Moody's downgrades ratings of Notes issued by 57 ABS CDOs
New York, September 23, 2008 -- Moody's Investors Service announced today that it has withdrawn the rating
of one class of notes, downgraded the ratings of 234 classes of
notes issued by 57 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 2 of these classes of notes as follows:
Issuer: 888 Tactical Fund, Ltd.
Class Description: U.S. $39,200,000
Class S Floating Rate Notes due 2015
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: June 4, 2008
Current Rating: Ca
Class Description: Up to U.S. $500,000,000
Class A1 Floating Rate Notes due 2050
Prior Rating: Ca
Prior Rating Date: June 4, 2008
Current Rating: C
Issuer: ART CDO 2006-1, Ltd.
Class Description: U.S. $865,000,000
Class A1S Senior Floating Rate Notes Due August 2046
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: June 3, 2008
Current Rating: Caa2, on review for possible downgrade
Class Description: U.S. $84,000,000
Class A1J Senior Floating Rate Notes Due August 2046
Prior Rating: Ca
Prior Rating Date: June 3, 2008
Current Rating: C
Class Description: U.S. $20,000,000
Class A2 Senior Floating Rate Notes Due August 2046
Prior Rating: Ca
Prior Rating Date: June 3, 2008
Current Rating: C
Issuer: Acacia Option ARM 1 CDO, Ltd.
Class Description: U.S. $380,000,000
Class A1S First Priority Senior Secured Floating Rate Notes Due 2052
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: July 7, 2008
Current Rating: Ca
Class Description: U.S. $40,000,000
Class A1J Second Priority Senior Secured Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: July 7, 2008
Current Rating: C
Class Description: U.S. $34,000,000
Class A2 Third Priority Senior Secured Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: July 7, 2008
Current Rating: C
Issuer: Alpha Mezz CDO 2007-I, Ltd.
Class Description: U.S. $325,000,000
Supersenior Swap
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: May 7, 2008
Current Rating: Ca
Class Description: U.S. $70,000,000
Class II Senior Floating Rate Notes Due 2047
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 7, 2008
Current Rating: C
Class Description: U.S. $30,000,000
Class III Senior Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: May 7, 2008
Current Rating: C
Class Description: U.S. $5,000,000
Class IV Senior Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: May 7, 2008
Current Rating: C
Issuer: Auriga CDO Ltd.
Class Description: U.S. $975,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes due
January 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: Ca
Class Description: U.S. $97,500,000
Class A-2A Second Priority Senior Secured Floating Rate Notes due
January 2047
Prior Rating: Ca
Prior Rating Date: May 9, 2008
Current Rating: C
Class Description: U.S. $48,000,000
Class A-2B Third Priority Senior Secured Floating Rate Notes due
January 2047
Prior Rating: Ca
Prior Rating Date: May 9, 2008
Current Rating: C
Class Description: U.S. $64,500,000
Class B Fourth Priority Senior Secured Floating Rate Notes due January
2047
Prior Rating: Ca
Prior Rating Date: February 28, 2008
Current Rating: C
Issuer: Belle Haven ABS CDO 2006-1, Ltd.
Class Description: U.S. $1,700,000,000
Class A-1 Floating Rate Notes Due 2046
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: April 22, 2008
Current Rating: Caa2, on review for possible downgrade
Class Description: U.S. $170,000,000
Class A-2 Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: April 22, 2008
Current Rating: C
Class Description: U.S. $50,000,000
Class B Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: April 22, 2008
Current Rating: C
Issuer: Biltmore CDO 2007-1, Ltd.
Class Description: U.S. $500,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $350,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Prior Rating Date: May 29, 2008
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
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $55,000,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $20,000,000
Class B Fifth Priority Mezzanine Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $5,000,000
Class C Sixth Priority Mezzanine Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Issuer: Brigantine High Grade Funding, Ltd.
