Moody's lowers ratings of 164 Notes issued by 75 structured finance CDO transactions
New York, December 11, 2008 -- Moody's Investors Service announced today that it has downgraded its ratings
of 164 Notes issued by certain collateralized debt obligation transactions
backed by structured finance securities ("SF CDOs"),
each of which originated in 2007 or 2008.
Moody's explained that the rating actions taken today are the result
of the application of revised and updated key modelling parameter assumptions
that Moody's uses to rate and monitor ratings of SF CDOs.
The revisions affect the three key parameters in Moody's model for
rating SF CDOs: asset correlation, default probability and
recovery rate. Moody's announced the changes to these assumptions
in a press release titled "Moody's Updates its Key Assumptions
for Rating Structured Finance CDOs," published on December
11, 2008.
Moody's noted that most of the lowered ratings remain on review
for possible downgrade due to the continuing weakness in the performance
of and outlook for structured finance securities that back SF CDOs.
Moody's anticipates that in the coming days it will announce additional
rating actions applicable to SF CDOs of earlier vintages as the revised
assumptions are applied to those transactions.
For more information please see www.moodys.com
Today's rating actions are as follows:
ABCDS 2006-1, Ltd.
U.S.$200,000,000 Senior Swap Agreement
with Royal Bank of Canada, London Branch (the "SeniorSwap"),
Downgraded to Caa1 Under Review for Possible Downgrade; previously
on 5/18/2008 B1 Placed Under Review for Possible Downgrade
Acacia CDO 11, Ltd.
U.S.$398,000,000 Class A First Priority
Senior Secured Floating Rate Notes Due 2047, Downgraded to Caa3
Under Review for Possible Downgrade; previously on 7/17/2008 Caa1
Placed Under Review for Possible Downgrade
Acacia CDO 12, Ltd.
U.S. $100,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2047, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 8/7/2008
Caa2 Placed Under Review for Possible Downgrade
U.S. $291,500,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2047, Downgraded
to Ba1 Under Review for Possible Downgrade; previously on 8/7/2008
Baa1 Placed Under Review for Possible Downgrade
Adrastea SHG 2007-1, Ltd.
U.S. $1,600,000,000 Class A-1M
Variable Funding Floating Rate Notes Due 2052, Downgraded to Ba3
Under Review for Possible Downgrade; previously on 5/29/2008 Baa3
Placed Under Review for Possible Downgrade
Adrastea SHG 2007-1, Ltd.
U.S. $200,000,000 Class A-1Q Floating
Rate Notes Due 2052, Downgraded to B2 Under Review for Possible
Downgrade; previously on 5/29/2008 Ba2 Placed Under Review for Possible
Downgrade
U.S. $30,000,000 Class A-4 Floating
Rate Notes Due 2052, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 5/29/2008 B3 Placed Under Review for Possible
Downgrade
U.S. $50,000,000 Class A-3 Floating
Rate Notes Due 2052, Downgraded to Caa1 Under Review for Possible
Downgrade; previously on 5/29/2008 B1 Placed Under Review for Possible
Downgrade
U.S. $84,000,000 Class A-2 Floating
Rate Notes Due 2052, Downgraded to B3 Under Review for Possible
Downgrade; previously on 5/29/2008 Ba3 Placed Under Review for Possible
Downgrade
Altius IV Funding, Ltd.
U.S. $300,000 Class A-1V Floating Rate
Notes Due 2042, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 10/28/2008 Caa2 Placed Under Review for Possible Downgrade
U.S. $644,850,000 Class A-1F Floating
Rate Notes Due 2042, Downgraded to B2 Under Review for Possible
Downgrade; previously on 10/28/2008 Ba2 Placed Under Review for Possible
Downgrade
AMP A CLO 2007-2
U.S. $25,000,000 Credit Linked Notes,
Downgraded to B2 Under Review for Possible Downgrade; previously
on 8/28/2007 Assigned Ba2
AMP CDO 2007-2
U.S. $100,000,000 Variable Notes,
Downgraded to A3 Under Review for Possible Downgrade; previously
on 6/28/2007 Assigned Aa3
Anderson Mezzanine Funding 2007-1, Ltd.
