - Leveraged Asset-Backed
Securities 2006-4
EUR 22,500,000 Floating Rate Credit Linked Secured Notes due
2026, Confirmed at A3; previously on 19 December 2008 Downgraded
to A3 and Placed Under Review for Possible Downgrade
ELM B.V. Series 41
EUR 84,000,000 Floating Rate Credit Linked Secured Notes due
2056, Confirmed at A3; previously on 19 December 2008 Downgraded
to A3 and Placed Under Review for Possible Downgrade
ELM B.V. Series 48 - Leveraged Asset Backed Securities
2006-2
EUR 22,500,000 Floating Rate Credit Linked Secured Notes due
2056, Confirmed at A3; previously on 19 December 2008 Downgraded
to A3 and Placed Under Review for Possible Downgrade
Faxtor ABS 2003-1 B.V.
Class A-1E Floating Rate Notes, Confirmed at Aa1; previously
on 22 December 2008 Downgraded to Aa1 and Placed Under Review for Possible
Downgrade
Class A-2E Floating Rate Notes, Downgraded to A2; previously
on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible
Downgrade
Class A-2F Fixed Rate Notes, Downgraded to A2; previously
on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible
Downgrade
Class A-3E Floating Rate Notes, Downgraded to Baa3;
previously on 22 December 2008 Downgraded to Baa1 and Placed Under Review
for Possible Downgrade
Class A-3F Fixed Rate Notes, Downgraded to Baa3; previously
on 22 December 2008 Downgraded to Baa1 and Placed Under Review for Possible
Downgrade
Class BE Floating Rate Notes, Downgraded to B3; previously
on 22 December 2008 Downgraded to Ba2 and Placed Under Review for Possible
Downgrade
Class BF Fixed Rate Notes, Downgraded to B3; previously on
22 December 2008 Downgraded to Ba2 and Placed Under Review for Possible
Downgrade
Faxtor ABS 2004-1 B.V.
Class A-1 Floating Rate Notes, Confirmed at Aa2; previously
on 22 December 2008 Downgraded to Aa2 and Placed Under Review for Possible
Downgrade
Class A-2 Floating Rate Note, Confirmed at Aa3; previously
on 22 December 2008 Downgraded to Aa3 and Placed Under Review for Possible
Downgrade
Class A-3 Floating Rate Notes, Downgraded to A3; previously
on 22 December 2008 Downgraded to A2 and Placed Under Review for Possible
Downgrade
Class BE Floating Rate Notes, Confirmed at Ba1; previously
on 22 December 2008 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
Class BF Fixed Rate Notes, Confirmed at Ba1; previously on
22 December 2008 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
Class S Combination Notes, Confirmed at Ba1; previously on
22 December 2008 Downgraded to Ba1 and Placed Under Review for Possible
Downgrade
Faxtor HG 2007-1
Class A-1M Floating Rate Delayed Draw Secured Notes due 2049,
Downgraded to Ca; previously on 19 December 2008 Downgraded to B1
and remains on Review for Possible Downgrade
Class A-2 Floating Rate Secured Notes due 2049, Downgraded
to C; previously on 09 April 2008 Downgraded to Ca
G Square Finance 2007-1 Ltd
Class A-1 Senior Secured Floating Rate Notes due 2052, Downgraded
to Ca; previously on 19 December 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
G Square Finance Limited
Class A Notes, Downgraded to C; previously on 22 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 28 November 2008
Downgraded to Ca
Gennaker I CDO Limited
U.S. $521,700,000 Class A-1A Floating
Rate Notes Due 2045, Downgraded to B1; previously on 19 December
2008 Downgraded to A1 and remains on Review for Possible Downgrade
U.S. $0 Class A-1B Floating Rate Notes Due
2045, Downgraded to B1; previously on 19 December 2008 Downgraded
to A1 and remains on Review for Possible Downgrade
U.S. $25,800,000 Class A-2 Floating
Rate Notes Due 2045, Downgraded to Caa3; previously on 19 December
2008 Downgraded to Baa2 and remains on Review for Possible Downgrade
U.S. $12,900,000 Class B Floating Rate
Notes Due 2045, Downgraded to C; previously on 19 December
2008 Downgraded to B1 and remains on Review for Possible Downgrade
U.S. $13,560,000 Class C Deferrable Floating
Rate Notes Due 2045, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Herald Limited - Logan CDO
Herald Limited Series 25 (class A-1), Downgraded to C;
previously on 10 September 2008 Downgraded to Ca
Iona CDO I Limited
Class A Secured Floating Rate Credit-Linked Notes due 2049,
