New York, April 24, 2009 -- Moody's Investors Service announced today that it has downgraded its ratings
of 122 Notes issued by 41 collateralized debt obligation transactions
which consist of significant exposure to one or more of Alt-A,
Option-ARM and subprime RMBS securities, CLOs, or CMBS.
Moody's explained that the rating actions listed below reflect certain
updates and projections and recent rating actions on underlying assets
on these asset classes as described below. Some of the deals have
also experienced an Event of Default.
Moody's revised loss projections for Alt-A RMBS securities which
were described in a press release titled "Moody's Updated Loss Projections
for '06 and '07 Alt-A RMBS," published on January 22,
2009. According to the press release, on average, Moody's
is now projecting cumulative losses of about 20% for 2006 securitizations
and about 24% for 2007 securitizations. For more details
on the revised loss projections and Moody's updated Alt-A surveillance
methodology, please see "Alt-A RMBS Loss Projection Update:
January 2009," available on Moodys.com. Moody's revised
loss projections for Option ARMs RMBS securities issued in the US since
2004 which were described in a press release titled "Moody's updates loss
projections for Option ARMs RMBS" published on February 5, 2009.
According to the press release, on average, Moody's is now
projecting cumulative losses of 27% for 2006 and 30% for
2007 vintage Option ARM securitizations. For more details on the
revised loss projections and Moody's updated Option ARMs surveillance
methodology, please see "Option ARMs Loss Projection Update:
February 2009" available on Moodys.com.
Moody's revised loss projections for subprime RMBS issued from 2005 to
2007 were described in a press release titled "2005-7 subprime
RMBS on downgrade review" published on February 26, 2009.
The revised loss projection for 2006 vintage subprime pools is expected
to fall within the range of 28% to 32% of the original balance
of such pools, whereas Moody's previous estimate was 22%.
For 2005 and 2007 pools, such projections are expected to range
from 12% to 14% and 33% to 37% of original
balance, respectively.
A review of all U.S. commercial mortgage backed securities
(CMBS) conduit and fusion transactions rated during the period from 2006
through 2008, and all large loan and single borrower transactions
regardless of vintage was concluded recently. The review was announced
in a Press Release titled "Moody's announces review of Certain U.S.
CMBS Ratings " on February 5, 2009.
Moody's announced revisions and updates to certain key assumptions,
including Default Probability and Diversity Score, that it uses
to rate and monitor collateralized loan obligations (CLOs) in a Press
Release titled "Moody's updates key assumptions for rating CLOs" published
on February 4, 2009. The completion of the first stage of
its two-stage review of U.S. and EMEA cash flow CLOs
was announced on March 27, 2009. As of March 23, Moody's
had downgraded approximately 2,071 tranches from 668 transactions.
In addition, Moody's explained that the rating actions taken today
incorporate the application of revised and updated key modeling parameter
assumptions that Moody's uses to rate and monitor ratings of SF CDOs.
The revisions affect the three key parameters in Moody's model for rating
SF CDOs: asset correlation, default probability and recovery
rate. Moody's announced the changes to these assumptions in a press
release titled "Moody's Updates its Key Assumptions for Rating Structured
Finance CDOs," published on December 11, 2008.
Moody's initially analyzed and continues to monitor these transactions
using primarily the methodology and its supplements for ABS CDOs as described
in Moody's Special Report below:
- Moody's Approach to Rating SF CDOs (March 2009)
This report 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:
Abacus 2006-12, Inc.
U.S. $95,000,000 Class A-1 Floating
Rate Notes, Due 2038, Downgraded to C; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S. $44,900,000 Class A-2 Floating
Rate Notes, Due 2038, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
U.S. $20,100,000 Class B Floating Rate
Notes, Due 2038, Downgraded to C; previously on 5/30/2008
Downgraded to Ca
U.S. $37,500,000 Class C Floating Rate
Notes, Due 2038, Downgraded to C; previously on 5/30/2008
Downgraded to Ca
U.S. $8,750,000 Class D Floating Rate
Notes, Due 2038, Downgraded to C; previously on 5/30/2008
Downgraded to Ca
ABSpoke 2006-IIC Segregated Portfolio
U.S.$15,000,000 Variable Floating Rate
Notes Due 2037, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa2 and remains on Review for Possible Downgrade
ABSpoke 2006-IIIC Segregated Portfolio
U.S.$30,000,000 Variable Floating Rate
Notes Due 2045, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
ART CDO 2006-1, Ltd.