Up to Class Description: U.S. $1,180,000,000
Class A-1AL Floating Rate Notes Due 2007
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: April 29, 2008
Current Rating: Ca
Class Description: U.S. $500,000,000
Class A-1B Floating Rate Notes Due 2051
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: April 29, 2008
Current Rating: Ca
Class Description: U.S. $100,000,000
Class A-1C Floating Rate Delayed Draw Notes Due 2051
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: April 29, 2008
Current Rating: Ca
Up to Class Description: U.S. $100,000,000
Class A-1DL Floating Rate Notes Due 2008
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: April 29, 2008
Current Rating: Ca
Class Description: U.S. $69,500,000
Class A-2 Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: March 18, 2008
Current Rating: C
Class Description: U.S. $17,000,000
Class B Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: March 18, 2008
Current Rating: C
Issuer: Broderick CDO 2 Ltd.
Class Description: U.S. $876,000,000
Class A-1AD First Priority Senior Secured Floating Rate Delayed
Draw Notes due 2049
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $500,000,000
Class A-1AT First Priority Senior Secured Floating Rate Notes due
2049
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $42,000,000
Class A-1B Second Priority Senior Secured Floating Rate Notes due
2049
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $70,000,000
Class A-2 Third Priority Senior Secured Floating Rate Notes due
2049
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $67,600,000
Class B Fourth Priority Senior Secured Floating Rate Notes due 2049
Prior Rating: Ca
Prior Rating Date: March 5, 2008
Current Rating: C
Issuer: Broderick CDO III Ltd.
Class Description: U.S. $750,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes due
2050
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 23, 2008
Current Rating: Ca
Class Description: U.S. $225,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes due
2050
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $318,750,000
Class A-3 Third Priority Senior Secured Floating Rate Delayed Draw
Notes due 2050
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $56,250,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes due
2050
Prior Rating: Ca
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $92,000,000
Class A-5 Fifth Priority Senior Secured Floating Rate Notes due
2050
Prior Rating: Ca
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $28,000,000
Class B Sixth Priority Senior Secured Floating Rate Notes due 2050
Prior Rating: Ca
Prior Rating Date: May 23, 2008
Current Rating: C
Issuer: Cairn High Grade ABS CDO II Limited
Class Description: U.S. $70,000,000
Class A-S First Priority Senior Secured Floating Rate Notes Due
2047
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: March 21, 2008
Current Rating: C
Class Description: U.S. $48,000,000
Class A-J Second Priority Senior Secured Floating Rate Notes Due
2047
Prior Rating: Ca
Prior Rating Date: March 21, 2008
Current Rating: C
Class Description: U.S. $36,000,000
Class B Third Priority Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: March 21, 2008
Current Rating: C
Issuer: Cairn Mezz ABS CDO II Limited
Class Description: U.S. $450,000,000
Class A1-VF Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $30,000,000
Class A2A Senior Secured Floating Rate Notes Due 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $120,000,000
Class A2B Senior Secured Floating Rate Notes Due 2047
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $37,500,000
Class B1 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $11,250,000
Class B2 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: February 25, 2008
Current Rating: C
Class Description: U.S. $33,750,000
Class C Mezzanine Secured Deferrable Interest Floating Rate Notes Due
2047
Prior Rating: Ca
Prior Rating Date: February 25, 2008
Current Rating: C
Issuer: Cairn Mezz ABS CDO IV, Ltd.
Class Description: U.S. $292,000,000
Class A1S Variable Funding Senior Secured Floating Rate Notes Due 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Issuer: Camber 7 plc
Class Description: U.S. $485,000,000
Class A-1 Floating Rate Secured Notes Due 2042
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: June 5, 2008
Current Rating: Ca
Class Description: U.S. $100,000,000
Class A-2 Floating Rate Secured Notes Due 2042
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: June 5, 2008
Current Rating: C
Class Description: U.S. $72,000,000
Class A-3 Floating Rate Secured Notes Due 2042
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: June 5, 2008
Current Rating: C
Class Description: U.S. $81,000,000
Class B Floating Rate Secured Notes Due 2042
Prior Rating: Ca
Prior Rating Date: June 5, 2008
Current Rating: C
Class Description: U.S. $15,500,000
Class S Floating Rate Secured Notes Due 2013
Prior Rating: A1, on review for possible downgrade
Prior Rating Date: July 2, 2008
Current Rating: WR
Issuer: Cherry Creek CDO II, Ltd.
Class Description: U.S. $329,000,000
Class A1S Variable Funding Senior Secured Floating Rate Notes Due 2047
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: April 30, 2008
Current Rating: Ca
Issuer: Citation High Grade ABS CDO I, Ltd.
