Moody's lowers ratings of 172 Notes issued by 41 structured finance CDO transactions issued in 2003
New York, December 23, 2008 -- Moody's Investors Service announced today that it has downgraded its ratings
of 172 Notes issued by certain collateralized debt obligation transactions
backed by structured finance securities ("SF CDOs"), each of which
originated in 2003.
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 initially analyzed and continues to monitor these transactions
using primarily the methodology and its supplements for ABS CDOs as described
in Moody's Special Reports below:
Moody's Approach to Rating Multisector CDOs (9/15/2000)
Moody's Approach To Rating Synthetic Resecuritizations (10/29/2003)
Moody's Revisits its Assumptions Regarding Structured Finance Default
(and Asset) Correlations for CDOs (6/27/2005)
Moody's Modeling Approach to Rating Structured Finance Cash Flow CDO Transactions
(9/26/2005)
For more information please see www.moodys.com
Today's rating actions are as follows:
ACA ABS 2003-1, Limited
U.S. $ 80,000,000 Class A-R Floating
Rate Revolving Notes, due June 10, 2038, Downgraded
to Caa2 and Under Review for Possible Downgrade; previously on 5/8/2008
Downgraded to Ba2 and Placed Under Review for Possible Downgrade
U.S. $210,000,000 Class A-T Floating
Rate Term Notes, due June 10, 2038, Downgraded to Caa2
and Under Review for Possible Downgrade; previously on 5/8/2008 Downgraded
to Ba2 and Placed Under Review for Possible Downgrade
ACA ABS 2003-2, Limited
U.S. $10,000,000 Class A1-SW Floating
Rate Notes, due December 10 , 2038, Downgraded to B1
and Under Review for Possible Downgrade; previously on 9/11/2008
Downgraded to Ba1 and Placed Under Review for Possible Downgrade
U.S. $108,000,000 Class A1-J Floating
Rate Notes, due December 10 , 2038, Downgraded to Caa1
and Under Review for Possible Downgrade; previously on 5/18/2008
Downgraded to B1 and Placed Under Review for Possible Downgrade
U.S. $146,500,000 Class A1-SD
Floating Rate Notes, due December 10, 2038, Downgraded
to B1 and Under Review for Possible Downgrade; previously on 5/18/2008
Downgraded to Ba1 and Placed Under Review for Possible Downgrade
U.S. $315,000,000 Class A1-SU
Floating Rate Notes, due December 10 , 2038, Downgraded
to B1 and Under Review for Possible Downgrade; previously on 5/18/2008
Downgraded to Ba1 and Placed Under Review for Possible Downgrade
U.S. $51,000,000 Class A2 Floating Rate
Notes, due December 10 , 2038, Downgraded to Caa3 and
Under Review for Possible Downgrade; previously on 5/18/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Blue Bell Funding, Ltd/Blue Bell Funding Corp.
Class A-1 Notes, Downgraded to Ba1 and Under Review for Possible
Downgrade; previously on 7/8/2008 Downgraded to Baa1 and Placed Under
Review for Possible Downgrade
Class A-2 Notes, Downgraded to B1 and Under Review for Possible
Downgrade; previously on 7/8/2008 Downgraded to Ba1 and Placed Under
Review for Possible Downgrade
Comm. Paper, Downgraded to A1 and Under Review for Possible
Downgrade; previously on 7/10/2008 Aa1 Placed Under Review for Possible
Downgrade
Blue Heron Funding V Ltd.
U.S.$85,000,000 Class B Blue Heron Funding
V Cash Flow Contingent Interest Notes, Series 2003-1,
due February 25, 2041, Downgraded to Caa3 and Under Review
for Possible Downgrade; previously on 5/8/2008 Downgraded to B3 and
Placed Under Review for Possible Downgrade
Blue Heron Funding VI, Ltd.
U.S. $1,113, 750,000 Class A-1
Blue Heron Funding VI Notes, due May 21, 2047, Downgraded
to Ba1 and Under Review for Possible Downgrade; previously on 5/16/2008
Downgraded to Baa1 and Placed Under Review for Possible Downgrade
U.S. $25,000,000 Class A-2 Blue
Heron Funding VI Notes, due May 21, 2047, Downgraded
to Ca; previously on 5/16/2008 Downgraded to B1 and Placed Under
Review for Possible Downgrade
Blue Heron Funding VII Ltd.
U.S. $1,113,750,000 Class A-1
Blue Heron Funding VII Notes, due May 30, 2047, Downgraded
to Ba3 and Under Review for Possible Downgrade; previously on 5/30/2008
Downgraded to A3 and Placed Under Review for Possible Downgrade
U.S. $25,000,000 Class A-2 Blue
Heron Funding Vll Notes, due May 30, 2047, Downgraded
to Ca; previously on 5/30/2008 Downgraded to B1 and Placed Under
Review for Possible Downgrade
Breithorn ABS Funding, p.l.c
Class A-2 Notes, Downgraded to A1 and Placed Under Review
for Possible Downgrade; previously on 6/20/2008 Downgraded to Aa1
Class B Notes, Downgraded to Baa3 and Placed Under Review for Possible
Downgrade; previously on 6/20/2008 Downgraded to A3
C-BASS CBO VII Ltd.