U.S. $2,490,000 Class S Floating Rate
Notes due July 2013, Downgraded to B1 Under Review for Possible
Downgrade; previously on 10/8/2008 Ba1 Placed Under Review for Possible
Downgrade
ARLO VII Series 2007-1 (SABS)
EUR 21,000,000 Variable Secured Limited Recourse Credit-Linked
Notes due 2047, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 4/24/2008 Downgraded to Caa2
Aurelius Capital CDO 2007-1 Limited
U.S. $13,500,000 Class E Secured Floating
Rate Deferrable Interest Notes due 2052, Downgraded to B2 Under
Review for Possible Downgrade; previously on 10/25/2007 Assigned
Ba2
U.S. $15,200,000 Class C Secured Floating
Rate Deferrable Interest Notes due 2052, Downgraded to Baa2 Under
Review for Possible Downgrade; previously on 10/25/2007 Assigned
A2
Aurelius Capital CDO 2007-1 Limited
U.S. $18,000,000 Class D Secured Floating
Rate Deferrable Interest Notes due 2052, Downgraded to Ba2 Under
Review for Possible Downgrade; previously on 10/25/2007 Assigned
Baa2
U.S. $240,300,000 Class A Loan due 2052,
Downgraded to Aa3 Under Review for Possible Downgrade; previously
on 10/25/2007 Assigned Aaa
Ballyrock ABS CDO 2007-1 Limited
U.S. $150,000,000 Class A-1a Variable
Funding Senior Secured Floating Rate Notes Due 2047, Downgraded
to Ba3 Under Review for Possible Downgrade; previously on 7/2/2008
Baa3 Placed Under Review for Possible Downgrade
U.S. $150,000,000 Class A-1b Senior
Secured Floating Rate Notes Due 2047, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 7/2/2008 B3 Placed Under Review
for Possible Downgrade
U.S. $17,000,000 Class S Senior Secured
Notes Due 2014, Downgraded to Baa2 Under Review for Possible Downgrade;
previously on 7/2/2008 A2 Placed Under Review for Possible Downgrade
Barrington II CDO Ltd.
U.S. $13,400,000 Class X Floating Rate
Notes Due 2052, Aaa Placed on Review for Possible Downgrade Under
Review for Possible Downgrade; previously on 5/30/2007 Assigned Aaa
Barrington II CDO Ltd.
U.S. $154,000,000 Class A-1S Floating
Rate Notes Due 2052, Downgraded to B1 Under Review for Possible
Downgrade; previously on 10/20/2008 Ba1 Placed Under Review for Possible
Downgrade
Bernoulli High Grade CDO II, Ltd.
U.S. $750,000,000 Class A-1A First
Priority Senior Secured Floating Rate Notes due October 2054, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 10/1/2008
Caa2 Placed Under Review for Possible Downgrade
Cairn Mezz ABS CDO III Limited
U.S. $148,000,000 Class A2B Senior Secured
Floating Rate Notes Due 2047, Downgraded to Ca; previously
on 5/21/2008 Caa1 Placed Under Review for Possible Downgrade
U.S. $550,000,000 Class A1-VF
Senior Secured Floating Rate Notes Due 2047, Downgraded to Caa3
Under Review for Possible Downgrade; previously on 5/21/2008 Baa2
Placed Under Review for Possible Downgrade
U.S. $75,000,000 Class A2A Senior Secured
Floating Rate Notes Due 2047, Downgraded to Ca; previously
on 5/21/2008 Ba3 Placed Under Review for Possible Downgrade
C-Bass CBO XIX Ltd.
A-1, Downgraded to B1 Under Review for Possible Downgrade;
previously on 4/24/2008 Ba1 Placed Under Review for Possible Downgrade
A-2, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 4/24/2008 Caa2 Placed Under Review for Possible Downgrade
C-BASS CBO XVIII Ltd.
U.S. $150,000,000 Class A-2 First
Priority Senior Secured Fixed Rate Notes Due 2047, Downgraded to
Caa3 Under Review for Possible Downgrade; previously on 4/22/2008
Caa2 Placed Under Review for Possible Downgrade
U.S. $346,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2047, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 4/22/2008
Caa2 Placed Under Review for Possible Downgrade
Ceago ABS CDO 2007-1, Ltd.
U.S. $106,000,000 Class A-2 Floating
Rate Notes Due 2047, Downgraded to Caa2 Under Review for Possible
Downgrade; previously on 6/9/2008 B2 Placed Under Review for Possible
Downgrade
U.S. $21,000,000 Class B Floating Rate
Notes Due 2047, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 6/9/2008 B3 Placed Under Review for Possible Downgrade
U.S. $6,227,000 Class S Floating Rate
Notes Due 2017, Downgraded to Baa1 Under Review for Possible Downgrade;
previously on 6/9/2008 A1 Placed Under Review for Possible Downgrade
U.S. $850,000,000 Class A-1 Floating
Rate Notes Due 2047, Downgraded to Ba2 Under Review for Possible
Downgrade; previously on 6/9/2008 Baa2 Placed Under Review for Possible
Downgrade
Chalfont 2007-I Segregated Portfolio
U.S. $50,000,000 Floating Rate Notes
Due 2046, Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 6/2/2008 Downgraded to B1
Charles Fort CDO I, Ltd.