Class Description: U.S. $940,500,000
Class A-1 Senior Secured Floating Rate Notes Due 2051
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: June 2, 2008
Current Rating: Ca
Class Description: U.S. $105,500,000
Class A-2 Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $23,000,000
Class B-1 Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $12,000,000
Class B-2 Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Issuer: Costa Bella CDO Ltd.
Class Description: U.S. Class A-1 Swap
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 19, 2008
Current Rating: Ca
Class Description: U.S. $250,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2046
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 19, 2008
Current Rating: Ca
Class Description: U.S. $40,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: May 19, 2008
Current Rating: C
Class Description: U.S. $30,000,000
Class B Third Priority Senior Secured Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 19, 2008
Current Rating: C
Class Description: U.S. $5,000,000
Class C Fourth Priority Senior Secured Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 19, 2008
Current Rating: C
Class Description: U.S. $23,000,000
Class D Fifth Priority Mezzanine Secured Deferrable Floating Rate Notes
Due 2046
Prior Rating: Ca
Prior Rating Date: May 19, 2008
Current Rating: C
Class Description: U.S. $18,500,000
Class E Sixth Priority Mezzanine Secured Deferrable Floating Rate Notes
Due 2046
Prior Rating: Ca
Prior Rating Date: March 26, 2008
Current Rating: C
Class Description: U.S. $10,500,000
Class F Seventh Priority Mezzanine Secured Deferrable Floating Rate Notes
Due 2046
Prior Rating: Ca
Prior Rating Date: March 26, 2008
Current Rating: C
Class Description: U.S. $7,500,000
Class G Eighth Priority Mezzanine Secured Deferrable Floating Rate Notes
Due 2046
Prior Rating: Ca
Prior Rating Date: March 26, 2008
Current Rating: C
Issuer: Duke Funding High Grade V, Ltd.
Class Description: U.S. $ Class A-1
Senior Secured Floating Rate Notes Due 2050
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: July 21, 2008
Current Rating: Ca
Class Description: U.S. $ Class A-2
Senior Secured Floating Rate Notes Due 2050
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: July 21, 2008
Current Rating: C
Class Description: U.S. $ Class B Senior Secured
Floating Rate Notes Due 2050
Prior Rating: Ca
Prior Rating Date: July 21, 2008
Current Rating: C
Issuer: Duke Funding XII, Ltd.
Class Description: U.S. $1,388,000,000
Class A-S1VFA Secured Floating Rate Notes Due 2046
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: August 4, 2008
Current Rating: Ca
Class Description: U.S. $75,000,000
Class A-S1VFB Secured Floating Rate Notes Due 2046
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: August 4, 2008
Current Rating: Ca
Issuer: E*Trade VI ABS CDO VI, Ltd.
Class Description: U.S. $260,000,000
Class A-1S Variable Funding Senior Secured Floating Rate Notes
Due 2047
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: April 22, 2008
Current Rating: Ca
Issuer: Glacier Funding CDO IV Ltd.
Class Description: U.S. $296,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2045
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: Ca
Class Description: U.S. $40,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2045
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: C
Class Description: U.S. $23,000,000
Class B Third Priority Senior Secured Floating Rate Notes Due 2045
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: C
Issuer: Grand Avenue CDO III, Ltd.
Class Description: U.S. $670,300,000
Class A-1 Floating Rate Notes Due 2052
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: June 2, 2008
Current Rating: Ca
Class Description: U.S. $79,400,000
Class A-2 Floating Rate Notes Due 2052
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $41,650,000
Class A-3 Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $28,900,000
Class B Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Issuer: GSC CDO 2007-1r, Ltd.
Class Description: U.S. $375,000,000
Class A-1LA VFN Senior Secured Floating Rate Notes due 2039
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: June 4, 2008
Current Rating: Ca
Class Description: U.S. $57,000,000
Class A-1LB Senior Secured Floating Rate Notes due 2039
Prior Rating: Ca
Prior Rating Date: June 4, 2008
Current Rating: C
Class Description: U.S. $150,000,000
Class A-1LC Senior Secured Floating Rate Notes due 2039
Prior Rating: Ca
Prior Rating Date: June 4, 2008
Current Rating: C
Issuer: Independence VII CDO, Ltd.