U.S.$20,000,000 Class B Second Priority
Senior Secured Floating Rate Notes Due 2038, Downgraded to Aa3 and
Placed Under Review for Possible Downgrade; previously on 9/1/2005
Upgraded to Aaa
U.S.$20,000,000 Class C Third Priority
Secured Floating Rate Deferrable Interest Notes Due 2038, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on 9/1/2005 Upgraded to Aa1
U.S.$27,000,000 Class D Fourth Priority
Secured Floating Rate Deferrable Interest Notes Due 2038, Downgraded
to Baa3 and Placed Under Review for Possible Downgrade; previously
on 9/1/2005 Upgraded to A3
U.S.$300,000,000 Class A First Priority
Senior Secured Floating Rate Notes Due 2028, Downgraded to Aa1 and
Placed Under Review for Possible Downgrade; previously on 7/30/2003
Assigned Aaa
C-BASS CBO VIII Ltd
U.S. $ 12,000,000 Class D-1 Fifth
Priority Secured Floating Rate Deferrable Interest Notes Due 2038,
Downgraded to A3 and Placed Under Review for Possible Downgrade;
previously on 5/16/2006 Upgraded to Aa2
U.S. $ 18,350,000 Class B Third Priority
Senior Secured Floating Rate Notes Due 2038, Downgraded to Aa3 and
Placed Under Review for Possible Downgrade; previously on 5/16/2006
Upgraded to Aaa
U.S. $ 20,700,000 Class C Fourth Priority
Secured Floating Rate Deferrable Interest Notes Due 2038, Downgraded
to A1 and Placed Under Review for Possible Downgrade; previously
on 5/16/2006 Upgraded to Aaa
U.S. $ 4,950,000 Class D-2 Fifth
Priority Secured Fixed Rate Deferrable Interest Notes Due 2038,
Downgraded to A3 and Placed Under Review for Possible Downgrade;
previously on 5/16/2006 Upgraded to Aa2
U.S.$239,400,000 Class A-1 First
Priority Senior Secured Floating Rate Notes Due November 2028, Downgraded
to Aa1 and Placed Under Review for Possible Downgrade; previously
on 11/18/2003 Assigned Aaa
U.S.$26,600,000 Class A-2 Second
Priority Senior Secured Floating Rate Notes Due November 2028, Downgraded
to Aa2 and Placed Under Review for Possible Downgrade; previously
on 11/18/2003 Assigned Aaa
Commodore CDO II Ltd./Commodore CDO II Corp.
U.S. $ 37,800,000 Class A-2(a)
Floating Rate Notes due December 2038, Downgraded to Caa1 and Placed
Under Review for Possible Downgrade; previously on 6/25/2008 Downgraded
to B1
U.S. $1,200,000 Class A-2(b) 4.74%
Fixed Rate Notes due December 2038, Downgraded to Caa3 and Placed
Under Review for Possible Downgrade; previously on 6/25/2008 Downgraded
to B3
U.S. $186,000,000 Class A-1MM
Floating Rate Notes due December 2038, Downgraded to Baa2 and Placed
Under Review for Possible Downgrade; previously on 6/25/2008 Downgraded
to A2
Connecticut Valley Structured Credit CDO II, LTD.
Class A-1 Gtd. Floating Rate Notes, Downgraded to
Aa3 and Placed Under Review for Possible Downgrade; previously on
5/8/2003 Assigned Aaa
Class A-2 Floating Rate Notes, Downgraded to Aa3 and Placed
Under Review for Possible Downgrade; previously on 5/8/2003 Assigned
Aaa
Class B-1 Deferrable Floating Rate Notes, Downgraded to A1
and Placed Under Review for Possible Downgrade; previously on 5/8/2003
Assigned Aa1
Class B-2 Deferrable Fixed Rate Notes, Downgraded to A1 and
Placed Under Review for Possible Downgrade; previously on 5/8/2003
Assigned Aa1
Class C-1 Deferrable Floating Rate Notes, Downgraded to Baa2
and Placed Under Review for Possible Downgrade; previously on 5/8/2003
Assigned A2
Class C-2 Deferrable Fixed Rate Notes, Downgraded to Baa2
and Placed Under Review for Possible Downgrade; previously on 5/8/2003
Assigned A2
Composite Securities, Downgraded to Ba1 and Placed Under Review
for Possible Downgrade; previously on 5/8/2003 Assigned Baa1
CORONADO CDO, LTD./CORONADO CDO, CORP.