U.S.$220,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes due July 9, 2047,
Downgraded to Caa3 Under Review for Possible Downgrade; previously
on 4/22/2008 B3 Placed Under Review for Possible Downgrade
Clifton I CDO, Ltd.
U.S. $1,200,000,000 Class A-1
First Priority Senior Secured Floating Rate Delayed Draw Notes Due 2052,
Downgraded to Caa1 Under Review for Possible Downgrade; previously
on 6/3/2008 B1 Placed Under Review for Possible Downgrade
Coda CDO 2007-1 LTD.
U.S. $125,000,000 Class A-3L Deferrable
Floating Rate Notes Due November 2047, Downgraded to Caa3 Under
Review for Possible Downgrade; previously on 6/2/2008 Caa2 Placed
Under Review for Possible Downgrade
U.S. $145,000,000 Class A-1LA
Investor Swap Due November 2047, Downgraded to Ba3 Under Review
for Possible Downgrade; previously on 6/2/2008 Baa3 Placed Under
Review for Possible Downgrade
U.S. $35,000,000 Class A-2L Floating
Rate Notes Due November 2047, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 6/2/2008 B3 Placed Under Review
for Possible Downgrade
U.S. $40,000,000 Class X Notes Due November
2014, Downgraded to B2 Under Review for Possible Downgrade;
previously on 6/2/2008 Ba2 Placed Under Review for Possible Downgrade
U.S. $55,000,000 Class A-1LB Floating
Rate Notes Due November 2047, Downgraded to Caa1 Under Review for
Possible Downgrade; previously on 6/2/2008 B1 Placed Under Review
for Possible Downgrade
Collybus CDO I Ltd.
U.S. $53,000,000 Class B Senior Secured
Floating Rate Notes due 2047, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 9/25/2008 Caa2 Placed Under Review
for Possible Downgrade
U.S. $55,000,000 Class A-3 Senior
Secured Floating Rate Notes due 2047, Downgraded to Caa2 Under Review
for Possible Downgrade; previously on 9/25/2008 B2 Placed Under Review
for Possible Downgrade
U.S. $675,000,000 Class A-2 Senior
Secured Floating Rate Notes due 2047, Downgraded to Ba2 Under Review
for Possible Downgrade; previously on 9/25/2008 Baa2 Placed Under
Review for Possible Downgrade
Connecticut Valley CLO Funding IV, Ltd.
U.S. $225,000,000 Class A-1 Floating
Rate Notes Due 2027, Downgraded to Aa2 Under Review for Possible
Downgrade; previously on 9/24/2007 Assigned Aaa
U.S. $28,000,000 Class B Floating Rate
Notes Due 2027, Downgraded to Baa2 Under Review for Possible Downgrade;
previously on 9/24/2007 Assigned A2
U.S. $29,500,000 Class C Floating Rate
Notes Due 2027, Downgraded to Ba2 Under Review for Possible Downgrade;
previously on 9/24/2007 Assigned Baa2
U.S. $43,000,000 Class A-2 Floating
Rate Notes Due 2027, Downgraded to Aa3 Under Review for Possible
Downgrade; previously on 9/24/2007 Assigned Aaa
U.S. $50,000,000 Class A-3 Floating
Rate Notes Due 2027, Downgraded to A2 Under Review for Possible
Downgrade; previously on 9/24/2007 Assigned Aa2
Dalton CDO Ltd.
Up to US $114,000,000 Class A-1a1 Floating Rate
Variable Funding Notes Due June 2050, Downgraded to Baa1 Under Review
for Possible Downgrade; previously on 10/6/2008 A1 Placed Under Review
for Possible Downgrade
US $50,000,000 Class A-1a2 Floating Rate Notes
Due June 2050, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 10/6/2008 B3 Placed Under Review for Possible Downgrade
Duke Funding High Grade VI, Ltd.
U.S. $13,500,000 Class X Senior Secured
Floating Rate Notes Due 2014, Downgraded to B1 Under Review for
Possible Downgrade; previously on 10/3/2008 Ba1 Placed Under Review
for Possible Downgrade
Euler ABS CDO I, Ltd.
U.S.$135,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes due 2050, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 6/5/2008
B3 Placed Under Review for Possible Downgrade
U.S.$270,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes due 2050, Downgraded
to B2 Under Review for Possible Downgrade; previously on 6/5/2008
Ba2 Placed Under Review for Possible Downgrade
U.S.$93,750,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes due 2050, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 6/5/2008
Caa2 Placed Under Review for Possible Downgrade
FACTS 2007-1
Floating Rate Notes, Downgraded to B1 Under Review for Possible
Downgrade; previously on 5/8/2008 Ba1 Placed Under Review for Possible
Downgrade
Gemstone CDO VII Ltd.