Class Description: U.S. $360,000,000
Class A-1A First Priority Senior Secured Floating Rate Delayed
Draw Notes due 2045
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: May 12, 2008
Current Rating: Ca
Class Description: U.S. $60,000,000
Class A-1B First Priority Senior Secured Floating Rate Notes due
2045-2
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: May 12, 2008
Current Rating: Ca
Class Description: U.S. $30,600,000
Class A-2 Second Priority Senior Secured Floating Rate Notes due
2045
Prior Rating: Ca
Prior Rating Date: May 12, 2008
Current Rating: C
Class Description: U.S. $60,000,000
Class B Third Priority Senior Secured Floating Rate Notes due 2045
Prior Rating: Ca
Prior Rating Date: May 12, 2008
Current Rating: C
Class Description: U.S. $28,500,000
Class C Fourth Priority Senior Secured Floating Rate Notes due 2045
Prior Rating: Ca
Prior Rating Date: May 12, 2008
Current Rating: C
Issuer: Ischus Mezzanine CDO III, Ltd.
Class Description: U.S. $396,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2046
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: April 23, 2008
Current Rating: Ca
Class Description: U.S. $68,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: April 23, 2008
Current Rating: C
Class Description: U.S. $62,000,000
Class B-1 Third Priority Senior Secured Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: April 23, 2008
Current Rating: C
Class Description: U.S. $10,000,000
Class B-2 Fourth Priority Senior Secured Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: April 23, 2008
Current Rating: C
Issuer: Ivy Lane CDO Ltd.
Class Description: U.S. $350,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2046-1
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: July 29, 2008
Current Rating: Ca
Issuer: Kleros Preferred Funding IV, Ltd.
Class Description: U.S. $1,200,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2051
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $200,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2051
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $400,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2051
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $91,000,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due
2051
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $55,000,000
Class B Fifth Priority Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Issuer: Kleros Preferred Funding V PLC
Class Description: U.S. $ 1,020,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2050
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $ 80,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $ 40,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2050
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $ 28,500,000
Class B Fourth Priority Senior Secured Floating Rate Notes Due 2050
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Issuer: Kleros Preferred Funding VI, Ltd.
Class Description: U.S. $1,000,000,000
Class A-1S-1A First Priority Senior Secured Delayed Draw
Floating Rate Notes due May 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $1,400,000,000
Class A-1S-1B First Priority Senior Secured Floating Rate
Notes due May 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $300,000,000
Class A-1S-2 Second Priority Senior Secured Floating Rate
Notes due May 2047
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $169,500,000
Class A-1J Third Priority Senior Secured Floating Rate Notes due
May 2047
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $56,000,000
Class A-2 Fourth Priority Senior Secured Floating Rate Notes due
May 2047
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Issuer: Kleros Real Estate CDO I, Ltd.
Class Description: U.S. $900,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
October 2046
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 12, 2008
Current Rating: Ca
Class Description: U.S. $30,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
October 2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 12, 2008
Current Rating: C
Class Description: U.S. $18,700,000
Class B Third Priority Senior Secured Floating Rate Notes Due October
2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: April 23, 2008
Current Rating: C
Class Description: U.S. $20,000,000
Class C Fourth Priority Senior Secured Floating Rate Notes Due October
2046
Prior Rating: Ca
Prior Rating Date: April 23, 2008
Current Rating: C
Issuer: Kleros Real Estate CDO II, Ltd.
Class Description: U.S. $775,000,000
Class A-1A First Priority Senior Secured Floating Rate Notes due
November 2046
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: April 16, 2008
Current Rating: Ca
Class Description: U.S. $125,000,000
Class A-1B Notes Second Priority Senior Secured Floating Rate Notes
due November 2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: April 16, 2008
Current Rating: C
Class Description: U.S. $23,000,000
Class A-2 Notes Third Priority Senior Secured Floating Rate Notes
due November 2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: April 16, 2008
Current Rating: C
Class Description: U.S. $18,700,000
Class B Notes Fourth Priority Senior Secured Floating Rate Notes due November
2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: April 16, 2008
Current Rating: C
Class Description: U.S. $27,000,000
Class C Notes Fifth Priority Senior Secured Floating Rate Notes due November
2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: April 16, 2008
Current Rating: C
Issuer: Lacerta ABS CDO 2006-1, Ltd.