U.S.$865,000,000 Class A1S Senior Floating
Rate Notes Due August 2046, Downgraded to Ca; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Baldwin 2006-II Segregated Portfolio
U.S.$25,500,000 Variable Floating Rate
Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Baldwin 2006-III Segregated Portfolio
U.S.$18,000,000 Variable Floating Rate
Notes Due 2046, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Baldwin 2006-IV Segregated Portfolio
U.S.$51,000,000 Variable Floating Rate
Notes Due 2038, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Baldwin 2006-V Segregated Portfolio
U.S.$7,000,000 Variable Floating Rate
Notes Due 2046, Downgraded to C; previously on 7/29/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Baldwin 2006-VI Segregated Portfolio
U.S.$15,000,000 Class A Variable Floating
Rate Notes Due 2046, Downgraded to C; previously on 7/29/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Baldwin 2006-VII Segregated Portfolio
Class A-1 Notes, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Class A-2 Notes, Downgraded to C; previously on 7/29/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Citius I Funding, Ltd.
Class A LT, Downgraded to Ca; previously on 12/16/2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
Class A ST, Downgraded to Ca; previously on 12/16/2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
Class A-1, Downgraded to C; previously on 12/16/2008
Downgraded to Ca
Class A-2, Downgraded to C; previously on 4/23/2008
Downgraded to Ca
Class B, Downgraded to C; previously on 4/3/2008 Downgraded
to Ca
Class C, Downgraded to C; previously on 4/3/2008 Downgraded
to Ca
Class D, Downgraded to C; previously on 4/3/2008 Downgraded
to Ca
Class E, Downgraded to C; previously on 4/3/2008 Downgraded
to Ca
Coldwater CDO, Ltd.
U.S. $290,000,000 Class A-1 Floating
Rate Senior Secured Notes due 2046, Downgraded to C; previously
on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
U.S. 32,000,000 Class A-2 Floating Rate
Senior Secured Notes due 2046, Downgraded to C; previously
on 5/8/2008 Downgraded to Ca
U.S. $29,000,000 Class A-3 Floating
Rate Senior Secured Notes due 2046, Downgraded to C; previously
on 5/8/2008 Downgraded to Ca
Diversey Harbor ABS CDO, Ltd.
U.S.$1,250,000,000 Class A-1M
Floating Rate Senior Secured Notes due 2046, Downgraded to Ca;
previously on 12/16/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
U.S.$675,000,000 Class A-1Q Floating
Rate Senior Senior Secured Notes due 2046, Downgraded to Ca;
previously on 12/16/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
E*TRADE ABS CDO V, Ltd.
U.S.$30,000,000 Class A-1J Senior
Secured Floating Rate Notes Due 2046, Downgraded to C; previously
on 5/18/2008 Downgraded to Ca
U.S.$201,000,000 Class A-1S Senior
Secured Floating Rate Notes Due 2046, Downgraded to C; previously
on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S.$25,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2046, Downgraded to C; previously
on 5/18/2008 Downgraded to Ca
Eirles Two Limited Series 242
Class B, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 243
Class B, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 244
Class B, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 245
Class B, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Eirles Two Limited Series 247
Class B, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
FAB US 2006-1 PLC
U.S.$215,800,000 Class A1 Floating Rate
Notes Due 2047, Downgraded to Ca; previously on 12/22/2008
Downgraded to Ba3 and remains on Review for Possible Downgrade
U.S.$59,000,000 Class A2 Floating Rate
Notes Due 2047, Downgraded to C; previously on 12/22/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
U.S.$31,000,000 Class A3 Floating Rate
Notes Due 2047, Downgraded to C; previously on 5/19/2008 Downgraded
to Ca
U.S.$8,650,000 Class S Floating Rate
Notes Due 2015, Downgraded to Ca; previously on 12/22/2008
Downgraded to B2 and remains on Review for Possible Downgrade
Grand Avenue CDO II, Ltd.
U.S.$1,128,000,000 Class A-1A
Floating Rate Notes Due 2046, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S.$150,000,000 Class A-1B Floating
Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008
Downgraded to Ca
U.S.$42,000,000 Class A-2 Floating
Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008
Downgraded to Ca
U.S.$61,500,000 Class A-3 Floating
Rate Notes Due 2046, Downgraded to C; previously on 6/2/2008
Downgraded to Ca
U.S.$66,000,000 Class B Floating Rate
Notes Due 2046, Downgraded to C; previously on 6/2/2008 Downgraded
to Ca
IMAC CDO 2006-1, Ltd.
U.S.$75,000,000 Class A-1 First
Priority Senior Secured Floating Rate Delayed Draw Notes due 2051,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
U.S.$110,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes due 2051, Downgraded
to C; previously on 5/30/2008 Downgraded to Ca
U.S.$16,000,000 Class B Third Priority
Senior Secured Floating Rate Notes due 2051, Downgraded to C;
previously on 5/30/2008 Downgraded to Ca
U.S.$35,000,000 Class C Fourth Priority
Senior Secured Floating Rate Notes due 2051, Downgraded to C;
previously on 5/30/2008 Downgraded to Ca
U.S.$5,500,000 Class D Fifth Priority
Senior Secured Floating Rate Notes due 2051, Downgraded to C;
previously on 5/30/2008 Downgraded to Ca
IXIS ABS CDO 3 Ltd.