U.S. $200,000,000 Class A-1b(i)
Floating Rate Notes due December 2045, Downgraded to Caa1 Under
Review for Possible Downgrade; previously on 4/28/2008 B1 Placed
Under Review for Possible Downgrade
U.S. $244,000,000 Class A-1a Floating
Rate Notes due December 2045, Downgraded to Ba2 Under Review for
Possible Downgrade; previously on 4/28/2008 Baa2 Placed Under Review
for Possible Downgrade
U.S. $400,000,000 Class A-1b Floating
Rate Notes due December 2045, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 4/28/2008 Caa2 Placed Under Review
for Possible Downgrade
Glacier Funding CDO V, Ltd.
U.S. $122,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 5/30/2008
B3 Placed Under Review for Possible Downgrade
U.S. $200,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to B2 Under Review for Possible Downgrade; previously on 5/30/2008
Ba2 Placed Under Review for Possible Downgrade
Glacier Funding CDO V, Ltd.
U.S. $46,000,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 5/30/2008
Caa2 Placed Under Review for Possible Downgrade
Halcyon Securitized Products Investors ABS CDO II Ltd.
U.S. $75,000,000 Class A-1(b)
Senior Secured Floating Rate Notes Due 2046, Downgraded to Caa3
Under Review for Possible Downgrade; previously on 5/9/2008 Caa1
Placed Under Review for Possible Downgrade
Up to U.S. $225,000,000 Class A-1(a)
Senior Secured Floating Rate Notes Due 2046, Downgraded to B3 Under
Review for Possible Downgrade; previously on 5/9/2008 Ba3 Placed
Under Review for Possible Downgrade
HG-COLL 2007-1 Ltd.
U.S. $830,000,000 Class A-1LA
Floating Rate Notes Due April 2052, Downgraded to Caa1 Under Review
for Possible Downgrade; previously on 5/9/2008 B1 Placed Under Review
for Possible Downgrade
U.S. $95,000,000 Class A-1LB Floating
Rate Notes Due April 2052, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 5/9/2008 Caa2 Placed Under Review for Possible
Downgrade
High Grade Structured Credit CDO 2007-1
U.S. $27,900,000 Class X Senior Secured
Notes Due 2017, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 9/3/2008 B3 Placed Under Review for Possible Downgrade
Highridge ABS CDO II, Ltd.
U.S. $800,000,000 Class A-1S First
Priority Senior Secured Floating Rate Notes due 2047, Downgraded
to Ba2 Under Review for Possible Downgrade; previously on 4/15/2008
A2 Placed Under Review for Possible Downgrade
Hudson Mezzanine Funding 2006-2, Ltd.
U.S. $7,900,000 Class S Floating Rate
Notes due 2012,Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 9/25/2008 B1 Placed Under Review for Possible Downgrade
Ischus Mezzanine CDO IV, Ltd.
U.S. $17,500,000 Class X First Priority
Senior Secured Amortizing Notes Due 2013, Downgraded to B1 Under
Review for Possible Downgrade; previously on 11/12/2008 Ba1 Placed
Under Review for Possible Downgrade
Ixion 2007 Series 31
U.S. $13,000,000 Floating Rate Portfolio
Credit Linked Secured Notes due 2037, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 4/3/2008 Downgraded to Ba3
Jupiter High-Grade CDO VI, Ltd.
U.S. $750,000,000 Class A-1 First
Priority Senior Secured Floating Rate Delayed Draw Notes Due 2053,
Downgraded to Caa1 Under Review for Possible Downgrade; previously
on 6/2/2008 B1 Placed Under Review for Possible Downgrade
Kleros Preferred Funding IX, Ltd.
U.S. $1,380,000,000 Class A-1
First Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to Ba3 Under Review for Possible Downgrade; previously on 4/18/2008
A3 Placed Under Review for Possible Downgrade
Kleros Preferred Funding VIII, Ltd.
U.S. $150,000,000 Class A-1B Second
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to Caa2 Under Review for Possible Downgrade; previously on 5/30/2008
B2 Placed Under Review for Possible Downgrade
U.S. $180,000,000 Class A-2 Third
Priority Senior Secured Floating Rate Notes Due 2052, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 5/30/2008
B3 Placed Under Review for Possible Downgrade
U.S. $2,400,000,000 Class A-1A
First Priority Senior Secured Delayed Draw Floating Rate Notes Due 2052,
Downgraded to Caa1 Under Review for Possible Downgrade; previously
on 5/30/2008 B1 Placed Under Review for Possible Downgrade
Kleros Real Estate CDO IV, Ltd.