Class Description: U.S. $200,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: C
Class Description: U.S. $100,000,000
Class A-2 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: C
Class Description: U.S. $110,000,000
Class B Floating Rate Deferrable Interest Secured Notes Due 2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: C
Class Description: U.S. $80,000,000
Class C Floating Rate Deferrable Interest Secured Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 9, 2008
Current Rating: C
Issuer: Laguna Seca Funding I, Ltd.
Class Description: U.S. $250,000,000
Class A-1 VFN Senior Secured Floating Rate Notes due 2047
Prior Rating: B1
Prior Rating Date: April 24, 2008
Current Rating: Ca
Class Description: U.S. $65,000,000
Class A-2 Senior Secured Floating Rate Notes due 2047
Prior Rating: Ca
Prior Rating Date: April 24, 2008
Current Rating: C
Class Description: U.S. $65,000,000
Class A-3 Senior Secured Floating Rate Notes due 2047
Prior Rating: Ca
Prior Rating Date: April 24, 2008
Current Rating: C
Class Description: U.S. $40,000,000
Class A-4 Senior Secured Floating Rate Notes due 2047
Prior Rating: Ca
Prior Rating Date: April 24, 2008
Current Rating: C
Issuer: Longridge ABS CDO I, Ltd.
Class Description: U.S. $175,000,000
Class A-1 Swap Transaction
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: March 26, 2008
Current Rating: Ca
Class Description: U.S. $160,000,000
Class A-1 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: March 26, 2008
Current Rating: Ca
Class Description: U.S. $55,000,000
Class A-2 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: March 26, 2008
Current Rating: C
Class Description: U.S. $37,000,000
Class B Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: March 26, 2008
Current Rating: C
Class Description: U.S. $22,000,000
Class C Mezzanine Deferrable Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: March 26, 2008
Current Rating: C
Class Description: U.S. $15,000,000
Class D Mezzanine Deferrable Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: November 8, 2007
Current Rating: C
Issuer: Longshore CDO Funding 2006-2, Ltd.
Class Description: U.S. $870,000,000
Class A-1 Floating Rate Notes Due 2046
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $60,000,000
Class A-2 Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $42,000,000
Class B Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Issuer: Maxim High Grade CDO I, Ltd.
Class Description: U.S. $1,200,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2048
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: April 18, 2008
Current Rating: Ca
Class Description: U.S. $250,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2048
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: April 18, 2008
Current Rating: C
Class Description: U.S. $250,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2048
Prior Rating: Ca
Prior Rating Date: April 18, 2008
Current Rating: C
Issuer: Maxim High Grade CDO II, Ltd.
Class Description: U.S. $1,200,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2053
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: April 18, 2008
Current Rating: Ca
Class Description: U.S. $500,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Prior Rating Date: April 18, 2008
Current Rating: C
Class Description: U.S. $100,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Prior Rating Date: April 18, 2008
Current Rating: C
Class Description: U.S. $100,000,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Prior Rating Date: April 18, 2008
Current Rating: C
Class Description: U.S. $36,500,000
Class B Fifth Priority Senior Secured Floating Rate Notes Due 2053
Prior Rating: Ca
Prior Rating Date: April 18, 2008
Current Rating: C
Issuer: McKinley Funding III, Ltd.
Class Description: U.S. $1,230,000,000
Class A-1 Senior Secured Floating Rate Notes Due 2046
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: June 9, 2008
Current Rating: Ca
Class Description: U.S. $205,000,000
Class A-2 Senior Secured Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: June 9, 2008
Current Rating: C
Class Description: U.S. $38,000,000
Class B-1 Senior Secured Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: June 9, 2008
Current Rating: C
Class Description: U.S. $15,000,000
Class B-2 Senior Secured Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: January 3, 2008
Current Rating: C
Class Description: U.S. $7,000,000
Class C Senior Secured Deferrable Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: January 3, 2008
Current Rating: C
Class Description: U.S. $ 18,000 Preference
Shares (US $18,000,000 Aggregate Liquidation Preference)
Prior Rating: Ca
Prior Rating Date: January 3, 2008
Current Rating: C
Issuer: Millstone IV CDO, Ltd.