Class A-1LA Investor Swap, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Caa2 and remains on Review for Possible Downgrade
U.S.$76,000,000 Class A-1LB Floating
Rate Notes Due December 2046, Downgraded to C; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S.$28,000,000 Class A-2L Floating
Rate Notes Due December 2046, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
U.S.$30,000,000 Class A-3L Floating
Rate Notes Due December 2046, Downgraded to C; previously on
5/30/2008 Downgraded to Ca
U.S.$22,000,000 Class B-1L Floating
Rate Notes Due December 2046, Downgraded to C; previously on
3/26/2008 Downgraded to Ca
U.S.$8,000,000 Class B-2L Floating
Rate Notes Due December 2046, Downgraded to C; previously on
11/6/2007 Downgraded to Ca
U.S.$16,000,000 Class X Notes Due December
2013, Downgraded to C; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
Jupiter High-Grade CDO IV, Ltd.
A-1A, Downgraded to Ca; previously on 12/16/2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
A-1B, Downgraded to Ca; previously on 12/16/2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
A-2, Downgraded to C; previously on 6/2/2008 Downgraded
to Ca
B, Downgraded to C; previously on 6/2/2008 Downgraded to Ca
C, Downgraded to C; previously on 6/2/2008 Downgraded to Ca
Klio III Funding, Ltd.
U.S.$205,000,000 Class A-1 Floating
Rate Notes Due 2040, Downgraded to C; previously on 12/4/2008
Downgraded to Ca
U.S.$75,000,000 Class A-2 Floating
Rate Subordinate Notes Due 2040, Downgraded to C; previously
on 12/4/2008 Downgraded to Ca
US $3,583,142,000 Class F Float Rate Funded Note
Due 11/1/2040, Downgraded to Ca; previously on 12/17/2008 Downgraded
to B2 and remains on Review for Possible Downgrade
LOCHSONG, LTD.
U.S.$ 1,032,000,000 Notional Outstanding
Amount Senior Swap, Downgraded to C; previously on 9/3/2008
Downgraded to Ca
U.S.$ 18,000,000 Class A Floating Rate
Notes Due 2046, Downgraded to C; previously on 9/3/2008 Downgraded
to Ca
U.S.$ 12,100,000 Class S Floating Rate
Notes Due 2010, Downgraded to Ca; previously on 12/16/2008
Downgraded to Caa1 and remains on Review for Possible Downgrade
Madaket Funding I Ltd
US$500,000,000 Class A1M Floating Rate Notes Due 2046,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and
remains on Review for Possible Downgrade
US$300,000,000 Class A1Q Floating Rate Notes Due 2046,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa2 and
remains on Review for Possible Downgrade
US$50,000,000 Class A2 Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/17/2008 Downgraded to Ca
US$80,000,000 Class A3 Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/17/2008 Downgraded to Ca
US$28,000,000 Class A4 Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/17/2008 Downgraded to Ca
Magnolia Finance II Series 2006-8B
USD 17,500,000 ABS Portfolio Variable Rate Notes due November
2044, Downgraded to C; previously on 4/24/2008 Downgraded to
Caa3 and remains on Review for Possible Downgrade
Mercury CDO III, Ltd.
U.S.$900,000,000 Class A-1 First
Priority Delayed Draw Senior Secured Floating Rate Notes Due 2048,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
U.S.$30,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2048, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
U.S.$40,000,000 Class B Third Priority
Senior Secured Floating Rate Notes Due 2048, Downgraded to C;
previously on 6/9/2008 Downgraded to Ca
Millstone III CDO, Ltd.
U.S.$2,000,000,000 Class A-1A
Floating Rate Term Notes Due 2046, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Caa1 and remains on Review for Possible Downgrade
U.S.$71,500,000 Class A-1B Floating
Rate Delayed Draw Notes Due 2046, Downgraded to C; previously
on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
U.S.$70,000,000 Class A-2 Floating
Rate Notes Due 2046, Downgraded to C; previously on 12/16/2008
Downgraded to Ca
U.S$20,000,000 Class B Floating Rate Notes Due
2046, Downgraded to C; previously on 5/30/2008 Downgraded to
Ca
Montauk Point CDO II, Ltd
Class A-1J, Downgraded to C; previously on 12/16/2008
Downgraded to Ca
Class A-1S, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Class A-2, Downgraded to C; previously on 4/24/2008
Downgraded to Ca
Class A-3, Downgraded to C; previously on 4/24/2008
Downgraded to Ca
Monterey CDO, Ltd.