U.S.$250,000,000 Class A-3 Third
Priority Senior Secured Floating Rate Notes Due December 2050, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 7/29/2008
Caa2 Placed Under Review for Possible Downgrade
U.S.$300,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due December 2050, Downgraded
to Baa1 Under Review for Possible Downgrade; previously on 7/29/2008
A1 Placed Under Review for Possible Downgrade
U.S.$300,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Delayed Draw Notes Due December
2050, Downgraded to B2 Under Review for Possible Downgrade;
previously on 7/29/2008 Ba2 Placed Under Review for Possible Downgrade
Le Monde CDO I PLC
€360,000,000 Class A-3EU Floating Rate Euro Notes
Due 2052, Downgraded to B3 Under Review for Possible Downgrade;
previously on 6/12/2008 Ba3 Placed Under Review for Possible Downgrade
U.S.$120,000,000 Class A-1US Variable
Funding Dollar Notes Due 2052, Downgraded to B3 Under Review for
Possible Downgrade; previously on 6/12/2008 Ba3 Placed Under Review
for Possible Downgrade
U.S.$604,250,000 Class A-2US Floating
Rate Dollar Notes Due 2052, Downgraded to B3 Under Review for Possible
Downgrade; previously on 6/12/2008 Ba3 Placed Under Review for Possible
Downgrade
U.S.$80,000,000 and €69,500,000
Class A-1R Redenominatable Floating Rate Notes Due 2052,
Downgraded to B3 Under Review for Possible Downgrade; previously
on 6/12/2008 Ba3 Placed Under Review for Possible Downgrade
Lexington Capital Funding III Ltd.
U.S.$480,000,000 Class A-1 First
Priority Senior Floating Rate Notes Due April 2047, Downgraded to
Caa3 Under Review for Possible Downgrade; previously on 5/16/2008
Caa1 Placed Under Review for Possible Downgrade
Lexington Capital Funding V Ltd.
U.S.$246,000,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due 2051, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 6/2/2008
Caa1 Placed Under Review for Possible Downgrade
Libertas Preferred Funding V, Ltd.
U.S. $20,000,000 Class X Senior Secured
Floating Rate Notes Due 2013, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/23/2008 Caa2 Placed Under Review
for Possible Downgrade
U.S. $360,000,000 Class A-1 Senior
Secured Floating Rate Notes Due 2047, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 5/23/2008 Caa1 Placed Under
Review for Possible Downgrade
Limehouse CDO 2008-1 Limited
U.S. $13,512,616 Class B Secured Floating
Rate Deferrable Interest Notes Due 2042, Downgraded to A3 Under
Review for Possible Downgrade; previously on 7/18/2008 Assigned Aa3
U.S. $97,805,600 Class A Secured Floating
Rate Notes Due 2042, Downgraded to Aa3 Under Review for Possible
Downgrade; previously on 7/18/2008 Assigned Aaa
Los Robles CDO Ltd.
Up to $187,500,000 Class A-1a Floating Rate
Notes Due August 12, 2047, Downgraded to B2 Under Review for
Possible Downgrade; previously on 10/21/2008 Ba2 Placed Under Review
for Possible Downgrade
Lunar Funding V plc Series 2007-39
U.S. $200,000,000 Limited Recourse Secured
Floating Rate Credit-Linked Notes due 2037, Downgraded to
B1 Under Review for Possible Downgrade; previously on 4/29/2008 Ba1
Placed Under Review for Possible Downgrade
Magnolia Finance II plc Series 2006-6A1
Series 2006-6A1 USD 50,000,000 ABS Portfolio Variable
Rate Notes due December 2038, Downgraded to Ba1 ; previously
on 10/1/2008 Baa1 Placed Under Review for Possible Downgrade
Magnolia Finance II plc Series 2006-6A2E
EUR 7,500,000 ABS Portfolio Variable Rate Notes due December
2038, Downgraded to Ba1 Under Review for Possible Downgrade;
previously on 10/1/2008 Baa1 Placed Under Review for Possible Downgrade
Magnolia Finance II plc Series 2006-6A2G
GBP 6,000,000 ABS Portfolio Variable Rate Notes due December
2038, Downgraded to Ba1 Under Review for Possible Downgrade;
previously on 10/1/2008 Baa1 Placed Under Review for Possible Downgrade
Newbury Street CDO, Ltd.
U.S.$1,000,000,000 Class A-1
First Priority Senior Secured Floating Rate Notes Due 2053, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 10/6/2008
Caa1 Placed Under Review for Possible Downgrade
Niagara CDO Ltd.
U.S.$410,000,000 Class A Senior Secured
Floating Rate Term Notes due 2039, Downgraded to A2 Under Review
for Possible Downgrade; previously on 1/30/2007 Assigned Aa2
Penwood CDO 2008-1 Limited
U.S. $13,488,466 Class B Secured Floating
Rate Deferrable Interest Notes, Due 2042-2, Downgraded
to A3 Under Review for Possible Downgrade; previously on 7/18/2008
Assigned Aa3
U.S. $97,630,800 Class A Secured Floating
Rate Notes, Due 2042, Downgraded to Aa3 Under Review for Possible
Downgrade; previously on 7/18/2008 Assigned Aaa
Pine Mountain CDO III Ltd.