Class Description: U.S. $682,000,000
Class A-1A Floating Rate Notes Due 2047
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: June 4, 2008
Current Rating: Ca
Class Description: U.S. $682,000,000
Class A-1B Floating Rate Notes Due 2047
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: June 4, 2008
Current Rating: Ca
Class Description: U.S. $682,000,000
Class A-1C Floating Rate Notes Due 2047
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: June 4, 2008
Current Rating: Ca
Issuer: Montrose Harbor CDO I, Ltd.
Class Description: U.S. $342,500,000
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2051
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 18, 2008
Current Rating: Ca
Issuer: Pinnacle Point Funding II Ltd.
Class Description: U.S. $ Up to US $1,800,000,000
Class A-1B Notes due 2052
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $111,000,000
Class A-2 Floating Rate Notes due 2052
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $33,000,000
Class B Floating Rate Notes due 2052
Prior Rating: Ca
Prior Rating Date: March 5, 2008
Current Rating: C
Issuer: Pyxis ABS CDO 2007-1 Ltd.
Class Description: U.S. $945,000,000
Class A-1 Variable Funding Senior Secured Floating Rate Notes Due
2047
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: March 13, 2008
Current Rating: Ca
Class Description: U.S. $168,000,000
Class A-2 Senior Secured Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: March 13, 2008
Current Rating: C
Class Description: U.S. $43,000,000
Class S Senior Secured Notes Due 2047
Prior Rating: Ca
Prior Rating Date: March 13, 2008
Current Rating: C
Issuer: Raffles Place II Funding, Ltd.
Class Description: U.S. $600,000,000
Class A1M Floating Rate Notes Due 2047
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: June 4, 2008
Current Rating: Ca
Class Description: U.S. $260,000,000
Class A1Q Floating Rate Notes Due 2047
Prior Rating: Ca
Prior Rating Date: June 4, 2008
Current Rating: C
Issuer: Ridgeway Court Funding II, Ltd.
Class Description: U.S. Up to US $840,000,000
Class A1A Floating Rate Notes Due June 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $660,000,000
Class A1B Floating Rate Notes Due June 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $450,000,000
Class A1C Floating Rate Notes Due June 2047
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 29, 2008
Current Rating: Ca
Class Description: U.S. $300,000,000
Class A1X Floating Rate Notes Due June 2047
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $225,000,000
Class A2 Floating Rate Notes Due June 2047
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $225,000,000
Class A3 Floating Rate Notes Due June 2047
Prior Rating: Ca
Prior Rating Date: May 29, 2008
Current Rating: C
Class Description: U.S. $126,000,000
Class A4 Floating Rate Notes Due June 2047
Prior Rating: Ca
Prior Rating Date: January 23, 2008
Current Rating: C
Class Description: U.S. $80,000,000
Class A5 Floating Rate Notes Due June 2047
Prior Rating: Ca
Prior Rating Date: January 23, 2008
Current Rating: C
Issuer: Robeco High Grade CDO I, Ltd.
Class Description: U.S. $550,000,000
Class A-1 First Priority Senior Secured Delayed Draw Floating Rate
Notes Due 2053
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $385,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $55,000,000
Class A-3 Third Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $64,900,000
Class A-4 Fourth Priority Senior Secured Floating Rate Notes Due
2053
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $19,000,000
Class B Fifth Priority Senior Secured Floating Rate Notes Due 2053
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Issuer: Sagittarius CDO I Ltd.
Class Description: U.S. $630,000,000
Super Senior Swap
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 23, 2008
Current Rating: Ca
Class Description: U.S. $133,000,000
Class A Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $82,500,000
Class B Senior Secured Floating Rate Notes Due 2051
Prior Rating: Ca
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $45,000,000
Class C Secured Floating Rate Deferrable Interest Notes Due 2051
Prior Rating: Ca
Prior Rating Date: May 23, 2008
Current Rating: C
Class Description: U.S. $14,500,000
Class D-1 Secured Floating Rate Deferrable Interest Notes Due 2051
Prior Rating: Ca
Prior Rating Date: November 2, 2007
Current Rating: C
Class Description: U.S. $27,500,000
Class D-2 Secured Floating Rate Deferrable Interest Notes Due 2051
Prior Rating: Ca
Prior Rating Date: November 2, 2007
Current Rating: C
Class Description: U.S. $12,500,000
Class D-3 Secured Floating Rate Deferrable Interest Notes Due 2051
Prior Rating: Ca
Prior Rating Date: November 2, 2007
Current Rating: C
Class Description: U.S. $10,000,000
Class E Secured Floating Rate Deferrable Interest Notes Due 2051
Prior Rating: Ca
Prior Rating Date: November 2, 2007
Current Rating: C
Class Description: U.S. $15,000,000
Class X Secured Floating Rate Deferrable Interest Notes Due 2051
Prior Rating: Ca
Prior Rating Date: November 2, 2007
Current Rating: C
Issuer: Scorpius CDO, Ltd.
