Moody's downgrades ratings of Notes issued by 30 ABS CDOs
New York, August 26, 2008 -- Moody's Investors Service announced today that it has downgraded the ratings
of 127 classes of notes issued by 30 collateralized debt obligations ("CDOs")
backed primarily by portfolios of residential mortgage-backed securities
and CDO securities ("ABS CDOs"), and left on review for possible
further downgrade the ratings of five of these classes of notes as follows:
Issuer: AArdvark ABS CDO 2007-1
Class Description: U.S. $1,305,140,296
Class A1 Extended Notes due 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$78,000,000
Class A2 Senior Secured Floating Rate Notes Due July 2047
Prior Rating: Ca
Current Rating: C
Issuer: ACA ABS 2006-1 Ltd.
Class Description: U.S. $450,000,000
Class A-1LA Floating Rate Notes Due June 2041
Prior Rating: Caa1, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $105,000,000
Class A-1LB Floating Rate Notes Due June 2041
Prior Rating: Ca
Current Rating: C
Issuer: ACA ABS 2007-3, Limited
Class Description: U.S. $7,000,000
Class X Floating Rate Notes Due August 2013
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $175,000,000
Class A-1LA Floating Rate Notes Due May 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $96,000,000
Class A-1LB Floating Rate Notes Due May 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $27,000,000
Class A-2L Floating Rate Notes Due May 2047
Prior Rating: Ca
Current Rating: C
Issuer: Adams Square Funding II, Ltd.
Class Description: U.S. $15,200,000
Class S Floating Rate Notes Due 2014
Prior Rating: Caa1, on review for possible downgrade
Current Rating: Caa3, on review for possible downgrade
Class Description: U.S. $600,000,000
Class A1 Floating Rate Notes Due 2047
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $95,000,000
Class A2 Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $140,000,000
Class A3 Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Issuer: Brookville CDO I, Ltd.
Class Description: U.S. $200,000,000
Class A-1 First Priority Senior Secured Floating Rate Delayed Draw
Notes Due 2050
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $125,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $50,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $45,000,000
Class B Fourth Priority Senior Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Current Rating: C
Issuer: CETUS ABS CDO 2006-1, LTD.
Class Description: U.S.$100,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$50,000,000
Class A-2 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Ca
Current Rating: C
Issuer: Cetus ABS CDO 2006-2, Ltd.
Class Description: U.S.$100,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$50,000,000
Class A-2 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Ca
Current Rating: C
Issuer: Cetus ABS CDO 2006-3, Ltd.
Class Description: U.S.$ 29,000,000
Class S Floating Rate Senior Secured Notes Due 2051
Prior Rating: Caa3, on review for possible downgrade
Current Rating: C
Class Description: Up to U.S.$ 757,000,000
Class A-1A Floating Rate Senior Secured Variable Funding Notes
Due 2051
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$ 30,000,000
Class A-1B Floating Rate Senior Secured Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$ 163,000,000
Class A-2 Floating Rate Senior Secured Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$ 90,000,000
Class B Floating Rate Secured Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$ 65,000,000
Class C-1 Floating Rate Deferrable Secured Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$ 15,500,000
Class X Fixed Rate Deferrable Secured Notes Due 2051
Prior Rating: Ca
Current Rating: C
Issuer: Delphinus CDO 2007-1, Ltd.
Class Description: U.S. $640,000,000
Super Senior Swap dated as of July 19,2007
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $27,000,000
Class S Senior Floating Rate Notes Due October 2012
Prior Rating: Ba3, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $73,500,000
Class A-1A Senior Floating Rate Notes Due October 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $86,500,000
Class A-1B Senior Floating Rate Notes Due October 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $160,000,000
Class A-1C Senior Floating Rate Notes Due October 2047
Prior Rating: Caa3, on review for possible downgrade
Current Rating: C
Class Description: U.S. $144,500,000
Class A-2 Senior Floating Rate Notes Due October 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $138,500,000
Class A-3 Senior Floating Rate Notes Due October 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $131,000,000
Class B Senior Floating Rate Notes Due October 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $77,500,000
Class C Mezzanine Floating Rate Deferrable Notes Due October 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $48,000,000
Class D-1 Mezzanine Floating Rate Deferrable Notes Due October
2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $30,500,000
Class D-2 Mezzanine Floating Rate Deferrable Notes Due October
2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $15,000,000
Class D-3 Mezzanine Floating Rate Deferrable Notes Due October
2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $15,000,000
Class E Mezzanine Floating Rate Deferrable Notes Due October 2047
Prior Rating: Ca
Current Rating: C
Issuer: Forge ABS High Grade CDO I, Ltd.
Class Description: U.S. $900,000,000
Class A-1 First Priority Senior Secured Floating Rate Delayed Draw
Notes Due 2053
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $375,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $75,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $75,000,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $25,500,000
Class B Fifth Priority Senior Secured Floating Rate Notes Due 2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $15,750,000
Class C Sixth Priority Senior Secured Floating Rate Notes Due 2053
Prior Rating: Ca
Current Rating: C
Issuer: Fourth Street Funding, Ltd.