U.S. $20,000,000 Class A-2 Floating
Rate Notes Due July 7, 2047, Downgraded to Caa2 Under Review
for Possible Downgrade; previously on 5/9/2008 B2 Placed Under Review
for Possible Downgrade
U.S. $41,250,000 Class A-4 Floating
Rate Notes Due July 7, 2047, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 5/9/2008 Caa2 Placed Under
Review for Possible Downgrade
U.S. $45,000,000 Class B Floating Rate
Notes Due July 7, 2047, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/9/2008 Caa2 Placed Under Review
for Possible Downgrade
U.S. $90,000,000 Class A-3 Floating
Rate Notes Due July 7, 2047, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 5/9/2008 Caa1 Placed Under
Review for Possible Downgrade
Up to $230,000,000 Class A-1 Floating Rate Notes
Due July 7, 2047, Downgraded to B2 Under Review for Possible
Downgrade; previously on 5/9/2008 Ba2 Placed Under Review for Possible
Downgrade
Point Pleasant Funding 2007-1, Ltd.
U.S. $6,000,000 Class S Floating Rate
Notes due 2012, Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 9/2/2008 B1 Placed Under Review for Possible Downgrade
Pyxis Libertas 2006-11
U.S. $135,000,000 Class 2006-11
Units issued by PYXIS Master Trust, Downgraded to Caa1 Under Review
for Possible Downgrade; previously on 6/9/2008 B1 Placed Under Review
for Possible Downgrade
Sagittarius CDO I Ltd.
U.S.$15,000,000 Class S Senior Secured
Floating Rate Notes Due 2012, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/23/2008 Caa1 Placed Under Review
for Possible Downgrade
Sharps CDO II Ltd.
U.S. $100,000,000 Class A-2 Senior
Secured Floating Rate Notes due 2046, Downgraded to Caa1 Under Review
for Possible Downgrade; previously on 5/9/2008 B1 Placed Under Review
for Possible Downgrade
U.S. $60,000,000 Class A-3 Senior
Secured Floating Rate Notes due 2046, Downgraded to Caa2 Under Review
for Possible Downgrade; previously on 5/9/2008 B2 Placed Under Review
for Possible Downgrade
U.S. $600,000,000 Class A-1 Senior
Secured Floating Rate Notes due 2046, Downgraded to B1 Under Review
for Possible Downgrade; previously on 5/9/2008 Ba1 Placed Under Review
for Possible Downgrade
U.S. $82,000,000 Class B Senior Secured
Floating Rate Notes due 2046, Downgraded to Caa3 Under Review for
Possible Downgrade; previously on 5/9/2008 B3 Placed Under Review
for Possible Downgrade
Silver Elms CDO II Limited
U.S.$151,400,000 Class A-1Q Floating
Rate Senior Secured Notes due 2051, Downgraded to Caa1 Under Review
for Possible Downgrade; previously on 5/29/2008 B1 Placed Under Review
for Possible Downgrade
U.S.$873,600,000 Class A-1M Floating
Rate Senior Secured Notes due 2051, Downgraded to Caa1 Under Review
for Possible Downgrade; previously on 5/29/2008 B1 Placed Under Review
for Possible Downgrade
Silver Marlin CDO I Ltd.
U.S.$625,000,000 Class A-1 First
Priority Senior Secured Floating Rate Delayed Draw Notes due 2050,
Downgraded to B1 Under Review for Possible Downgrade; previously
on 6/2/2008 Ba1 Placed Under Review for Possible Downgrade
Soter 2007-CRN2, Ltd.
U.S. $100,000,000 A1 Variable Notes Due
2047, Downgraded to Ca ; previously on 5/30/2008 Ba1 Placed
Under Review for Possible Downgrade
Soter 2007-CRN3, Ltd.
U.S. $100,000,000 A1 Variable Notes Due
2047, Downgraded to Ca ; previously on 6/2/2008 Baa2 Placed
Under Review for Possible Downgrade
Soter 2007-GSC, Ltd.
U.S. $50,000,000 A1 Variable Notes Due
2039, Downgraded to Ca ; previously on 6/3/2008 B3 Placed Under
Review for Possible Downgrade
South Coast Funding IX Ltd
Super Senior Swap, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 5/18/2008 Caa1 Placed Under Review for Possible
Downgrade
STACK 2006-2 Ltd.