CLASS A-1 FLOATING RATE NOTES, Downgraded to A2 and Placed
Under Review for Possible Downgrade; previously on 6/30/2008 Upgraded
to Aa2
CLASS A-2 FIXED RATE NOTES, Downgraded to A2 and Placed Under
Review for Possible Downgrade; previously on 6/30/2008 Upgraded to
Aa2
CLASS B-1 FLOATING RATE NOTES, Downgraded to A3 and Placed
Under Review for Possible Downgrade; previously on 9/5/2003 Assigned
Aa2
CLASS B-2 FIXED RATE NOTES, Downgraded to A3 and Placed Under
Review for Possible Downgrade; previously on 9/5/2003 Assigned Aa2
CLASS C-1 FLOATING RATE NOTES, Downgraded to Ba2 and Placed
Under Review for Possible Downgrade; previously on 9/5/2003 Assigned
Baa2
CLASS C-2 FIXED RATE NOTES, Downgraded to Ba2 and Placed
Under Review for Possible Downgrade; previously on 9/5/2003 Assigned
Baa2
Crest Dartmouth Street 2003-1, Ltd.
U.S. $280,000,000 Class A Senior Secured
Floating Rate Term Notes Due 2018, Downgraded to Aa3 and Placed
Under Review for Possible Downgrade; previously on 4/11/2003 Assigned
Aaa
U.S.$21,000,000 Class B-2 Second
Priority Deferrable Interest Fixed Rate Term Notes, Due 2038,
Downgraded to Baa2 and Placed Under Review for Possible Downgrade;
previously on 4/11/2003 Assigned A2
US $13,125,000 Class B-1 Second Priority Deferrable
Interest Floating Rate Term Notes, Due 2038, Downgraded to
Baa2 and Placed Under Review for Possible Downgrade; previously on
4/11/2003 Assigned A2
Davis Square Funding I, Ltd.
U.S. $100,000,000 Class A-1MT-a
Medium Term Floating Rate Notes Due 2038, Downgraded to A3 and Under
Review for Possible Downgrade; previously on 5/12/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
U.S.$192,500,000 Class A-1MT-b
Medium Term Floating Rate Notes Due 2038, Downgraded to A3 and Under
Review for Possible Downgrade; previously on 5/12/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
U.S.$192,500,000 Class A-1MT-c
Medium Term Floating Rate Notes Due 2038, Downgraded to A3 and Under
Review for Possible Downgrade; previously on 5/12/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
U.S.$192,500,000 Class A-1MT-d
Medium Term Floating Rate Notes Due 2038, Downgraded to A3 and Under
Review for Possible Downgrade; previously on 5/12/2008 Downgraded
to Aa3 and Placed Under Review for Possible Downgrade
U.S.$192,500,000 Class A-1MM-e
Money Market Floating Rate Notes Due 2038, Downgraded to A3 and
Placed Under Review for Possible Downgrade; previously on 10/30/2003
Assigned Aaa
U.S.$50,000,000 Class A-2 Floating
Rate Notes Due 2038, Downgraded to Ba3 and Under Review for Possible
Downgrade; previously on 5/12/2008 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
U.S.$75,000,000 Class B Participating
Notes Due 2038, Downgraded to Caa3 and Under Review for Possible
Downgrade; previously on 5/12/2008 Downgraded to Caa1 and Placed
Under Review for Possible Downgrade
Duke Funding IV, Ltd.
Class A-1 First Priority Senior Secured Flt. Rt.
Notes due 2023, Downgraded to Ba3 and Under Review for Possible
Downgrade; previously on 6/30/2008 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Class A-2 First Priority Senior Secured Flt. Rt.
Notes due 2023, Downgraded to Ba3 and Under Review for Possible
Downgrade; previously on 6/30/2008 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Class-B Second Priority Senior Secured Flt. Rt Notes due
2038, Downgraded to Caa2 and Under Review for Possible Downgrade;
previously on 6/30/2008 Downgraded to B2 and Placed Under Review for Possible
Downgrade
Composite 2 Securities, Downgraded to Ba3 and Under Review for Possible
Downgrade ; previously on 6/30/2008 Downgraded to Baa3 and Placed
Under Review for Possible Downgrade
Composite Securities, Downgraded to A3 Under Review for Possible
Downgrade; previously on 6/30/2008 Aa3 Placed Under Review for Possible
Downgrade
Duke Funding V, Ltd.