Downgraded to C; previously on 22 December 2008 Downgraded to B2
and remains on Review for Possible Downgrade
Class B Secured Floating Rate Credit-Linked Notes due 2049,
Downgraded to C; previously on 12 December 2008 Downgraded to Caa3
and Placed Under Review for Possible Downgrade
Class C Deferrable Interest Secured Floating Rate Credit-Linked
Notes due 2049, Downgraded to C; previously on 12 December
2008 Downgraded to Ca
Logan CDO II Limited
Super Senior Swap, Downgraded to Caa2; previously on 19 December
2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
Class A-1 Floating Rate Credit Linked Secured Notes, Downgraded
to C; previously on 18 June 2008 Downgraded to Ca
Lunar Funding V plc - Series 36 & 37
Series 2007-36 Notes due 2052, Downgraded to C; previously
on 19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Series 2007-37 Notes due 2052, Downgraded to C; previously
on 18 June 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Mainsail CDO I Limited
Mainsail CDO I Ltd - Junior super senior tranche #1,
Downgraded to Ca; previously on 19 December 2008 Downgraded to Caa1
and remains on Review for Possible Downgrade
Class A1 Secured Floating Rate Credit-Linked Notes, Downgraded
to C; previously on 11 July 2008 Downgraded to Ca
Marc CDO I Plc
USD 38,000,000 Class A1 Secured Floating Rate Credit Linked
Notes due 2053, Downgraded to C; previously on 15 July 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
USD 20,000,000 Class A2 Secured Floating Rate Credit Linked
Notes due 2053, Downgraded to C; previously on 15 July 2008
Downgraded to Ca
Menton II CDO plc
USD 40,000,000 Class A1 Secured Floating Rate Credit Linked
Notes due 2053, Downgraded to C; previously on 11 June 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Mill Reef SCDO 2005-1 Ltd
Super Senior Swap, Downgraded to Ca; previously on 19 December
2008 Downgraded to Ba1 and remains on Review for Possible Downgrade
Class A-1L, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Class X, Downgraded to C; previously on 19 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class A-2L, Downgraded to C; previously on 11 August
2008 Downgraded to Ca
North Sea Island CDO I Limited
Series of Class A Floating Rate Notes Due September 2095, Downgraded
to Ca; previously on 19 December 2008 Downgraded to B2 and remains
on Review for Possible Downgrade
Series of Class B Floating Rate Notes Due September 2095, Downgraded
to C; previously on 28 November 2008 Downgraded to Ca
Omega Capital Europe p.l.c. Series 41 (Sycamore)
Class A Notes, Downgraded to C; previously on 19 December 2008
Downgraded to B2 and remains on Review for Possible Downgrade
Class A-Bis Notes, Downgraded to C; previously on 19
December 2008 Downgraded to B2 and remains on Review for Possible Downgrade
Class A-J Notes, Downgraded to C; previously on 19 December
2008 Downgraded to B2 and remains on Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Class B-Fixed Notes, Downgraded to C; previously on
19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
Class B-J Notes, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Class B-U Notes, Downgraded to C; previously on 19 December
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Class C Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Caa1 and remains on Review for Possible Downgrade
Omega Capital Europe p.l.c. Series 46 (Sycamore Series
2)
Class A Notes, Downgraded to C; previously on 19 December 2008
Downgraded to B2 and remains on Review for Possible Downgrade
Class B Notes, Downgraded to C; previously on 11 September
2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Class C Notes, Downgraded to C; previously on 19 December 2008
Downgraded to Caa2 and remains on Review for Possible Downgrade
Omega Capital Europe plc Series 50 (Sycamore Series 3-Bis Pf1)
Class AE-10 Notes, Downgraded to C; previously on 19
December 2008 Downgraded to Ba1 and remains on Review for Possible Downgrade
Class CE-10 Notes, Downgraded to C; previously on 19
December 2008 Downgraded to B3 and remains on Review for Possible Downgrade
Palmer Square plc
Class A1-A Exchange Offer Floating Rate Notes due 2045, Downgraded