U.S.$585,000,000 Class I Supersenior
Swap, Downgraded to Caa3 Under Review for Possible Downgrade;
previously on 5/8/2008 Caa2 Placed Under Review for Possible Downgrade
STACK 2007-2 Ltd.
up to U.S. $330,000,000 Class A-1
Senior Variable Funding Floating Rate Notes Due 2047, Downgraded
to Caa3 Under Review for Possible Downgrade; previously on 6/9/2008
Caa2 Placed Under Review for Possible Downgrade
Summer Street 2007-1, Ltd.
U.S. $63,000,000 Class A-1SB Senior
Secured Floating Rate Notes Due 2052, Downgraded to Caa3 Under Review
for Possible Downgrade; previously on 4/23/2008 B3 Placed Under Review
for Possible Downgrade
U.S. $80,000,000 Class A-1SA Senior
Secured Floating Rate Notes Due 2052, Downgraded to Ba3 Under Review
for Possible Downgrade; previously on 4/23/2008 Baa3 Placed Under
Review for Possible Downgrade
Term CDO 2007-1 Ltd.
Class A-1LA Floating Rate Notes Due July 2038, Downgraded
to B2 Under Review for Possible Downgrade; previously on 4/23/2008
Ba2 Placed Under Review for Possible Downgrade
Tower Hill CDO II, Ltd.
U.S. $0 Class A-1 Senior Secured Funded Notes
Due 2023, Downgraded to Aa2 Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
U.S. $0 Class A-2 Senior Secured Funded Notes
Due 2023, Downgraded to Aa3 Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aaa
U.S. $0 Class B Type 2 Senior Secured Funded Notes
Due 2023, Downgraded to A2 Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned Aa2
U.S. $0 Class C Type 2 Secured Funded Deferrable
Notes Due 2023, Downgraded to Baa2 Under Review for Possible Downgrade;
previously on 7/26/2007 Assigned A2
U.S. $11,000,000 Class B Type 1 Senior
Secured Funded Notes Due 2023, Downgraded to A2 Under Review for
Possible Downgrade; previously on 7/26/2007 Assigned Aa2
U.S. $20,000,000 Class B Type 2 Senior
Secured Unfunded Notes Due 2023, Downgraded to A2 Under Review for
Possible Downgrade; previously on 7/26/2007 Assigned Aa2
U.S. $25,000,000 Class C Type 2 Secured
Unfunded Deferrable Notes Due 2023, Downgraded to Baa2 Under Review
for Possible Downgrade; previously on 7/26/2007 Assigned A2
U.S. $300,000,000 Class A-1 Senior
Secured Unfunded Notes Due 2023, Downgraded to Aa2 Under Review
for Possible Downgrade; previously on 7/26/2007 Assigned Aaa
U.S. $45,000,000 Class A-2 Senior
Secured Unfunded Notes Due 2023, Downgraded to Aa3 Under Review
for Possible Downgrade; previously on 7/26/2007 Assigned Aaa
U.S. $50,000,000 Class C Type 1 Secured
Funded Deferrable Notes Due 2023, Downgraded to Baa2 Under Review
for Possible Downgrade; previously on 7/26/2007 Assigned A2
U.S. $53,000,000 Class D Secured Floating
Rate Deferrable Notes Due 2023, Downgraded to Ba2 Under Review for
Possible Downgrade; previously on 7/26/2007 Assigned Baa2
U.S. $53,000,000 Class E Secured Floating
Rate Deferrable Notes Due 2023, Downgraded to B2 Under Review for
Possible Downgrade; previously on 7/26/2007 Assigned Ba2
U.S. $9,415,000 Class A-X Notes
Due 2023, Aaa Placed on Review for Possible Downgrade; previously
on 7/26/2007 Assigned Aaa
Triaxx Prime CDO 2007-1, Ltd.
U.S.$11,575,000 Class B Third Priority
Senior Secured Floating Rate Notes Due October 2039, Downgraded
to A2 Under Review for Possible Downgrade; previously on 10/20/2008
Aa2 Placed Under Review for Possible Downgrade
U.S.$12,700,000 Class X Fourth Priority
Junior Secured Amortizing Deferrable Floating Rate Notes Due October 2039,
Downgraded to Baa2 Under Review for Possible Downgrade; previously
on 10/20/2008 A2 Placed Under Review for Possible Downgrade
U.S.$175,000,000 Class A-1D First
Priority Senior Secured Floating Rate Delayed Draw Notes Due October 2039,
Downgraded to Aa2 Under Review for Possible Downgrade; previously
on 3/30/2007 Assigned Aaa
Triaxx Prime CDO 2007-1, Ltd.