U.S.$240,000,000 Class A-1A First
Priority Senior Secured Floating Rate Delayed Draw Notes Due September
2042, Downgraded to Ca; previously on 12/16/2008 Downgraded
to Caa3 and remains on Review for Possible Downgrade
U.S.$560,000,000 Class A-1B First
Priority Senior Secured Floating Rate Notes Due September 2042,
Downgraded to Ca; previously on 12/16/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
U.S.$80,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due September 2042,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
U.S.$51,000,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes Due September 2042,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
U.S.$34,000,000 Class B Fourth Priority
Senior Secured Floating Rate Notes Due September 2042, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
U.S.$7,000,000 Class C Fifth Priority
Senior Secured Floating Rate Notes Due September 2042, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
Mount Skylight CDO Ltd.
$890,000,000 Class A-1 Floating Rate Notes Due
Nov, Downgraded to Ca; previously on 12/16/2008 Downgraded
to Caa1 and remains on Review for Possible Downgrade
$51,500,000 Class A-2 Floating Rate Notes Due
Nove, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
$30,000,000 Class B Floating Rate Notes Due Novemb,
Downgraded to C; previously on 12/16/2008 Downgraded to Ca
Nassau CDO I, Ltd.
U.S.$600,000,000 Class A-1A First
Priority Senior Secured Delayed Draw Floating Rate Notes Due 2051,
Downgraded to C; previously on 12/16/2008 Downgraded to Caa3 and
remains on Review for Possible Downgrade
U.S.$600,000,000 Class A-1B First
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to C; previously on 12/16/2008 Downgraded to Caa3 and remains on
Review for Possible Downgrade
U.S.$120,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to C; previously on 6/5/2008 Downgraded to Ca
U.S.$111,000,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to C; previously on 6/5/2008 Downgraded to Ca
U.S.$36,000,000 Class B Fourth Priority
Senior Secured Floating Rate Notes Due 2051, Downgraded to C;
previously on 6/5/2008 Downgraded to Ca
Neptune CDO III, Ltd.
Class A-1, Downgraded to C; previously on 10/6/2008
Downgraded to Ca
Class A-2, Downgraded to C; previously on 10/6/2008
Downgraded to Ca
Class A-3, Downgraded to C; previously on 10/6/2008
Downgraded to Ca
Class S, Downgraded to C; previously on 12/16/2008 Downgraded
to B1 and remains on Review for Possible Downgrade
NORTH COVE CDO III, LTD.
Unfunded supersenior tranche, Downgraded to Ca; previously
on 12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Pacific Pinnacle CDO Ltd
Class X Interest Only Notes Due January 2019, Downgraded to Ca;
previously on 12/16/2008 Downgraded to Caa3 and remains on Review for
Possible Downgrade
U.S.$800,000,000 Class A-1LA Floating
Rate Notes Due January 2052, Downgraded to Ca; previously on
12/16/2008 Downgraded to Caa3 and remains on Review for Possible Downgrade
Static Residential CDO 2006-B Ltd.
Class A-1(a) Floating Rate Notes, due 2037, Downgraded
to C; previously on 6/9/2008 Downgraded to Caa3 and remains on Review
for Possible Downgrade
Class A-1(b) Floating Rate Notes, due 2037, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
Class A-2 Floating Rate Notes, due 2037, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
Class B-1 Floating Rate Notes, due 2037, Downgraded
to C; previously on 6/9/2008 Downgraded to Ca
Class B-2 Deferrable Interest Floating Rate Notes, due 2037,
Downgraded to C; previously on 4/9/2008 Downgraded to Ca
Tierra Alta Funding I, Ltd.
US $90,000,000 Class A1 Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
US $155,000,000 Class A2 Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
US $47,600,000 Class A3A Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
US $2,400,000 Class A3B Floating Rate Notes Due 2046,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
US $6,000,000 Class Q Combination Notes Due 2046,
Downgraded to C; previously on 10/28/2008 Downgraded to Ca
Class F Notes, Downgraded to Ca; previously on 12/16/2008 Downgraded
to B2 and remains on Review for Possible Downgrade
UBS CDS Ref. #37395430
First Loss Tranche, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
Vertical ABS CDO 2006-2, Ltd.
Class A1, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
Class A2, Downgraded to C; previously on 12/16/2008 Downgraded
to Ca
Class A3, Downgraded to C; previously on 5/9/2008 Downgraded
to Ca
Class A-S1VF, Downgraded to C; previously on 12/16/2008
Downgraded to Caa3 and remains on Review for Possible Downgrade
New York
Stephen Lioce
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Sindhu Veluri
Asst Vice President - Analyst
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
Moody's lowers ratings of 122 Notes issued by 41 structured finance CDO transactions