U.S. $27,040,000 Class A Combination
Securities Due 2038, Downgraded to Caa3 and Under Review for Possible
Downgrade; previously on 4/22/2008 Downgraded to B3 and Placed Under
Review for Possible Downgrade
U.S. $6,000,000 Class I-B Senior
Secured Fixed Rate Notes Due 2033 (the "Class I-B Notes"),
Downgraded to A3 and Under Review for Possible Downgrade; previously
on 4/22/2008 Downgraded to Aa3 and Placed Under Review for Possible Downgrade
U.S. $15,000,000 Class II Senior Secured
Floating Rate Notes Due 2033 (the "Class II Notes"), Downgraded
to Baa2 and Under Review for Possible Downgrade; previously on 4/22/2008
Downgraded to A2 and Placed Under Review for Possible Downgrade
U.S. $69,000,000 Class I-A2 Senior
Secured Floating Rate Notes Due 2033 (the "Class I-A2 Notes"),
Downgraded to A1 and Under Review for Possible Downgrade; previously
on 4/22/2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade
U.S. $125,000,000 Class I-W Senior
Secured Floating Rate Notes Due 2033 (the "Class I-W Notes"),
Downgraded to Aa3 and Under Review for Possible Downgrade; previously
on 12/4/2008 Aaa Placed Under Review for Possible Downgrade
U.S. $175,000,000 Class I-A1 Senior
Secured Floating Rate Notes Due 2033 (the "Class I-A1 Notes"),
Downgraded to A1 and Under Review for Possible Downgrade; previously
on 4/22/2008 Downgraded to Aa1 and Placed Under Review for Possible Downgrade
U.S. $59,000,000 Class III Senior Secured
Floating Rate Notes Due 2038 (the "Class III Notes"), Downgraded
to Ba2 and Under Review for Possible Downgrade; previously on 4/22/2008
Downgraded to Baa2 and Placed Under Review for Possible Downgrade
U.S. $9,000,000 Class B Combination Securities
Due 2038, Downgraded to Ba3 Placed Under Review for Possible Downgrade;
previously on 8/26/2003 Assigned Baa3
Fort Point CDO II, LTD.
Class A1 Floating Rate Notes, Downgraded to A2 and Under Review
for Possible Downgrade; previously on 6/2/2008 Downgraded to Aa2
and Placed Under Review for Possible Downgrade
Class A2 Floating Rate Notes, Downgraded to Ba1 and Under Review
for Possible Downgrade; previously on 6/2/2008 Downgraded to Baa1
and Placed Under Review for Possible Downgrade
Class A3 Floating Rate Notes, Downgraded to B1 and Under Review
for Possible Downgrade; previously on 6/2/2008 Downgraded to Ba1
and Placed Under Review for Possible Downgrade
Class B Floating Rate Notes, Downgraded to Caa3 and Under Review
for Possible Downgrade; previously on 6/2/2008 Downgraded to Caa2
and Placed Under Review for Possible Downgrade
Grenadier Funding, Limited
Class A-1 Floating Rate Senior Subordinate Secured Notes,
Downgraded to Ca; previously on 6/4/2008 Downgraded to B1and Placed
Under Review for Possible Downgrade
Class A-2 Floating Rate Subordinate Secured Notes, Downgraded
to Ca; previously on 6/4/2008 Downgraded to Caa1 and Placed Under
Review for Possible Downgrade
Gresham Street CDO Funding 2003-1, Ltd.
U.S. $5,300,000 Class D Dourth Priority
Floating Rate Term Notes Due 11/7/33, Downgraded to Baa1 and Placed
Under Review for Possible Downgrade; previously on 12/21/2006 Upgraded
to A2
U.S. $8,600,000 Class C Third Priority
Floating Rate Deferrable interest Term Notes Due 11/7/33, Downgraded
to Aa1 and Placed Under Review for Possible Downgrade; previously
on 12/21/2006 Upgraded to Aaa
G-STAR 2003-3, Ltd.
U.S.$18,000,000 Class A-3 Floating
Rate Senior Notes Due 2038, Downgraded to Ba2 and Under Review for
Possible Downgrade; previously on 5/30/2008 Downgraded to Baa2 and
Placed Under Review for Possible Downgrade
U.S.$340,000,000 Class A-1 Floating
Rate Senior Notes Due 2038, Downgraded to Aa3 and Placed Under Review
for Possible Downgrade; previously on 3/14/2003 Assigned Aaa
U.S.$48,000,000 Class A-2 Floating
Rate Senior Notes Due 2038, Downgraded to A2 and Under Review for
Possible Downgrade; previously on 5/30/2008 Downgraded to Aa2 and
Placed Under Review for Possible Downgrade
Independence IV CDO, Ltd./CCN (Independence IV) LLC
US $120MM Class A-1 (Series 1) First Priority Senior Secured
Floating Rate Notes Due 2038, Downgraded to Caa1 and Placed Under
Review for Possible Downgrade; previously on 9/19/2008 Downgraded
to B1
US $120MM Class A-1 (Series 2) First Priority Senior Secured
Floating Rate Notes Due 2038, Downgraded to Caa1 and Placed Under
Review for Possible Downgrade; previously on 9/19/2008 Downgraded
to B1
Lakeside CDO I, LTD.