Class Description: U.S. $200,000,000
Class A-1 First Priority Senior Secured Floating Rate Delayed Draw
Notes Due 2050
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $125,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $45,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $37,500,000
Class B Fourth Priority Senior Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $17,500,000
Class C Fifth Priority Senior Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Current Rating: C
Issuer: GSC ABS CDO 2006-4u, Ltd.
Class Description: Up to U.S.$502,000,000
Class A-S1VF Senior Secured Floating Rate Notes due 2046
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$85,000,000
Class A1 Senior Secured Floating Rate Notes due 2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$45,000,000
Class A2 Senior Secured Floating Rate Notes due 2046
Prior Rating: Ca
Current Rating: C
Issuer: HSPI Diversified CDO Fund II, Ltd.
Class Description: U.S. $26,500,000
Class S Senior Secured Floating Rate Notes due July 2015
Prior Rating: Caa1, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $350,000,000
Class A-1 Senior Secured Floating Rate Notes due July 2052
Prior Rating: Caa1, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $105,000,000
Class A-2 Senior Secured Floating Rate Notes due July 2052
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $63,000,000
Class A-3 Senior Secured Floating Rate Notes due July 2052
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $85,000,000
Class A-4 Senior Secured Floating Rate Notes due July 2052
Prior Rating: Ca
Current Rating: C
Issuer: Highridge ABS CDO I, Ltd.
Class Description: U.S.$976,000,000
Class A-1AT First Priority Senior Secured Floating Rate Notes due
2048
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$321,500,000
Class A-1AD First Priority Senior Secured Floating Rate Delayed
Draw Notes due 2048
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Issuer: Jupiter High-Grade CDO V, Ltd.
Class Description: U.S.$1,290,000,000
Class A-1 Senior Secured Floating Rate Notes Due March 2052
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$105,500,000
Class A-2 Senior Secured Floating Rate Notes Due March 2052
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$60,000,000
Class B Senior Secured Floating Rate Notes Due March 2052
Prior Rating: Ca
Current Rating: C
Issuer: Kleros Preferred Funding III, Ltd.
Class Description: U.S.$1,800,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2050
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$90,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$54,000,000
Class B Third Priority Senior Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Current Rating: C
Issuer: Kleros Preferred Funding VII, Ltd.
Class Description: U.S. $900,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2053
Prior Rating: Caa1, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $375,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $75,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $69,000,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $41,000,000
Class B Fifth Priority Senior Secured Floating Rate Notes Due 2053
Prior Rating: Ca
Current Rating: C
Issuer: Libertas Preferred Funding II, Ltd.
Class Description: U.S.$6,000,000
Class X Senior Secured Floating Rate Notes Due 2012
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$325,000,000
Class A-1 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$73,000,000
Class A-2 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$23,000,000
Class B Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$29,500,000
Class C Mezzanine Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$13,500,000
Class D Mezzanine Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$9,000,000
Class E Mezzanine Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$10,500,000
Class F Mezzanine Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Issuer: Longshore CDO Funding 2007-3, Ltd.
Class Description: U.S. $1,131,000,000
Class A-1 Floating Rate Notes Due 2052
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $50,000,000
Class A-2 Floating Rate Notes Due 2052
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $43,600,000
Class A-3 Floating Rate Notes Due 2052
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $37,700,000
Class B Floating Rate Notes Due 2052
Prior Rating: Ca
Current Rating: C
Issuer: Longstreet CDO I, Ltd.
Class Description: U.S.$350,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes due November 2046
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$55,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes due
November 2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$27,000,000
Class B Third Priority Senior Secured Floating Rate Notes due November
2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$5,000,000
Class C Fourth Priority Senior Secured Floating Rate Notes due November
2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$20,000,000
Class D Fifth Priority Mezzanine Secured Floating Rate Notes due November
2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$10,000,000
Class E Sixth Priority Mezzanine Secured Floating Rate Notes due November
2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$10,000,000
Class F Seventh Priority Mezzanine Secured Floating Rate Notes due November
2046
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$8,000,000
Class G Eighth Priority Mezzanine Secured Floating Rate Notes due November
2046
Prior Rating: Ca
Current Rating: C
Issuer: MKP CBO VI, Ltd.
Class Description: Class A-1 First Priority Senior Secured
Floating Rate Notes due 2051
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Class Description: Class A-2 First Priority Senior Secured
Floating Rate Notes due 2051
Prior Rating: Ca
Current Rating: C
Class Description: Class B Third Priority Senior Secured Floating
Rate Notes due 2051
Prior Rating: Ca
Current Rating: C
Issuer: Nordic Valley 2007-1 CDO, Ltd.