Class Description: Class A-1 First Priority Senior Secured
Floating Rate Notes due November 2046
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: March 12, 2008
Current Rating: Ca
Class Description: Class A-2A Second Priority Senior Secured
Floating Rate Notes due November 2046
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: March 12, 2008
Current Rating: C
Class Description: Class A-2B Third Priority Senior Secured
Floating Rate Notes due November 2046
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: March 12, 2008
Current Rating: C
Class Description: Class B Fourth Priority Senior Secured Floating
Rate Notes due November 2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: March 12, 2008
Current Rating: C
Class Description: Class C Fifth Priority Senior Secured Floating
Rate Notes due November 2046
Prior Rating: Ca
Prior Rating Date: March 12, 2008
Current Rating: C
Class Description: Class D Sixth Priority Mezzanine Secured Floating
Rate Notes due November 2046
Prior Rating: Ca
Prior Rating Date: March 12, 2008
Current Rating: C
Issuer: Singa Funding, Ltd.
Class Description: U.S. $600,000,000
Class A1M Floating Rate Notes Due 2046
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: August 6, 2008
Current Rating: Ca
Class Description: U.S. $260,000,000
Class A1Q Floating Rate Notes Due 2046
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: August 6, 2008
Current Rating: C
Issuer: Sorin VI CDO Ltd.
Class Description: U.S. $346,500,000
Class A-1LA Floating Rate Notes Due 2052
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 28, 2008
Current Rating: Ca
Class Description: U.S. $49,500,000
Class A-1LB Floating Rate Notes Due 2052
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: May 28, 2008
Current Rating: C
Class Description: U.S. $79,200,000
Class A-2L Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: May 28, 2008
Current Rating: C
Class Description: U.S. $22,000,000
Class A-3L Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: May 28, 2008
Current Rating: C
Issuer: Stockton CDO Ltd.
Class Description: U.S. $495,000,000
Class A-1 Variable Funding Senior Secured Floating Rate Notes Due
2052
Prior Rating: B1, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: Ca
Class Description: U.S. $90,000,000
Class A-2 Senior Secured Floating Rate Notes Due 2052
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $54,000,000
Class A-3 Senior Secured Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: May 30, 2008
Current Rating: C
Class Description: U.S. $81,000,000
Class B Senior Secured Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: March 5, 2008
Current Rating: C
Issuer: TABS 2005-4, Ltd.
Class Description: U.S. $264,000,000
Class A Senior Secured Floating Rate Notes Due 2045
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: August 4, 2008
Current Rating: Ca
Class Description: U.S. $60,000,000
Class B Senior Secured Floating Rate Notes Due 2045
Prior Rating: Caa3, on review for possible downgrade
Prior Rating Date: August 4, 2008
Current Rating: C
Class Description: U.S. $30,000,000
Class C Senior Secured Floating Rate Notes Due 2045
Prior Rating: Ca
Prior Rating Date: August 4, 2008
Current Rating: C
Issuer: Tahoma CDO, Ltd.
Class Description: U.S. $304,000,000
Class A-1A Senior Secured Floating Rate Notes due 2047
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: April 15, 2008
Current Rating: Ca
Class Description: U.S. $21,000,000
Class A-1B Senior Secured Floating Rate Notes due 2047
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: April 15, 2008
Current Rating: C
Class Description: U.S. $325,000,000
Class A-2 Senior Secured Floating Rate Notes due 2047
Prior Rating: Ca
Prior Rating Date: April 15, 2008
Current Rating: C
Class Description: U.S. $200,000,000
Class A-3 Senior Secured Floating Rate Notes due 2047
Prior Rating: Ca
Prior Rating Date: April 15, 2008
Current Rating: C
Issuer: Tazlina Funding CDO I, Ltd.