U.S.$78,000,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due October 2039, Downgraded
to Aa3 Under Review for Possible Downgrade; previously on 10/20/2008
Aaa Placed Under Review for Possible Downgrade
U.S.$8,925,000 Class C Fifth Priority
Junior Secured Deferrable Floating Rate Notes Due October 2039,
Downgraded to Ba2 Under Review for Possible Downgrade; previously
on 10/20/2008 Baa2 Placed Under Review for Possible Downgrade
U.S.$825,000,000 Class A-1T First
Priority Senior Secured Floating Rate Notes Due October 2039, Downgraded
to Aa2 Under Review for Possible Downgrade; previously on 3/30/2007
Assigned Aaa
Tribune Limited Series 48
U.S. $80,000,000 Floating Rate Credit
Linked Secured Notes due 2050,
Downgraded to Caa1 Under Review for Possible Downgrade; previously
on 5/18/2008 B1 Placed Under Review for Possible Downgrade
UBS Euro Note Programme AMPST 2007-1
U.S. $20,000,000 Floating Rate Credit
Linked Notes due 2047, Downgraded to Caa3 Under Review for Possible
Downgrade; previously on 5/30/2008 B3 Placed Under Review for Possible
Downgrade
West Trade Funding CDO III Ltd.
U.S. $1,500,000,000 Class A-1
First Priority Senior Floating Rate Delayed Draw Notes Due 2053,
Downgraded to B3 Under Review for Possible Downgrade; previously
on 5/20/2008 Ba3 Placed Under Review for Possible Downgrade
West Trade Funding CDO III Ltd.
U.S. $625,000,000 Class A-2 Second
Priority Senior Floating Rate Notes Due 2053, Downgraded to Caa1
Under Review for Possible Downgrade; previously on 5/20/2008 B1 Placed
Under Review for Possible Downgrade
ZAIS Investment Grade Limited IX
Class A-1A Senior Secured Floating Rate Notes Due 2052, Downgraded
to A2 Under Review for Possible Downgrade; previously on 3/27/2008
Downgraded to Aa2
Class A-1B Senior Secured Floating Rate Notes Due 2052, Downgraded
to A2 Under Review for Possible Downgrade; previously on 3/27/2008
Downgraded to Aa2
Class A-1C Senior Secured Floating Rate Notes Due 2052, Downgraded
to A2 Under Review for Possible Downgrade; previously on 3/27/2008
Downgraded to Aa2
U.S. $1,000,000 Class Y Combination Notes
Due 2057, Downgraded to Caa1 Under Review for Possible Downgrade;
previously on 10/6/2008 B1 Placed Under Review for Possible Downgrade
U.S. $54,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2052, Downgraded to Baa1 Under Review
for Possible Downgrade; previously on 10/6/2008 A1 Placed Under Review
for Possible Downgrade
U.S. $58,000,000 Class B Senior Secured
Floating Rate Notes Due 2052, Downgraded to Baa3 Under Review for
Possible Downgrade; previously on 10/6/2008 A3 Placed Under Review
for Possible Downgrade
U.S. $6,090,000 Class X Security Due
2012, Downgraded to A2 Under Review for Possible Downgrade;
previously on 3/27/2008 Downgraded to Aa2
ZAIS Investment Grade Limited X
U.S. $120,000,000 Class A-1b Senior
Secured Floating Rate Notes Due 2057, Downgraded to Aa1 Under Review
for Possible Downgrade; previously on 8/3/2007 Assigned Aaa
U.S. $13,500,000 Class S Senior Secured
Floating Rate Notes Due 2015, Aaa Placed on Review for Possible
Downgrade; previously on 8/3/2007 Assigned Aaa
U.S. $152,000,000 Class A-1a Senior
Secured Floating Rate Notes Due 2057, Downgraded to Aa1 Under Review
for Possible Downgrade; previously on 8/3/2007 Assigned Aaa
U.S. $50,000,000 Class B Senior Subordinate
Secured Floating Rate Notes Due 2057, Downgraded to B2 Under Review
for Possible Downgrade; previously on 5/30/2008 Ba2 Placed Under
Review for Possible Downgrade
ZAIS Investment Grade Limited X
U.S. $59,500,000 Class A-2 Senior
Secured Floating Rate Notes Due 2057, Downgraded to Aa2 Under Review
for Possible Downgrade; previously on 8/3/2007 Assigned Aaa
U.S. $75,000,000 Class A-3 Senior
Secured Floating Rate Notes Due 2057, Downgraded to Aa3 Under Review
for Possible Downgrade; previously on 10/1/2008 Aaa Placed Under
Review for Possible Downgrade
U.S. $75,000,000 Class A-4 Senior
Secured Floating Rate Notes Due 2057, Downgraded to A3 Under Review
for Possible Downgrade; previously on 10/1/2008 Aa3 Placed Under
Review for Possible Downgrade
New York
Jian Hu
Managing Director
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
New York
Stephen Lioce
Senior Vice President
Structured Finance Group
Moody's Investors Service
JOURNALISTS: 212-553-0376
SUBSCRIBERS: 212-553-1653