Class Description: U.S. $31,500,000
Class A-X Senior Secured Notes Due 2047
Prior Rating: B2, on review for possible downgrade
Current Rating: Caa2, on review for possible downgrade
Class Description: U.S. $0 Class A-1
Senior Secured Funded Notes due 2047
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $600,000,000
Class A-1 Unfunded Notes due 2047
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $100,000,000
Class A-2a Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $93,000,000
Class A-2b Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $50,000,000
Class B Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $66,000,000
Class C Secured Floating Rate Deferrable Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $30,000,000
Class D Secured Floating Rate Deferrable Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $18,000,000
Class E Secured Floating Rate Deferrable Notes Due 2047
Prior Rating: Ca
Current Rating: C
Issuer: Octans III CDO, Ltd.
Class Description: U.S.$100,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: C
Issuer: Octonion I CDO, Ltd.
Class Description: U.S. $22,250,000
Class S Floating Rate Notes Due 2014
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $600,000,000
Class A1 Floating Rate Notes Due 2047
Prior Rating: Caa3, on review for possible downgrade
Current Rating: Ca
Issuer: Orion 2006-2, Ltd.
Class Description: U.S.$34,000,000
Class S Senior Secured Floating Rate Notes Due 2014
Prior Rating: Ba1, on review for possible downgrade
Current Rating: Caa2, on review for possible downgrade
Class Description: U.S.$900,000,000
Class A-1A Senior Secured Floating Rate Variable Funding Notes
Due 2051
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$40,000,000
Class A-1B Senior Secured Floating Rate Notes Due 2051
Prior Rating: Caa2, on review for possible downgrade
Current Rating: C
Class Description: U.S.$195,000,000
Class A-2 Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$87,500,000
Class B-1 Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$40,000,000
Class B-2 Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Current Rating: C
Class Description: U.S.$58,000,000
Class C-1 Secured Deferrable Floating Rate Notes Due 2051
Prior Rating: Ca
Current Rating: C
Issuer: Pacific Pinnacle CDO Ltd
Class Description: Class X Interest Only Notes Due January 2019
Prior Rating: Ba1, on review for possible downgrade
Current Rating: Caa1, on review for possible downgrade
Class Description: U.S.$800,000,000
Class A-1LA Floating Rate Notes Due January 2052
Prior Rating: Ba1, on review for possible downgrade
Current Rating: Caa1, on review for possible downgrade
Class Description: U.S.$74,600,000
Class A-1LB Floating Rate Notes Due January 2052
Prior Rating: Caa3, on review for possible downgrade
Current Rating: C
Class Description: U.S.$75,400,000
Class A-1LC Floating Rate Notes Due January 2052
Prior Rating: Caa3, on review for possible downgrade
Current Rating: C
Class Description: U.S.$18,000,000
Class A-2L Floating Rate Notes Due January 2052
Prior Rating: Caa3, on review for possible downgrade
Current Rating: C
Issuer: Plettenberg Bay CDO Limited
Class Description: U.S. $300,000,000
Class S Floating Rate Senior Notes Due 2047
Prior Rating: Caa1, on review for possible downgrade
Current Rating: Ca
Class Description: U.S. $96,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2047
Prior Rating: Ca
Current Rating: C
Class Description: U.S. $40,000,000
Class A-2 Floating Rate Senior Secured Notes Due 2047
Prior Rating: Ca
Current Rating: C
Issuer: Sherwood III ABS CDO, Ltd.
Class Description: U.S.$273,000,000
Class A1SA Variable Funding Senior Secured Floating Rate Notes Due 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$50,000,000
Class A1SB Variable Funding Senior Secured Floating Rate Notes Due 2047
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Class Description: U.S.$59,000,000
Class A1J Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Current Rating: C
Issuer: VOLANS FUNDING 2007-1, LTD.
Class Description: U.S. $770,000,000
Class A-1 Senior Secured Floating Rate Variable Funding Notes Due
2052
Prior Rating: Caa2, on review for possible downgrade
Current Rating: Ca
Issuer: Webster CDO I, Ltd.
Class Description: U.S.$609,000,000
Class A-1LA Revolving Notes Due April 2047
Prior Rating: Caa3, on review for possible downgrade
Current Rating: C
The rating actions taken today reflect continuing deterioration in the
credit quality of the underlying portfolios and the increased expected
loss associated with each transaction. Losses are attributed to
diminished credit quality on the underlying portfolio.
Moody's explained that each of the transactions has experienced an event
of default under the applicable Indenture. As provided in Article
V of the CDO Indenture, during the occurrence and continuance of
an Event of Default, certain parties to the transactions may be
entitled to direct the Trustee to take particular actions with respect
to the Collateral Debt Securities and the Notes. The severity of
losses may depend on the timing and choice of remedy to be pursued by
the Controlling Classes.
New York
Stephen Lioce
VP - Senior Credit Officer
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Evan Tepper
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