Class Description: U.S. $ 1,320,000,000
Class A-1 First Priority Senior Secured Floating Rate Notes due
September 2046
Prior Rating: Ba2, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: Ca
Class Description: U.S. $ 85,000,000
Class A-2 Second Priority Senior Secured Floating Rate Notes due
September 2046
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: May 9, 2008
Current Rating: C
Issuer: Tazlina Funding CDO II, Ltd.
Class Description: U.S. $900,000,000
Class A-1 First Priority Senior Floating Rate Delayed Draw Notes
Due 2054
Prior Rating: B3, on review for possible downgrade
Prior Rating Date: June 2, 2008
Current Rating: Ca
Class Description: U.S. $450,000,000
Class A-2 Second Priority Senior Floating Rate Notes Due 2054
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $105,000,000
Class A-3 Third Priority Senior Floating Rate Notes Due 2054
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $17,500,000
Class B Fourth Priority Senior Floating Rate Notes Due 2054
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Class Description: U.S. $2,500,000
Class C Fifth Priority Senior Floating Rate Notes Due 2054
Prior Rating: Ca
Prior Rating Date: June 2, 2008
Current Rating: C
Issuer: Topanga CDO II, Ltd.
Class Description: U.S. $ Up to US $650,000,000
Class S Floating Rate Senior Secured Notes Due 2046
Prior Rating: B2, on review for possible downgrade
Prior Rating Date: May 6, 2008
Current Rating: Ca
Class Description: U.S. $161,000,000
Class A-1 Floating Rate Senior Secured Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 6, 2008
Current Rating: C
Issuer: Tourmaline CDO III Ltd.
Class Description: U.S. $1,050,000,000
Class A-1 Senior Floating Rate Notes Due 2052
Prior Rating: Ba1, on review for possible downgrade
Prior Rating Date: April 10, 2008
Current Rating: Ca
Class Description: U.S. $141,250,000
Class A-2 FLT Senior Floating Rate Notes Due 2052
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $5,000,000
Class A-2 FXD Senior Fixed Rate Notes Due 2052
Prior Rating: Caa2, on review for possible downgrade
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $50,000,000
Class B-1 Senior Floating Rate Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $40,500,000
Class B-2 Floating Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $94,000,000
Class C Floating Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $6,000,000
Class D-1 Floating Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $33,000,000
Class D-2 FLT Floating Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $6,000,000
Class D-2 HYB Floating/Fixed Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $16,500,000
Class D-3 Floating Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $11,250,000
Class E Floating Rate Deferrable Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Class Description: U.S. $6,000,000
Combination Notes Due 2052
Prior Rating: Ca
Prior Rating Date: April 10, 2008
Current Rating: C
Issuer: Vertical Virgo 2006-1, Ltd.
Class Description: U.S. $1,266,000,000
Class A1S Variable Funding Senior Secured Floating Rate Notes Due 2046
Prior Rating: Ba3, on review for possible downgrade
Prior Rating Date: May 18, 2008
Current Rating: Ca
Class Description: U.S. $255,000,000
Class A1J Senior Secured Floating Rate Notes Due 2046
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: May 18, 2008
Current Rating: C
Class Description: U.S. $177,000,000
Class A2 Senior Secured Floating Rate Notes Due 2046
Prior Rating: Caa1, on review for possible downgrade
Prior Rating Date: May 18, 2008
Current Rating: C
Class Description: U.S. $80,000,000
Class A3 Secured Deferrable Interest Floating Rate Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 18, 2008
Current Rating: C
Class Description: U.S. $17,500,000
Class B1 Mezzanine Secured Deferrable Interest Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: May 18, 2008
Current Rating: C
Class Description: U.S. $74,500,000
Class B2 Mezzanine Secured Deferrable Interest Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: May 18, 2008
Current Rating: C
Class Description: U.S. $20,000,000
Class B3 Mezzanine Secured Deferrable Interest Floating Rate Notes Due
2046
Prior Rating: Ca
Prior Rating Date: May 18, 2008
Current Rating: C
Class Description: U.S. $40,000,000
Class I Subordinated Notes Due 2046
Prior Rating: Ca
Prior Rating Date: May 18, 2008
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