Class A-1 First Priority Senior Secured Floating Rate Notes,
Downgraded to A2 and Under Review for Possible Downgrade; previously
on 7/2/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade
Class A-2 Second Priority Senior Secured Floating Rate Notes,
Downgraded to Caa2 and Under Review for Possible Downgrade; previously
on 7/2/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade
Longport Funding Ltd.
14,000 Preference Shares, Downgraded to Caa3 and Under Review
for Possible Downgrade; previously on 5/9/2008 Downgraded to Caa1
and Placed Under Review for Possible Downgrade
Class A Participating Notes, Downgraded to Aa2 Placed Under Review
for Possible Downgrade; previously on 2/3/2003 Assigned Aaa
Class A-1 Senior Secured Interest Only Notes, Downgraded
to Aa3 and Under Review for Possible Downgrade; previously on 5/9/2008
Aaa Placed Under Review for Possible Downgrade
Class A-1A Senior Secured Floating Rate Notes, Downgraded
to Aa3 and Under Review for Possible Downgrade; previously on 5/9/2008
Aaa Placed Under Review for Possible Downgrade
Class A-1B Senior Secured Floating Rate Notes, Downgraded
to A2 and Under Review for Possible Downgrade; previously on 5/9/2008
Downgraded to Aa2 and Placed Under Review for Possible Downgrade
Class A-2I Senior Secured Interest Only Notes, Downgraded
to Aa2 and Placed Under Review for Possible Downgrade; previously
on 2/3/2003 Assigned Aaa
Class A-3 Senior Secured Floating Rate Notes, Downgraded
to Baa3 and Under Review for Possible Downgrade; previously on 5/9/2008
Downgraded to A3 and Placed Under Review for Possible Downgrade
Class B Senior Secured Floating Rate Notes, Downgraded to Ba2 and
Under Review for Possible Downgrade; previously on 5/9/2008 Downgraded
to Baa2 and Placed Under Review for Possible Downgrade
Class C Senior Secured Floating Rate Notes, Downgraded to B2 and
Under Review for Possible Downgrade; previously on 5/9/2008 Downgraded
to Ba2 and Placed Under Review for Possible Downgrade
Class D-1 Mezzanine Secured Floating Rate Notes, Downgraded
to Caa3 and Under Review for Possible Downgrade; previously on 5/9/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
Class D-2 Mezzanine Secured Fixed Rate Notes, Downgraded
to Caa3 and Under Review for Possible Downgrade; previously on 5/9/2008
Downgraded to B3 and Placed Under Review for Possible Downgrade
MULBERRY STREET CDO II, LTD.
U.S. $195,000,000 Class A-1A Floating
Rate Notes Due August 12, 2038 (the "Class A-1A Notes"),
Downgraded to Baa1 and Under Review for Possible Downgrade; previously
on 9/18/2008 A2 Placed Under Review for Possible Downgrade
U.S. $283,000,000 Class A-1W Floating
Rate Notes Due August 12, 2038 (the "Class A-1W Notes"),
Downgraded to Baa2 and Under Review for Possible Downgrade; previously
on 9/18/2008 A2 Placed Under Review for Possible Downgrade
U.S. $30,000,000 Class A-1U Floating
Rate Notes Due August 12, 2038 (the "Class A-1U Notes'),
Downgraded to B1 and Under Review for Possible Downgrade; previously
on 6/9/2008 Downgraded to Ba1 and Placed Under Review for Possible Downgrade
U.S. $41,500,000 Class A-1B Floating
Rate Notes Due August 12, 2038 (the "Class A-1B Notes"),
Downgraded to Baa2 and Under Review for Possible Downgrade; previously
on 9/18/2008 A2 Placed Under Review for Possible Downgrade
North Street Referenced Linked Notes, 2003-5 Ltd.
U.S.$140,000,000 Class C Floating Rate
Notes, Downgraded to Baa3 and Placed Under Review for Possible Downgrade;
previously on 8/20/2003 Assigned A3
U.S.$25,000,000 Class B-1 Floating
Rate Notes, Downgraded to Aa3 and Placed Under Review for Possible
Downgrade; previously on 8/20/2003 Assigned Aaa
U.S.$25,000,000 Class B-2 Floating
Rate Notes, Downgraded to Aa3 and Placed Under Review for Possible
Downgrade; previously on 8/20/2003 Assigned Aaa
U.S.$50,000,000 Class A-1 Floating
Rate Notes, Downgraded to Aa2 and Placed Under Review for Possible
Downgrade; previously on 8/20/2003 Assigned Aaa
U.S.$50,000,000 Class A-2 Floating
Rate Notes, Downgraded to Aa2 and Placed Under Review for Possible
Downgrade; previously on 8/20/2003 Assigned Aaa
NorthLake CDO I, Limited
U.S. $174,000,000 Class I-MM Floating
Rate Notes Due 2033, Downgraded to Baa2 and Under Review for Possible
Downgrade; previously on 7/10/2008 Downgraded to A2 and Placed Under
Review for Possible Downgrade
US $56,000,000 Class I-A Floating Rate Notes,
Due 2033, Downgraded to Caa3 and Under Review for Possible Downgrade;
previously on 7/10/2008 Downgraded to B3 and Placed Under Review for Possible
Downgrade
N-Star Real Estate CDO I Ltd.