to B3; previously on 19 December 2008 Downgraded to Baa3 and remains
on Review for Possible Downgrade
Class A1-A Floating Rate Notes due 2045, Downgraded to B3;
previously on 19 December 2008 Downgraded to Baa3 and remains on Review
for Possible Downgrade
Class A2-A Step-Up Floating Rate Notes due 2045, Downgraded
to Ca; previously on 07 November 2008 Downgraded to Caa3 and remains
on Review for Possible Downgrade
Class B-1 Deferrable Floating Rate Notes due 2045, Downgraded
to C; previously on 07 November 2008 Downgraded to Ca
Palmer Square 2 plc
Class X Floating Rate Notes due 2045, Confirmed at Aaa; previously
on 19 December 2008 Aaa Placed Under Review for Possible Downgrade
Class A1-M Floating Rate Notes due 2045, Confirmed at Caa2;
previously on 19 December 2008 Downgraded to Caa2 and remains on Review
for Possible Downgrade
Class A1-Q Floating Rate Notes due 2045, Confirmed at Caa2;
previously on 19 December 2008 Downgraded to Caa2 and remains on Review
for Possible Downgrade
Royal Bank of Canada, London Branch - Logan CDO III Tranche
SS
Royal Bank of Canada London Logan CDO III, Downgraded to Ca;
previously on 19 December 2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Salisbury International Investements Limited - Series 2005-10
Series 2005-10 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa1 and remains on Review
for Possible Downgrade
Salisbury International Investments Limited - Series 2005-11
Series 2005- 11 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Salisbury International Investments Limited - Series 2005-12
Series 2005- 12 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa2 and remains on Review
for Possible Downgrade
Salisbury International Investments Limited - Series 2005-13
Series 2005- 13 - USD 18,750,000 Class C Secured
Floating Rate Portfolio Linked Notes due 2025, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa2 and remains on Review
for Possible Downgrade
Salisbury International Investments Ltd - Series 2006-1
USD 41,000,000 Class M-2 Secured Floating Rate Portfolio
Credit Linked Notes due 2046, Downgraded to C; previously on
19 December 2008 Downgraded to Caa3 and remains on Review for Possible
Downgrade
SGA Societe Generale Acceptance N.V. Series 7040/04-09
Tranche 1 EUR 28,500,000 Napa Valley II Synthetic CDO of ABS
Floating Rate Notes due 2024, Downgraded to Ca; previously
on 22 December 2008 Downgraded to Caa1 and remains on Review for Possible
Downgrade
SGA Societe Generale Acceptance N.V. Series 7041/04-09
Tranche 1 EUR 5,000,000 Napa Valley II Synthetic CDO of ABS
Floating Rate Notes due 2024, Downgraded to Ca; previously
on 22 December 2008 Downgraded to Caa1 and remains on Review for Possible
Downgrade
Société Générale - Credit Default Swap
(Millesime 2007-2 portfolio)
Credit default swap ref EXO-1224830, Downgraded to Baa3;
previously on 19 December 2008 Downgraded to Baa2 and Placed Under Review
for Possible Downgrade
Société Générale - Credit Default Swap
(Millesime 2007-3 portfolio)
Credit Default Swap Ref: EXO-1359959, Downgraded to
Ba2; previously on 19 December 2008 Downgraded to Baa2 and Placed
Under Review for Possible Downgrade
Société Générale - Credit Default Swap
(Napa Valley IX portfolio)
Credit Default Swap, Downgraded to C; previously on 19 December
2008 Downgraded to Ba3 and remains on Review for Possible Downgrade
Societe Generale - Napa Valley II Synthetic CDO of ABS Swap
CDS providing protection on the reference portfolio for losses exceeding
0.05% up to 1.65% of the portfolio related
to SGA Series 7041/04-09 Notes, Downgraded to Ca; previously
on 22 December 2008 Downgraded to Caa1 and remains on Review for Possible
Downgrade
CDS providing protection on the reference portfolio for losses up to 1.65%
of the portfolio related to SGA Series 7040/04-09 Notes,
Downgraded to Ca; previously on 22 December 2008 Downgraded to Caa1
and remains on Review for Possible Downgrade
Societe Generale Securities - Napa Valley VI
Napa Valley VI Credit Default Swap, Downgraded to C; previously
on 19 December 2008 Downgraded to Ba2 and remains on Review for Possible
Downgrade
Stanton Vintage CDO P.L.C.