U.S.$10,000,000 Class B-2 Floating
Rate Senior Notes due 2038, Downgraded to A2 and Placed Under Review
for Possible Downgrade; previously on 10/17/2006 Upgraded to Aa2
U.S.$15,000,000 Class A-2B Fixed
Rate Senior Notes due 2038, Downgraded to Aa3 and Placed Under Review
for Possible Downgrade; previously on 10/17/2006 Upgraded to Aaa
U.S.$250,000,000 Class A-1 Floating
Rate Senior Notes due 2038, Downgraded to Aa2 and Placed Under Review
for Possible Downgrade; previously on 9/9/2003 Assigned Aaa
U.S.$45,000,000 Class A-2A Floating
Rate Senior Notes due 2038, Downgraded to Aa3 and Placed Under Review
for Possible Downgrade; previously on 10/17/2006 Upgraded to Aaa
U.S.$5,000,000 Class C-1A Floating
Rate Subordinate Notes due 2038, Downgraded to Baa3 and Placed Under
Review for Possible Downgrade; previously on 10/17/2006 Upgraded
to A3
U.S.$5,000,000 Class C-1B Fixed
Rate Subordinate Notes due 2038, Downgraded to Baa3 and Placed Under
Review for Possible Downgrade; previously on 10/17/2006 Upgraded
to A3
Orchid Structured Finance CDO, Ltd.
Class A-1MM Floating Rate Term Notes, Downgraded to Aa2 and
Placed Under Review for Possible Downgrade; previously on 12/17/2003
Assigned Aaa
Class A-2 Floating Rate Term Notes, Downgraded to Caa3 and
Under Review for Possible Downgrade; previously on 9/19/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Pacific Bay CDO, Ltd.
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2038, Downgraded to A3 and Placed Under Review for Possible Downgrade;
previously on 11/11/2003 Assigned Aaa
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2038, Downgraded to Baa1 and Placed Under Review for Possible Downgrade;
previously on 11/11/2003 Assigned Aaa
Class B Third Priority Senior Secured Floating Rate Notes Due 2038,
Downgraded to Baa2 and Placed Under Review for Possible Downgrade;
previously on 11/11/2003 Assigned Aa2
Class C Mezzanine Secured Floating Rate Notes Due 2038, Downgraded
to B2 and Placed Under Review for Possible Downgrade; previously
on 11/11/2003 Assigned Baa2
Preference Shares, Downgraded to Caa3 and Placed Under Review for
Possible Downgrade; previously on 11/11/2003 Assigned Ba3
Porter Square CDO I, Ltd.
U.S.$16,000,000 Class C Mezzanine Secured
Floating Rate Notes Due 2038, Downgraded to Baa1 and Under Review
for Possible Downgrade; previously on 5/18/2008 A1 Placed Under Review
for Possible Downgrade
U.S.$24,000,000 Class B Senior Secured
Floating Rate Notes Due 2038, Downgraded to Aa3 and Placed Under
Review for Possible Downgrade; previously on 3/20/2007 Upgraded to
Aaa
U.S.$26,000,000 Class A-3 Senior
Secured Floating Rate Notes Due 2038, Downgraded to Aa2 and Placed
Under Review for Possible Downgrade; previously on 8/29/2003 Assigned
Aaa
U.S.$78,000,000 Class A-2 Senior
Secured Floating Rate Notes Due 2038, Downgraded to Aa1 and Placed
Under Review for Possible Downgrade; previously on 8/29/2003 Assigned
Aaa
Putnam Structured Product Funding 2003-1 Ltd/Putnam Structured
Product Funding 2003-1 LLC
A-1, Downgraded to Aa2 and Placed Under Review for Possible
Downgrade; previously on 10/23/2003 Assigned Aaa
A-2, Downgraded to Aa3 and Placed Under Review for Possible
Downgrade; previously on 10/23/2003 Assigned Aaa
B, Downgraded to A2 and Placed Under Review for Possible Downgrade;
previously on 10/23/2003 Assigned Aa2
C, Downgraded to B2 and Placed Under Review for Possible Downgrade;
previously on 4/18/2008 Downgraded to Ba2
Cl. A-1ST-a, Downgraded to Aa2 and Placed Under
Review for Possible Downgrade; previously on 7/8/2008 Assigned Aaa
Cl. A-1ST-b, Downgraded to Aa2 and Placed Under
Review for Possible Downgrade; previously on 7/8/2008 Assigned Aaa
Cl. A-1ST-c, Downgraded to Aa2 and Placed Under
Review for Possible Downgrade; previously on 7/8/2008 Assigned Aaa
Saturn Ventures I, Ltd.
Class A-1 Floating Rate Senior Notes, Downgraded to Aa2 and
Placed Under Review for Possible Downgrade; previously on 10/30/2003
Assigned Aaa
Class A-2 Floating Rate Senior Notes, Downgraded to Aa3 and
Placed Under Review for Possible Downgrade; previously on 10/30/2003
Assigned Aaa
Class A-3 Floating Rate Senior Notes, Downgraded to A1 and
Placed Under Review for Possible Downgrade; previously on 10/30/2003
Assigned Aa1
Class B Floating Rate Subordinate Notes, Downgraded to Caa3 and
Under Review for Possible Downgrade; previously on 4/2/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
Solstice ABS III, Ltd.
U.S. $107,500,000 Class A-2 Senior
Secured Floating Rate Notes due 2033, Downgraded to Aa3 and Placed
Under Review for Possible Downgrade; previously on 11/14/2003 Assigned
Aaa
U.S. $346,500,000 Class A-1 Senior
Secured Floating Rate Notes due 2033, Aaa and Placed Under Review
for Possible Downgrade; previously on 11/14/2003 Assigned Aaa
U.S. $47,500,000 Class B Senior Secured
Floating Rate Notes due 2039, Downgraded to Baa1 and Under Review
for Possible Downgrade; previously on 5/30/2008 Downgraded to A1
and Placed Under Review for Possible Downgrade
U.S. $8,000,000 Pass-Through Notes
due 2039, Downgraded to Ca; previously on 5/30/2008 Downgraded
to B3 and Placed Under Review for Possible Downgrade
South Coast Funding III Ltd.
U.S.$107,000,000 Class A-1B Floating
Rate Senior Notes Due 2038, Downgraded to Ca; previously on
5/9/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade
U.S.$12,000,000 Class A-3A Floating
Rate Senior Notes Due 2038, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
U.S.$270,000,000 Class A-1A Floating
Rate Senior Notes Due 2038, Downgraded to Ca; previously on
5/9/2008 Downgraded to B1 and Placed Under Review for Possible Downgrade
U.S.$38,000,000 Class A-2 Floating
Rate Senior Notes Due 2038, Downgraded to C; previously on
5/9/2008 Downgraded to Caa3 and Placed Under Review for Possible Downgrade
U.S.$9,000,000 Class A-3B Fixed
Rate Senior Notes Due 2038, Downgraded to C; previously on
5/9/2008 Downgraded to Ca
South Coast Funding IV Ltd.
Class A-1 First Priority Senior Secured Floating Rate Notes Due
2034, Downgraded to Aa1 and Placed Under Review for Possible Downgrade;
previously on 12/18/2003 Assigned Aaa
Class A-2 Second Priority Senior Secured Floating Rate Notes Due
2038, Downgraded to Aa3 and Placed Under Review for Possible Downgrade;
previously on 12/18/2003 Assigned Aaa
Class B Third Priority Senior Secured Floating Rate Notes Due 2038,
Downgraded to A2 and Under Review for Possible Downgrade; previously
on 4/2/2008 Downgraded to Aa2 and Placed Under Review for Possible Downgrade
Class C Mezzanine Secured Floating Rate Notes Due 2038, Downgraded
to Caa2 and Under Review for Possible Downgrade; previously on 5/20/2008
Downgraded to B2 and Placed Under Review for Possible Downgrade
STACK 2004-1, LTD
U.S $ 8,000,000 Class C Floating Rate Deferrable
Interest Term Notes, due May 10, 2039, Downgraded to
Baa2 and Placed Under Review for Possible Downgrade; previously on
5/17/2004 Assigned A2
U.S. $ 11,500,000 Class D Floating Rate
Deferrable Interest Term Notes, due May 10, 2038, Downgraded
to Ba2 and Placed Under Review for Possible Downgrade; previously
on 5/17/2004 Assigned Baa2
U.S. $ 27,000,000 Class B Floating Rate
Term Notes, due May 10, 2039, Downgraded to A1 and Placed
Under Review for Possible Downgrade; previously on 5/17/2004 Assigned
Aa1
U.S. $240,000,000 Class A Floating Rate
Term Notes, due May 10, 2034, Downgraded to Aa3 and
Placed Under Review for Possible Downgrade; previously on 5/17/2004
Assigned Aaa
STANTON CDO I S.A.