Class A Senior Floating Rate Notes due in 2048, Downgraded to C;
previously on 19 December 2008 Downgraded to A1 and remains on Review
for Possible Downgrade
Class B Deferrable Floating Rate Notes due 2048, Downgraded to C;
previously on 19 December 2008 Downgraded to A2 and remains on Review
for Possible Downgrade
Class C Deferrable Floating Rate Notes due 2048, Downgraded to C;
previously on 19 December 2008 Downgraded to B1 and remains on Review
for Possible Downgrade
Class D Deferrable Floating Rate Notes due 2048, Downgraded to C;
previously on 19 December 2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Class P Combination Notes due 2048, Downgraded to C; previously
on 19 December 2008 Downgraded to Caa1 and remains on Review for Possible
Downgrade
TABS 2005-02 Oakville
U.S.$263,000,000 Class A-1 Senior
Secured Floating Rate Notes due 2045, Downgraded to Ca; previously
on 19 December 2008 Downgraded to A1 and remains on Review for Possible
Downgrade
U.S.$28,400,000 Class A-2 Senior
Secured Floating Rate Notes due 2045, Downgraded to C; previously
on 19 December 2008 Downgraded to Caa1 and remains on Review for Possible
Downgrade
U.S.$70,600,000 Class B Senior Secured
Floating Rate Notes due 2045, Downgraded to C; previously on
26 June 2008 Downgraded to Ca
U.S.$4,000,000 Class C Senior Secured
Deferrable Floating Rate Notes due 2045, Downgraded to C; previously
on 23 April 2008 Downgraded to Ca
Tempo CDO 1 Limited
Class A, Downgraded to Ca; previously on 22 December 2008 Downgraded
to Ba2 and remains on Review for Possible Downgrade
Class B, Downgraded to C; previously on 22 December 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Class C, Downgraded to C; previously on 06 November 2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
UBS AG, Jersey Branch - eLevate Series 2007-1
Adjustable Spread Leveraged Notes - eLevate Series 2007-1,
Downgraded to Baa2; previously on 19 December 2008 Downgraded to
Baa1 and Placed Under Review for Possible Downgrade
UBS AG, Jersey Branch - eLevate Series 2007-2
Adjustable Spread Leveraged Notes - eLevate Series 2007-2,
Confirmed at A3; previously on 19 December 2008 Downgraded to A3
and Placed Under Review for Possible Downgrade
UBS AG, Jersey Branch - LABS 2006-1
EUR 75,000,000 Leveraged Asset-backed Securities due
2056, Confirmed at Baa1; previously on 19 December 2008 Downgraded
to Baa1 and Placed Under Review for Possible Downgrade
UBS AG, Jersey Branch - Series 2005-1 (eLevate)
EUR 22,500,000 Leveraged Notes (eLevate) Series 2005-1,
Confirmed at Baa1; previously on 19 December 2008 Downgraded to Baa1
and Placed Under Review for Possible Downgrade
UBS AG, London Branch - EUR 225,000,000 Syndicated
Loan Facility to TREES
EUR 225,000,000 Syndicated loan facility to TREES, Confirmed
at A3; previously on 19 December 2008 Downgraded to A3 and Placed
Under Review for Possible Downgrade
New York
Rodrigo Araya
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
London
Paul Jamieson
Vice President - Senior Analyst
Structured Finance Group
Moody's Investors Service Ltd.
JOURNALISTS: 44 20 7772 5456
SUBSCRIBERS: 44 20 7772 5454
Moody's downgrades notes issued by 91 structured finance CDO transactions