15,000,000 Class A-1 EUR Senior Secured Floating
Rate Notes due 2018, Downgraded to Aa2 and Placed Under Review for
Possible Downgrade; previously on 10/29/2003 Assigned Aaa
25,000,000 Class A-2 EUR Senior Secured Fixed
Rate Notes due 2018, Downgraded to Aa3 and Placed Under Review for
Possible Downgrade; previously on 10/29/2003 Assigned Aaa
8,000,000 Class A-2 EUR Senior Secured Floating
Rate Notes due 2018, Downgraded to Aa3 and Placed Under Review for
Possible Downgrade; previously on 10/29/2003 Assigned Aaa
U.S.$132,285,000 Class A-1 USD
Senior Secured Floating Rate Notes due 2018, Downgraded to Aa2 and
Placed Under Review for Possible Downgrade; previously on 10/29/2003
Assigned Aaa
U.S.$150,000,000 Class A-1U Senior
Secured Floating Rate Notes due 2018, Downgraded to Aa2 and Placed
Under Review for Possible Downgrade; previously on 10/29/2003 Assigned
Aaa
U.S.$25,000,000 Class C Deferrable Interest
Secured Floating Rate Notes due 2040, Downgraded to Baa1 and Placed
Under Review for Possible Downgrade; previously on 10/29/2003 Assigned
A1
U.S.$40,000,000 Class B Senior Secured
Floating Rate Notes due 2040, Downgraded to A1 and Placed Under
Review for Possible Downgrade; previously on 10/29/2003 Assigned
Aa1
U.S.$56,027,000 Class A-2 USD
Senior Secured Floating Rate Notes due 2018, Downgraded to Aa3 and
Placed Under Review for Possible Downgrade; previously on 10/29/2003
Assigned Aaa
TIAA Real Estate CDO 2003-1 Ltd.
Class A-1MM Secured Floating Rate Notes Due December 2018,
Downgraded to Aa3 and Placed Under Review for Possible Downgrade;
previously on 11/7/2003 Assigned Aaa
Class B-1 Secured Deferrable Interest Floating Rate Notes Due December
2038, Downgraded to A2 and Placed Under Review for Possible Downgrade;
previously on 11/7/2003 Assigned Aa2
Class B-2 5.4802% Secured Deferrable Interest Fixed
Rate Notes Due December 2038, Downgraded to A2 and Placed Under
Review for Possible Downgrade; previously on 11/7/2003 Assigned Aa2
Class C-1 Secured Deferrable Interest Floating Rate Notes Due December
2038, Downgraded to Baa3 and Placed Under Review for Possible Downgrade;
previously on 11/7/2003 Assigned A3
Class C-2 5.9169% Secured Deferrable Interest Fixed
Rate Notes Due December 2038, Downgraded to Baa3 and Placed Under
Review for Possible Downgrade; previously on 11/7/2003 Assigned A3
TIAA Structured Finance CDO II, Limited
$21,000,000 Class B Floating Rate Term Notes,
Due 2038, Downgraded to Baa2 and Under Review for Possible Downgrade;
previously on 6/2/2008 Downgraded to A2 and Placed Under Review for Possible
Downgrade
$225,000,000 Class A-1 Floating Rate Term Notes,
Due 2038, Downgraded to Aa2 and Placed Under Review for Possible
Downgrade; previously on 5/20/2003 Assigned Aaa
$25,000,000 Class A-2 Floating Rate Term Notes,
Due 2038, Downgraded to Aa3 and Under Review for Possible Downgrade;
previously on 6/2/2008 Aaa Placed Under Review for Possible Downgrade
Trainer Wortham First Republic CBO III, Limited
Class A-1 Senior Secured Floating Rate NotesDue 2033 (the "Class
A-1 Notes"), Downgraded to Aa3 and Placed Under Review for
Possible Downgrade; previously on 2/28/2003 Assigned Aaa
Class A-2 Senior Secured Floating Rate Notes Due 2038 (the "Class
A-2 Notes"), Downgraded to Ba2 and Under Review for Possible
Downgrade; previously on 5/8/2008 Downgraded to Baa2 and Placed Under
Review for Possible Downgrade
Class B Senior Secured Floating Rate Notes Due 2038 (the "Class B Notes"),
Downgraded to Caa2 and Under Review for Possible Downgrade; previously
on 5/8/2008 Downgraded to B2 and Placed Under Review for Possible Downgrade
Vertical CDO 2003-1 Ltd.
Class A Floating Rate Notes, Downgraded to Aa3 and Placed Under
Review for Possible Downgrade; previously on 10/22/2003 Assigned
Aaa
Class B Floating Rate Notes, Downgraded to Baa2 and Under Review
for Possible Downgrade; previously on 6/2/2008 Downgraded to A2 and
Placed Under Review for Possible Downgrade
Class C-1 Floating Rate Notes, Downgraded to B3 and Under
Review for Possible Downgrade; previously on 6/2/2008 Downgraded
to Ba3 and Placed Under Review for Possible Downgrade
Class C-2 Floating Rate Notes, Downgraded to B3 and Under
Review for Possible Downgrade; previously on 6/2/2008 Downgraded
to Ba3 and Placed Under Review for Possible Downgrade
Preference Shares, Downgraded to Caa1 and Under Review for Possible
Downgrade; previously on 6/2/2008 Downgraded to B1 and 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